Although the VIX Index formula is complex, there are some basic points to understand about how the VIX is calculated.
The VIX Index is calculated in real-time using the midpoint of S&P 500® Index (SPX) Call and Put option bid/ask quotes that are listed for trading on the Cboe Options Exchange.
Only standard SPX options and weekly SPX options that expires on Fridays are used for the calculation.
- Standard SPX options expire on the third Friday of each month
- Weekly SPX options expire on all other Fridays.
The options used for the calculation are out-of-the-money SPX calls and puts centered around an at-the-money strike price and with more than 23 days and less than 37 days to expiration (DTE). These options are then weighted average to yield a constant maturity 30-day measure of the expected volatility of the S&P 500 Index.
The generalized formula used in the VIX Index calculation is:
The square root of that calculated value is multiplied by 100 to get the VIX.