Cboe Options on AMZN - Amazon Inc.

The Cboe Amazon VIX Index^SM (VXAZN) is a VIX-style estimate of the expected 30-day volatility of Amazon stock returns. Like VIX^®, VXAZN is calculated by interpolating between two weighted sums of option midquote values, in this case options on AMAZON. The two sums essentially represent the expected variance of the AMAZON returns up to two option expiration dates that bracket a 30-day period of time. VXAZN is obtained by annualizing the interpolated value, taking its square root and expressing the result in percentage points.

Resources

• VXAZN Methodology
• VXAZN Historical Data