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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.
The inclusion of SPX Weeklys allows the VIX Index to be calculated with S&P 500 Index option series. that most precisely match the 30-day target timeframe for expected volatility that the VIX Index is. intended to represent. Using SPX options with more than 23 days and less than 37 days to expiration.