Implied volatility indices (VIX example)

Discussion in 'Options' started by livevol_ron, Dec 3, 2009.

  1. livevol_ron

    livevol_ron ET Sponsor

    Hi all,

    Here is an article I wrote about generating term structured indices for implied volatility; I picked the VIX because it was one of the more difficult underlyings to do since the options are based off the futures.

    It highlights things like forward indexing and interpolation that goes into out data that we maintain historically and in real time for 3000+ issues...