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by | Dec 22, 2013 | Publications. VIX is a measure of expected volatility calculated as 100 times the square root of the expected 30-day variance (var) of the S&P 500 rate of return. The variance is annualized and VIX expresses volatility in percentage points.
Specifically, the VIX is designed to measure the expected 30-day volatility for the S&P 500. The Chicago Board Options Exchange (CBOE) calculates volatility indices for a number of different ETFs and indices.n 2003 the CBOE adopted a new methodology that uses near-term and next-term put and call options to measure implied volatility for the S&P 500. As you can see from the charts above, the difference between these two indicators is negligible to the naked eye. Near-term options have at least 1 week left until expiration.