The industry’s leading volatility index (VIX) is about to get altered.
The Chicago Board Options Exchange (CBOE) announced today that starting October 6, it plans to begin including SPX Weeklys options series in the VIX Index calculation.
Weeklys are options that expiring every Friday, except the third Friday of each month.
Currently, only S&P 500 Index options with monthly expirations are used in the VIX Index calculation.
The inclusion of SPX Weeklys into the VIX methodology will not alter the VIX formula, according to the CBOE. The addition of Weeklys options will simply allow VIX Index “spot” values to be calculated with S&P 500 Index option series that more precisely match the 30-day target timeframe for expected volatility that the VIX Index is intended to represent.
The addition of SPX Weeklys options to the VIX Index calculation will not impact the exchanges’ VIX Index products. The final settlement value for VIX futures and options will continue to use the same VIX Index formula and the opening prices of standard (i.e., third Friday expiration) SPX option series.
