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The VIX® Index Calculation

 

The VIX® Calculation

The calculation of the VIX index uses two series of SPX option contracts - the front month and the second month - as long as the front month has at least one week until expiration. When the front month series is one week from expiration, then the current second month series rolls up to become the new front month in the VIX index calculation, and the current third month becomes the new second month.

The VIX index calculation uses a wide range of at-the-money and out-of-the-money SPX call and put options. The mid-point between the bid and ask prices of actively quoted contracts are used in the VIX index formula. The first result of the calculation is the price of a synthetic at-the-money 30-day SPX option contract that expires exactly (to the second) thirty days in the future. The second result of the calculation is the implied volatility of this synthetic contract, and that implied volatility is quoted as the VIX index. This calculation is updated every 15 seconds throughout the trading day.

 

 
 

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CBOE Volatility Index (VIX)