Cboe DJIA Volatility Index (VXD)
The Cboe DJIA Volatility IndexSM (VXD) is a VIX®-style estimate of the expected 30-day volatility of DJIA stock index returns. Like VIX, VXD is calculated by interpolating between two weighted sums of option midquote values, in this case options on the DJIA (DJX) . The two sums essentially represent the expected variance of DJIA Index returns up to two option expiration dates that bracket a 30-day period of time. DJX is obtained by annualizing the interpolated value, taking its square root and expressing the result in percentage points.