Calculating the VIX in Excel
12 Pages Posted: 8 Mar 2008
Date Written: December 14, 2007
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.
Keywords: VIX, options, Excel
JEL Classification: G13
Suggested Citation: Suggested Citation