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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 is calculated by the Chicago Board Options Exchange (CBOE) and shows the market's volatility expectations for the next 30 days. In order to do this, the index tracks put and call options of the S&P 500. Currently, the VIX is the most commonly used method of measuring expected volatility.