Cboe Emerging Markets Volatility Index (VXEEM)

The Cboe Emerging Markets Volatility Index (VXEEM) is a VIX-style estimate of the expected 30-day volatility of  returns on the MSCI EEM Index .   Like VIX,VXEEM  is calculated by i nterpolating between two  weighted sums of option midquote  values,  in this case options on EEM. The two sums essentially represent the expected variance of MSCi EEM  Index returns  up to two option expiration dates that bracket a 30-day period of time. VXEEM is obtained by annualizing the interpolated value, taking its square root and expressing the result in percentage points.

The Cboe Emerging Markets ETF Volatility Index (VXEEM) Chicago Board Options Exchange (Cboe) estimates the expected 30-day volatility of MSCI Emerging Market Index ( MSCI EEM).   VXEEM follows the VIX algorithm to options on the MSCI EEM  to estimate the index.

VBEEM and VAEEM are variations of VXEEM that employ bid and ask prices respectively in the calculation instead of mid-quotes.

Resources

• Historical Data