Abstract

http://ssrn.com/abstract=1103971
 
 

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Calculating the VIX in Excel


Tom Arnold


University of Richmond - E. Claiborne Robins School of Business

John H. Earl


University of Richmond - E. Claiborne Robins School of Business

December 14, 2007


Abstract:     
The VIX has become a popular volatility index that is based on a weighted average of S&P 500 options that straddle a 30-day maturity. This manner of calculating the VIX emerged in September of 2003 and is documented with an example by the CBOE. In this paper, the calculation of the VIX is reproduced in an Excel template to automate and to some degree simplify the calculation. Further, one can also apply other option series to calculate a VIX-type analysis for the underlying security which is of great benefit because the calculation is independent of option pricing model biases.

Number of Pages in PDF File: 12

Keywords: VIX, options, Excel

JEL Classification: G13

working papers series


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Date posted: March 8, 2008  

Suggested Citation

Arnold, Tom and Earl, John H., Calculating the VIX in Excel (December 14, 2007). Available at SSRN: http://ssrn.com/abstract=1103971 or http://dx.doi.org/10.2139/ssrn.1103971

Contact Information

Thomas M. Arnold (Contact Author)
University of Richmond - E. Claiborne Robins School of Business ( email )
1 Gateway Drive
Richmond, VA 23173
United States
804-287-6399 (Phone)
804-289-8878 (Fax)
John H. Earl
University of Richmond - E. Claiborne Robins School of Business ( email )
Richmond, VA 23173
United States
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