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http://www.cboe.com/index/oex/xadvance.html#vix
David Rosenthal wrote:
> Can anyone point me to a source for how the VIX is calculated by the
> exchange? I'm not talking the Modified VIX here, I want to know the rules
> for the actual VIX. I know it's an average of IV for 8 puts and calls, but
> I want to know how they adjust it for expiration date.
>
> It seems to me that if the VIX (and indicators derived from it)is useful for
> trading the stock market, it may also be helpful for other markets - wheat,
> bonds, yen, etc. So I'm exploring what will be involved in writing a
> program to track the "VIX" for all the markets I trade.
>
> Thanks,
>
> David Rosenthal
> davidr@xxxxxxxxxx
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TC
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