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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 VIX provides a 30-day expectation of volatility, but the volatility estimate from SPX options changes in duration every day. For example, on May 1, 2013 the May SPX options, expiring on the 17th, provide a 16-day estimate of volatility, while the June options, expiring June 21st provide a 51-day estimate.