vix-index-replication-2026

VIX Index Replication - Academic resource for PhD/Researchers with full CBOE methodology implementation

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Information

Property	Value
Language	Python
Stars	0
Forks	0
Watchers	0
Open Issues	0
License	No License
Created	2026-01-15
Last Updated	2026-02-19
Last Push	2026-01-15
Contributors	1
Default Branch	main
Visibility	private

Notebooks

This repository contains 1 notebook(s):

Notebook	Language	Type

| 01_introduction | PYTHON | jupyter |

Datasets

This repository includes 1 dataset(s):

Dataset	Format	Size

| charts-data.json | .json | 37.17 KB |

Reproducibility

No specific reproducibility files found.

Status

• Issues: Enabled
• Wiki: Enabled
• Pages: Enabled

README

VIX Index Replication

Academic resource for PhD/Researchers implementing the CBOE VIX methodology with full mathematical derivations.

Features

• VIX Calculator: Complete implementation of CBOE's variance swap methodology
• Synthetic Data Generator: Multiple market regimes (normal, high vol, crisis, low vol, skew shock)
• Realized Volatility: 5 estimators (Close-to-Close, Parkinson, Garman-Klass, Yang-Zhang, Rogers-Satchell)
• VIX Derivatives: Futures term structure, VIX options, VVIX
• Interactive Dashboard: Step-by-step calculator with visualizations
• Jupyter Notebooks: Educational walkthroughs with full derivations

Installation

pip install -e .

For development:

pip install -e ".[all]"

Quick Start

from vix_replication import VIXCalculator, SyntheticDataGenerator

# Generate synthetic option chain
generator = SyntheticDataGenerator(regime='normal')
near_term, next_term = generator.generate_option_chains()

# Calculate VIX
calculator = VIXCalculator()
result = calculator.calculate(near_term, next_term, risk_free_rate=0.05)

print(f"VIX: {result['vix']:.2f}")

Documentation

• Variance Swap Theory
• VIX Methodology
• Calculation Steps

Interactive Dashboard

Visit: https://digital-ai-finance.github.io/vix-index-replication-2026

Project Structure

vix-index-replication-2026/
├── src/vix_replication/    # Python package
├── docs/                   # Documentation
├── notebooks/              # Jupyter notebooks
├── charts/                 # Visualizations
├── dashboard/              # GitHub Pages site
└── tests/                  # Unit tests

References

• CBOE VIX White Paper (Official Methodology)
• Carr, P., & Madan, D. (1998). Towards a theory of volatility trading
• Demeterfi, K., et al. (1999). More Than You Ever Wanted to Know About Volatility Swaps

License

MIT License - See LICENSE file for details.