Options price calculator cboe
The objective of this page is to explain the logic of VIX calculation and some of the underlying assumptions and parameters. If you are not familiar with VIX, you may first want to see a more basic explanation: Contrary to what many people believe, the VIX is not calculated using Black-Scholes or any other option pricing model. There is a formula which directly options price calculator cboe variance from the whole set of prices of options with the same time to expiration.
Two different variances for two different expirations are then interpolated to get day variance. This variance is then transformed into standard deviation by taking the square root and multiplied by Because the target time horizon for the VIX index is 30 days, two consecutive expirations with more than 23 days and less than 37 days are used.
As soon as the near-term options get less than 24 days to expiration, they are no longer used. The previously next-term expiration becomes the new near-term expiration and the next available expiration is added as the new next-term. This rollover happens every week. This is to eliminate illiquid far out of the money options which can imply extreme values of volatility and therefore distort the final VIX value. The options price calculator cboe of strikes goes from the at the money strike up for calls and down for putsuntil two consecutive strikes with zero bid price are found in each direction.
No other options options price calculator cboe such two consecutive zero bid strikes are included. The time to expiration for a particular option is calculated very precisely in minutes. The end of the period is the moment when the exercise-settlement value is being determined, which is the open 8: The interest rate used in VIX calculation is the bond-equivalent yield of US T-bills which mature closest to the particular option expiration. The day variance is calculated by interpolating the total variances of the two expirations.
The weights of options price calculator cboe two variances depend on how close or far each expiration is from the desired day mark the closer, the greater weight. The sum of the weights was always 1. The last step is to multiply the result by Until Octoberthe VIX calculation used monthly options only.
The rule was two nearest monthly expirations with at least one week left to expiration. This was to eliminate options in options price calculator cboe last days before expiration, whose prices sometimes behave in strange ways. This made the window around the 30 days target narrower and the calculation more precise. See more details about the switch and why the new method is better. Until September the VIX was calculated in an entirely different way, even using a different underlying:.
As you can see, the change in was much more significant then the one in If you don't agree with any part of this Agreement, please leave the website now. All information is for educational purposes only and may be inaccurate, incomplete, outdated or plain wrong. Macroption options price calculator cboe not liable for any damages resulting options price calculator cboe using the content.
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