How is VIX being changed?
Three important changes are being made to update and improve VIX:1. The New VIX is calculated using a wide range of strike prices in order to incorporate information from the volatility skew. The original VIX used only at-the-money options.2. The New VIX uses a newly developed formula to derive expected volatility directly from the prices of a weighted strip of options. The original VIX extracted implied volatility from an option-pricing model.3. The New VIX uses options on the S&P 500 Index, which is the primary U.S. stock market benchmark. The original VIX was based on S&P 100 Index (OEX) option prices.
Three important changes are being made to update and improve VIX: 1. The New VIX is calculated using a wide range of strike prices in order to incorporate information from the volatility skew. The original VIX used only at-the-money options. 2. The New VIX uses a newly developed formula to derive expected volatility directly from the prices of a weighted strip of options. The original VIX extracted implied volatility from an option-pricing model. 3. The New VIX uses options on the S&P 500 Index, which is the primary U.S. stock market benchmark. The original VIX was based on S&P 100 Index (OEX) option prices.
