VIX Index Replication Engine

Production-grade implementation of the CBOE VIX Index calculation with millisecond precision. Full transparency, comprehensive visualizations, and a live calculator demo.

<1ms
Calculation Time
12
Interactive Charts
100%
CBOE Methodology

VIX Calculation Methodology

The VIX Index measures the market's expectation of 30-day forward-looking volatility, derived from SPX option prices using the CBOE methodology.

Main Formula

$$VIX = 100 \times \sqrt{\sigma^2}$$

Where the variance is calculated as:

$$\sigma^2 = \frac{2}{T} \sum_{i} \frac{\Delta K_i}{K_i^2} e^{RT} Q(K_i) - \frac{1}{T} \left[\frac{F}{K_0} - 1\right]^2$$

Calculation Steps

  1. Calculate Forward Price

    Use put-call parity at the ATM strike: F = K + e^(RT) x (Call - Put)

  2. Select K0 (ATM Strike)

    First strike price immediately below the forward index level

  3. Select OTM Options

    Puts below K0, calls above K0. Stop at two consecutive zero-bid strikes.

  4. Calculate Variance

    Sum weighted contributions from each strike, apply adjustment term

  5. Interpolate to 30 Days

    Combine near-term and next-term variances for constant 30-day maturity

  6. Compute Final VIX

    VIX = 100 x sqrt(interpolated variance)

Interactive Visualizations

Explore the VIX calculation through 12 interactive charts. Each visualization demonstrates a key aspect of the VIX methodology.

VIX Timeseries Full Screen
Options IV Heatmap Full Screen
3D IV Surface Full Screen
Term Structure Full Screen
Strike Contributions Full Screen
Near vs Next Term Full Screen
Forward Price Evolution Full Screen
Variance Decomposition Full Screen
SPX vs VIX Full Screen
Intraday VIX Full Screen
Volume & Open Interest Full Screen
Calculation Pipeline Full Screen

Live VIX Calculator

Calculate VIX in your browser using Pyodide (Python compiled to WebAssembly). Adjust the parameters below to see how different market conditions affect VIX.

Calculated VIX
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Quick Start

Get started with the VIX calculation engine in just a few lines of code.

from src.vix_calculator import VIXCalculator from src.data_ingestion import SimulatedDataGenerator from datetime import datetime # Generate sample data generator = SimulatedDataGenerator() snapshot = generator.generate_single_snapshot(datetime.now()) # Calculate VIX calculator = VIXCalculator() result = calculator.calculate_from_snapshot(snapshot) print(f"VIX: {result.vix_value:.2f}") print(f"Calc time: {result.calculation_time_ms:.3f} ms")

Installation

# Clone the repository git clone https://github.com/Digital-AI-Finance/vix-index.git cd vix-index # Install dependencies pip install -r requirements.txt # Run validation python scripts/validate_against_cboe.py