Discussion in 'Options' started by bines, Dec 7, 2007.
If it's possible to receive the calculation of vix in the spreadsheet ?
If you are asking if you can duplicate the calculation of the Vix yourself, then the answer would most likely be that it is too complex. From the CBOE's white paper:
"The new VIX estimates expected volatility from the prices of stock index options in a wide range of strike prices, not just at-the-money strikes as in the original VIX. Also, the new VIX is not calculated from the Black Scholes option pricing model; the calculation is independent of any model. The new VIX uses a newly developed formula to derive expected volatility by averaging the weighted prices of out-of-the money puts and calls."
If you just want the realtime quote of the VIX in a spreadsheet then you just need a quote system with a link to Excel.
There is a method to emulate the calculation of the VIX. It's very closely correlated, and i think it is in the latest TA of stocks and commodities mag or active trader, can't recall which.
just curios , what would one do with this info ?
Which strikes included inside the calculation of vix, now?
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