VIX index for OVX, an ETF on Crude Oil
The Cboe Crude Oil ETF Volatility IndexSM (OVX) is a VIX®-style estimate of the expected 30-day volatility of crude oil as priced by the United States Oil Fund, (USO). Like VIX, OVX is calculated by interpolating between two weighted sums of option midquote values, in this case options onthe OVX ETF. The two sums essentially represent the expected variance of the Euro to Dollar exchange rate up to two option expiration dates that bracket a 30-day period of time. OVX is obtained by annualizing the interpolated value, taking its square root and expressing the result in percentage points.