Calculating the VIX Index

In this section, we will perform a step-by-step replication of the VIX Index. Calculation of the VIX Index is documented on the CBOE website. You may obtain a copy of the CBOE VIX white paper at http://www.cboe.com/micro/vix/vixwhite.pdf.

Importing SPX options data

Suppose you had gathered SPX options data from your broker or purchased historical data from an external source such as the CBOE website. For the purpose of this chapter, the end-of-day SPX option chain prices are observed from Monday, October 15, 2018 to Friday, October 19, 2018 and saved into Comma-separated Values (CSV) files. Sample copies of these files are provided under the files folder of the source codes repository.

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