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Readings: VIX, Fertilizers, Share buybacks

Posted on April 30, 2008

VIX & More: Ten Things Everyone Should Know About the VIXQ: How is the VIX calculated?A: The CBOE utilizes a wide variety of strike prices for SPX puts and calls to calculate the VIX. In order to arrive at a 30 day implied volatility value, the calculation blends options expiring on two different dates, with the result being an interpolated implied volatility number. For the record, the CBOE does not use the Black-Scholes option pricing model. Details of the VIX calculations are available from the CBOE in their VIX white paper.Q: How do investors use the VIX to time ...

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