In response to suggestions from customers regarding growth in certain markets in recent years, on September 22, 2003, the CBOE began disseminating prices for two volatility indexes with prices based on trading of S&P options:
On September 22, 2003, the CBOE made two key enhancements to the VIX methodology:
- Based on S&P 500 Options Prices. The new VIX will be based on prices of S&P 500 (SPX) options. Recent average daily volume for SPX options has grown to more than 140,000 contacts, and more than $800 billion in assets are now indexed to the S&P 500 Index. Previously, the original-formula VIX was based on prices of the S&P 100 (OEX) Index Options, and CBOE will continue to calculate and disseminate the original-formula index to be known as the CBOE S&P 100 Volatility IndexSM with the ticker VXO.
- New Formula for Calculation of VIX. The new formula that will take into account a broader range of strike prices (rather than using only near-the-money strikes as the original-formula index did). Each strike price will be weighted, with at-the-money strikes having the most weight. The new formula is intended to make VIX a better index for investors who manage risks associated with the growing markets for volatility and variance swaps.
The CBOE is continuing to calculate and disseminate the volatility index introduced in 1993 based on trading of S&P 100 (OEX) options. This index has a price history dating back to 1986, which remains the same. As of September 22, 2003, the name was modified -- the original-formula index is now known as the CBOE S&P 100 Volatility IndexSM and is now disseminated under the new ticker symbol VXO (prior to September 2003 it was the "original" VIX Index).
For more details, please click on the links below:
VIX Futures and Options
CBOE Futures Exchange
Historical Price Data
Spreadsheets with Historical Price Data
Historical Daily Prices - Spreadsheet with Closing Prices for Several Indexes
Historical Month-end Prices - Spreadsheet with Closing Prices for Several Indexes
In addition, Market Data Express gives users access to more than 16 years of historical options data
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