DATE: December 23, 2013
What is the difference between VIX, The CBOE Volatility Index, and VIN or VIF?
Before explaining the difference between VIX and VIN or VIF, let's quickly review what the CBOE Volatility Index or VIX is. VIX is a key measure of market expectations of near-term volatility as conveyed by S&P 500 or SPX index option prices. The VIX calculation utilizes a wide variety of out of the money SPX options from two different expiration series. An option expiration series refers to all options that share both an underlying market and an expiration date.
Both VIN and VIF are sub-indexes that track the level of implied volatility from single SPX maturities. VIN represents the nearer term SPX expiration series used in the VIX calculation while VIF represents the farther month expiration series used in the VIX calculation.
To learn more about the difference VIX and VIN or VIF, please view this week?s "Ask the Institute."