Calculating the VIX in Excel

Date Added: Dec 2007
Format: PDF

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.