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 …

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Graphical Representation of CBOE’s VIXMO Calculation (Redirected)

The dynamically updated chart above uses delayed quotes from Google Finance.  It details the interpolation / extrapolation process that computes the 30 day VIXMO from two close-in months of SPX options (VINMO and VIFMO).  This calculation is the legacy version of the VIX that was used from 23-Sept-2003 through 5-Oct-2014.  On October 6th, 2014 the CBOE modified the calculation to start using SPX weekly options …

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Calculating VIXMO—the Easy Part

Update:  On October 6th, 2014 the CBOE changed the calculation method for the VIX to include SPX weekly options,  the old VIX calculation is still being reported using the VIXMO  (VIX Month Only) ticker.  The new calculation uses the VIX ticker.  For more on the new calculation see “Calculating the New VIX“.   The movements of the CBOE’s VIX® are often confusing.  It usually moves the …

Read moreCalculating VIXMO—the Easy Part