Quantitative finance collector
C++ Matlab VBA/Excel Java Mathematica R/Splus Net Code Site Other
Mar 24

VIX calculation

Posted by abiao at 17:26 | Code » Matlab | Comments(9) | Reads(25399)
CBOE Volatility Index, VIX, was originally designed to measure the market’s expectation of 30-day volatility implied by at-the-money S&P 100 Index (OEX) option prices. Now VIX is used to reflect a new way to measure expected volatility, one that continues to be widely used by financial theorists, risk managers and volatility traders alike. The new VIX is based on the S&P 500 Index (SPX), the core index for U.S. equities, and estimates expected volatility by averaging the weighted prices of SPX puts and calls over a wide range of strike prices. By supplying a script for replicating volatility exposure with a portfolio of SPX options, this new methodology transformed VIX from an abstract concept into a practical standard for trading and hedging volatility.

Introduced by this paper http://www.cboe.com/micro/vix/vixwhite.pdf, VIX calculation is done step-by step as:
1), Select the options to be used in the VIX calculation;
2), Calculate volatility for both near-term and next-term options;
3), Calculate the 30-day weighted average of variance, then take the square root of that value and multiply by 100 to get VIX.

Matlab code: VIX


Tags: ,
Hey abiao,
it would really help me if u could send me the matlab code for the VIX calculation,
tank u verry mutch!

igorarb@gmail.com
Igorarb, that code is not written by me, so I updated the link above where you can see directly the codes.
resumewriters com Homepage
The Vix calculation done here is a little different to the way I do it. I shared my way at the resumewriters com website, so you can go there and compare both methods. Then, you can tell me which way is better.
Fantastic page! I learned numerous important things in which I’ve put in a lot of time in search of on several other places. I would definitely advise it to every body.

jetpack joyride hack
Thanks for sharing this quality information with us. I really enjoyed reading. Will surely going to share this URL with my friends
BSNL Teleservices Homepage
ISP Bharat Sanchar Nigam Limited (BSNL) is the pioneer telecom in India, and the policies were further modified to introduce ISPs in the market, Several companies (Bharti Airtel, Reliance Jio Aircel, ACT, Vodafone, Idea Cellular) joined the Indian market, and BSNL Teleservices provides the best information on all telecom and infra services provided by BSNL, and the telephone density in the sector has increased more day by day.
I really like the information it's very informative please keep posting these type of information.
live streaming Email Homepage
I really like the information it's very informative please keep posting these type of information
Eulogy Examples for a Friend Email Homepage
You are so creative—I always love getting your perspective on things.
Pages: 1/1 First page 1 Final page
Add a comment
Emots
Enable HTML
Enable UBB
Enable Emots
Hidden
Remember
Nickname   Password   Optional
Site URI   Email   [Register]