How Is the VIX Calculated Using S&P 500 Options?

The VIX is calculated by taking a weighted average of the implied volatilities of a wide range of out-of-the-money (OTM) call and put options on the S&P 500 Index (SPX). It uses a formula to derive a measure of the expected volatility over the next 30 days, interpolating between two near-term option expiration dates.

The VIX is expressed as an annualized percentage, representing a one-standard-deviation move expected by the market. It is a continuous measure of the market's fear or complacency.