Cboe Global Markets Launches 1-Day Volatility Index, Designed to Measure Volatility Over Current Trading Day Cboe Global Markets Cboe Global Markets, Inc. (Cboe: CBOE), the world's leading derivatives and securities exchange network, today announced the launch of the Cboe 1-Day Volatility Index (VIX1D). Developed by Cboe Labs, the company's in-house innovation hub, the VIX1D Index seeks to measure the expected volatility of the S&P 500 Index over the current trading day (today); in other words, single trading day volatility. Similar to the Cboe Volatility Index (VIX Index), the VIX1D Index estimates expected volatility by aggregating the weighted prices of P.M.-settled SPX (SPXW) options with one- to zero- day expirations over a wide range of strike prices. /jlne.ws/3H8KtJN
If you find a link to the detailed disclosure (white paper?) on how VIX1D is computed, please post. I have not found it yet!
Per the article posted by ETJ, it's similar to standard vix. A sumation of weighted puts and calls on 0dte and 1dte options.