Calculating the VIX in Excel

Abstract

The VIX, based on a weighted average of S&P 500 Index options that straddle a 30-day maturity, has become a popular volatility index. This manner of calculating the VIX emerged in September of 2003 and is documented with an example by the CBOE. In this article, the calculation of the VIX is reproduced in a Microsoft 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.

TOPICS: Volatility measures, statistical methods, security analysis and valuation