Cboe 1-Day Volatility Index®

The Cboe 1-Day Volatility Index® (VIX1D Index) estimates expected volatility by aggregating the weighted prices of P.M.-settled S&P 500 Index (SPX℠) puts and calls over a wide range of strike prices. The prices used to calculate VIX1D Index values are midpoints of real-time, P.M.-settled SPX (SPXW) option bid/ask price quotations. Because the period of expected volatility being measured is a single day, the P.M.-settled SPX option series that are used during the majority of the day that the VIX1D Index is calculated and disseminated include those where the expiry date is equal to the current day of the calculation (near-term expiration) and those with an expiry date closest to and after the near-term expiration (next term expiration).

Resources

• VIX1D Index Methodology Paper
• VIX1D Historical Price Data