VIX Term Structure

The VIX methodology involves calculating an estimate of "fair variance" for near-term and next-term options, weighting these two values to construct a constant 30-day variance, and then taking the square root to produce a value for VIX. Coinciding with the growth of VIX futures and options, CBOE has seen increasing demand for other VIX-based calculations. The VIX Term Structure is one such formulation.

The VIX Term Structure is a representation of SPX option implied volatility that involves applying the VIX formula to particular SPX option expirations to construct a term structure for fair variance.

Below is a chart of the VIX Term Structure on Friday, January 09, 2009. The green line represents the VIX Term Structure data calculated using SPX option offer prices, the blue and red lines represent term structure data calculated using SPX option bid and mid-quote prices, respectively.

Market participants have requested that CBOE calculate VIX Term Structure data using a "business day" convention to measure time to expiration, as well as the "calendar day" convention used in the VIX Index itself. The VIX Term Structure Description provides more details on the construction and historical behavior of term structure values. In addition, CBOE has calculated daily historical values for the VIX Term Structure dating back to 1992, which may be downloaded by clicking on the following links.

VIX Term Structures as of Trade Date: 1/9/2009

Expiration Date	Bid Price	Ask	Mid
1/17/2009	37.27	43.56	40.54
2/21/2009	41.38	45.90	43.70
3/21/2009	43.07	47.46	45.32
4/18/2009	42.31	46.96	44.70
6/20/2009	41.18	44.52	42.88
9/19/2009	40.27	42.77	41.54
12/19/2009	39.39	41.64	40.53
6/19/2010	38.28	41.15	39.74
12/18/2010	37.71	40.01	38.88
12/17/2011	35.98	38.19	37.10

View Bid, Ask, Mid Point spreadsheet

VIX Index Intro Data VIX Term Structure Price Charts FAQ Bibliography

VIX Options Intro Specifications VIX Options Guide FAQ VIX Options Links

VIX Futures Specifications VIX Futures Prices VIX Futures Links

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