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The VIX® Calculation Step-by-Step
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| Organization: | Wolfram Research, Inc. |
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2010-01-19
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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.
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finance
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| VIX.zip (834 KB) - ZIP archive |
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