How Is the VIX Calculated from a Basket of Options? ▴ Learn

How Is the VIX Calculated from a Basket of Options?

The VIX is calculated using a complex formula that aggregates the weighted prices of a wide range of out-of-the-money (OTM) put and call options on the S&P 500 index, spanning the next two expiration dates. It is a forward-looking measure, representing the market's expectation of 30-day volatility.

The formula ensures that the calculation is model-independent.

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