In calculating the CBOE VIX (post 2014) one has to select near- and next-term options, which are defined as options with >23 days and <37 days to maturity. As time moves on, a currently selected near term option passes the 23 day threshold and the currently selected next-term option takes its place. This is called "rollover".

I am calculating the VIX on a 1-minute intraday frequency. My question is the following: when does the rollover take place:

a) Daily, e.g. for all considered minutes on tuesday, I use a fixed set of near- and next term options. Rollover then takes place at 00:00.
b) Intradaily, e.g. at expiration of the weekly options at 15:00 or 8:30 for 3-weekly options. For minutes on tuesday after expiry, i have to select a new set of options.

The CBOE Whitepaper is not precise on this topic. Tzang, Hung, Wang & Shyu (2010) - Do liquidity and sampling methods matter in constructing volatility indices? Empirical evidence from Taiwan also do not specify.

  • 1
    $\begingroup$ At 3:15pm Chicago time the CBOE business day comes to an end. At 3:15am the next day the VIX starts to be calculated and disseminated to the public again, using the new date to select the options. (This is not too different from your answer a, except that I don't think you can get a VIX quotation at midnight, there is a gap in availability). $\endgroup$ – Alex C Nov 14 '19 at 15:18
  • $\begingroup$ Thank you @AlexC - you're right, one would not get a quotation at midnight, that was just meant as "end-of-the-day". In this case the rollover would take place on a daily frequency, which seems to be what the whitepaper indicates. $\endgroup$ – sgeorge Nov 14 '19 at 15:29

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.