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Don,
The Cox-Ross Model does not use a historical volatility. The model ism
used to calculate an implied vol. So simply what is done is to take the
last sale of the 8 options used in the VIX calculation. Use the Cox
Ross to calculate an implied vol (important point the vix prices off the
cash...not the implied forward....so it's vol's will be somewhat
different, however since you use both puts and call this washes out).
The massage these 8 implied vols to generate the properly weighted VIX.
No historical vol enters into it at all.
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