Calculating the VIX in Excel
The VIX, based on a weighted average of S&P 500 Index options that straddle a 30-day maturity, has become a popular volatility index. This manner of calculating the VIX emerged in September of 2003 and is documented with an example by the CBOE. In this article, the calculation of the VIX is reproduced in a Microsoft Excel template to automate and to some degree simplify the calculation. Further, one can also apply other option series to calculate a VIX-type analysis for the underlying security, which is of great benefit because the calculation is independent of option-pricing model biases.
© 2008 Pageant Media Ltd. This article first appeared in The Journal of Trading 3, no. 3 (June 30, 2008): 39–45.
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Arnold, Tom, and John H. Earl. “Calculating the Vix in Excel.” The Journal of Trading 3, no. 3 (June 30, 2008): 39–45. doi:10.3905/jot.2008.708835.
Click below to download supplemental content.Calculating the VIX in Excel - Excel Template.xls (38 kB)
Calculating the VIX in Excel - Excel Template