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Just a quick refresher for those who posted the question as to how VIX
is calculated.
Vix is drawn from 8 options. The front month puts and calls bracketing
the current cash value of the OEX and the same second month options.
The front month is dropped on Monday of expiration week and the "third"
and second month then make up the VIX.
They are weighed so as to achieve an exactly ATM..exactly 30 day value.
So if the OEX were 567.28 you would , in theory, be calculating a 30 day
567.28 option. Not a put or a call, but rather a benchmark of the
options marketplace as measured by the OEX.
It now calculates 15 minutes after opening..it used to be 30 minutes.
So for the first 15 minutes it appears unchanged. It calculates
real-time after that. VIX was created by Prof. Bob Whaley at the Duke
grad school.
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