What is VIX?

The VIX is calculated and disseminated in realtime by the Chicago Board Options Exchange (CBOE). It’s a weighted blend of prices for a range of options on the S&P 500 index. The formula uses a kernelsmoothed estimator that takes as inputs the current market prices for all out-of-the-money calls and puts forth front month and second month expirations. The goal is to estimate the implied volatility of the S&P 500 index over the next 30 days. Investors believe a high value of VIX (CBOE Volatility Index) translates into a greater degree of market uncertainty, while a low value of VIX is consistent with greater stability.