Graphical VIX & VIXMO calculations

The chart below graphically represents the calculation for the Cboe’s VIX® and the legacy VIX (ticker VIXMO) which was used from September 22, 2003, through October 5th, 2014.  My apologies for the small size / non-expandable format, but this was the best near real time (20 minute delayed) solution I could figure out using Google Sheets. The actual VIX is located on the black dotted line in …

Read moreGraphical VIX & VIXMO calculations

Calculating the VIX—The Easy Part

The movements of the CBOE’s VIX® are often confusing.  It usually moves the opposite direction of the S&P 500 but not always.  On Fridays the VIX tends to sag and on Mondays it often climbs because S&P 500 (SPX) option traders are adjusting prices to mitigate value distortions caused by the weekend. In addition to these market driven eccentricities the actual calculation of the VIX has …

Read moreCalculating the VIX—The Easy Part