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VIX uses 30-day weighted SPX options strip for calculation, Kris Sidial notes

VIX uses 30-day weighted SPX options strip for calculation, Kris Sidial notes
VIX calculation method confuses many

Kris Sidial continues to observe widespread misunderstanding around how the VIX is calculated. According to Sidial, the VIX is derived from the bid-ask spreads of a 30-day weighted strip of SPX options, with updates occurring every 15 seconds.

Sidial remains surprised at how many market participants are not familiar with these technical details about the index.

Sidial has previously recognized Vance Harwood for his substantial research and contributions to the VIX ETP market and volatility products. He also observed large recurring selling pressure in the ES futures market over a three-month period. These observations come as Sidial continues to focus on technical factors influencing volatility indices.

This material may contain third-party opinions, none of the data and information on this webpage constitutes investment advice according to our Disclaimer. While we adhere to strict Editorial Integrity, this post may contain references to products from our partners.

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