Calculation of the vix

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

  1. bines


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

    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


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