Re: How is the VIX calculated

[BobRABCDEF@xxxxxxx]

In a message dated 98-06-03 13:53:58 EDT, davidr@xxxxxxxxxx writes:

<< 
 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. >>

Then what you may want to start with is "The Risk Management Series Options
#3" from the CBOE.  There are also numerous academic references in the back of
the booklet.  The switch from option inputs for one expiration to the next is
done at the beginning of expiration week.  

BobR