VIX Methodology To Include SPX Weeklys
Sep 4, 2014
The Chicago Board Options Exchange is to include SPX weeklys options series in its VIX calculation. According to the CBOE, the addition of weeklys options will allow the VIX’ spot values to be calculated with S&P 500 option series that more precisely match the 30-day target timeframe for expected volatility that the VIX is intended to represent.
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