Today VIX is computed based on near- and next- term options series which fall into the time period of [23, 37] days. That is what it is now, when they use SPX weekly, so they have options expiring every week.

The question is, how was VIX calculated before 2014, when they used traditional SPX options only, expiring every month on the 3rd Friday? Could there be a situation when VIX was computed based on options with maturities of 1 and 31 days, for example?

And why end-of-month series are ignored?

  • 1
    $\begingroup$ The VIX computed before the change is sometimes called VXO or Vix old. I believe it was a weighted average of two estimates one longer and one shorter. It should be easy to find the online documentation. $\endgroup$
    – nbbo2
    Mar 30, 2016 at 21:28
  • $\begingroup$ Noob2 that is wrong. The weekly options change has nothing to do with VXO $\endgroup$ Apr 2, 2016 at 14:00

2 Answers 2


There were two changes to the VIX; the first change in 2003 that switched from S&P 100 options to S&P 500, and from implied volatility to variance swap method. The second change was in 2014 when calculation included weekly options.

Before 2014 the first series used had to have at least one week to expiration. Then the next series was used without any limit on time to expiration.

Month-end options were certainly considered, but are not used probably because historically they have been less liquid than regular 3rd Friday options. It is hard to say why CBOE did not include them when they included weeklys - I have not calculated statistics, but I just checked quotes, and bid-ask spreads, volumes, and open interest on month-end options appear comparable to nearest weekly options.

Source: pre-2014 VIX white paper http://www.dormantrading.com/uploaded/docs/directory/vixwhite.pdf

Alternative (reliable) link to white paper: https://web.archive.org/web/20091231021416/https://www.cboe.com/micro/vix/vixwhite.pdf

  • $\begingroup$ Thanks for the link. The introduction of weeklys also meant that no extrapolations were necessary, there would always be some option expiring between 7 and 30 days, and some option expiring in more than 30 days, which is not the case before the weeklys. $\endgroup$ Mar 6, 2018 at 2:04

The old VIX index is based on the Black-Scholes implied volatility of S&P 100 options. To construct the old VIX, two puts and two calls for strikes immediately above and below the current index are chosen. Near maturities (greater than eight days) and second nearby maturities are chosen to achieve a complete set of eight options. By inverting the Black-Scholes pricing formula using current market prices, an implied volatility is found for each of the eight options. These volatilities are then averaged, first the puts and the calls, then the high and low strikes. Finally, an interpolation between maturities is done to compute a 30 calendar day (22 trading day) implied volatility.

Source: http://chesnes.com/docs/fed_docs/Hao_NewVix.pdf
(see also Appendix within for the exact formulae)

See also this exhaustive (and seminal) paper by Carr, P.; Wu, L.: A tale of two indices


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Not the answer you're looking for? Browse other questions tagged or ask your own question.