CBOE Publishing Intraday
VIX Term Structure



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The VIX-Style Implied
Volatility of Options



January 21, 2011

One of the limitations of the VIX index is that it only provides a snapshot of SPX implied volatility at a constant 30-day duration. If you are interested in the VIX-style implied volatility of options with other durations, until today you have had to look at other products like VXV or the VIX futures for some guidance. However, the CBOE has just launched a page for publishing VIX term structure data on a current and historical basis. The page is available at www.cboe.com/data/volatilityindexes/volatilityindexes.aspx, and requires free registration.

This is an excellent new tool because it provides VIX-style values for all listed SPX options – not just the 30- and 93-day durations – so that a more complete term structure can be discerned. Traders using the VIX futures term structure to identify market expectations have had to contend with the “prediction of a prediction” aspect of VIX futures, but the calculation of VIX values across the SPX curve provides a more direct assessment.

vix term structure



The page allows users to pull a snapshot of the full term structure based on a date and time, or to submit queries by expiration month number, expiration date, or constant maturity. Users can retrieve historical data as a .csv file, and queries aren’t limited to daily closing prices: 15 second, minute, hourly, daily, weekly, and monthly frequencies are supported.

Currently, only a few weeks of historical data are available, but I assume more will be added in due course. I’m sure that setting all this up took some real effort on the part of the exchange, and I’m glad the data is being made available to users for free. This should be a valuable tool for VIX-watchers and especially quantitatively oriented traders.



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