Calculation of the vix

Discussion in 'Options' started by bines, Dec 7, 2007.

  1. bines

    bines

    If it's possible to receive the calculation of vix in the spreadsheet ?
    thanks
     
  2. 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."

    http://www.cboe.com/micro/vix/vixwhite.pdf

    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.
     
  3. 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.
     
  4. just curios , what would one do with this info ?
     
  5. bines

    bines

    Which strikes included inside the calculation of vix, now?
     
  6. i_repeat_ _ _why_need_this_ _ _over_ _