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The CBOE VIX (i.e. model-free implied volatility) is only available for larger stock market indices and a few large stocks (see the CBOE website). As I am currently working on deriving VIX for a larger sample of individual equities (in a research context) I came upon the question why no one offers VIX (or any other kind of model-free implied volatility) for other individual stocks.

I am especially interested in the question whether this is because there is no actual use case of individual VIX for professionals in the finance sector or if it is rather an issue of availability of tools to calculate it.

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  • $\begingroup$ VIX can be calculated for any underlying for which there is a sufficient number of put and call strikes available. What that "sufficient number" is I don't know. Nor how many stocks meet this requirement. (Perhaps you can investigate this ;) ). $\endgroup$
    – noob2
    Sep 18 '20 at 14:46
  • $\begingroup$ Almost any desk that trades single-equity options, both on buy- or sell-side, is likely to mark volatility surface for a lot of their underlyings (single equities and minor indices) derived from exchange-traded options that everyone sees and OTC options that few people see. But they would get no benefit from publishing it for everyone to see. $\endgroup$ Sep 18 '20 at 15:36
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    $\begingroup$ If anything, things are going in the other direction. CBOE calculates a VIX on the TY10 10-year treasury futures, and futures on that VIX index were traded for 14 years, but we're discontinued some months ago. The driver was simply the struggle for liquidity among the user base (and I agree with your assumption that ultimately this must mean it had limited use as a hedging instrument) - fred.stlouisfed.org/series/VXTYN $\endgroup$
    – StackG
    Sep 19 '20 at 2:54
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"The CBOE VIX (i.e. model-free implied volatility) is only available for larger stock market indices and a few large stocks"

Also available for gold (GVZ), silver (VXSLV) and oil (OVX), so not just equities/equity indices.

"why no one offers VIX (or any other kind of model-free implied volatility) for other individual stocks"

CBOE is not a charity. Not clear there is sufficient demand for them to make money from creating VIX-like indices for single stocks.

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