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The VIX® Calculation Step-by-Step
Author

Mike Honeychurch
Organization: Wolfram Research, Inc.
Revision date

2010-01-19
Description

The Chicago Board Options Exchange® (CBOE®) Volatility Index®, also known as the VIX, is a benchmark for U.S. stock market volatility. The VIX is based on the S&P 500® Index, and estimates expected volatility by averaging the weighted prices of SPX puts and calls over a wide range of strike prices. The CBOE has a whitepaper describing a step by step calculation of the VIX.

The purpose of this notebook is to demonstrate how to implement the VIX calculation using Mathematica by following the step by step implementation outlined in the CBOE white paper. Ideally the notebook would be read alongside the CBOE white paper. Remarks from the CBOE white paper are shown in italics.
Subject

*Business and Economics > Finance
Keywords

finance
Downloads

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VIX.zip (834 KB) - ZIP archive