Interactive VIX Visualizations
Explore the VIX calculation methodology through interactive Plotly.js charts
Variance Contribution by Strike
Each strike contributes to the VIX variance calculation based on the formula: Contribution = (DeltaK / K^2) * e^(RT) * Q(K)
OTM puts (red) are used below K0, OTM calls (green) above K0.
Implied Volatility Smile Across Regimes
The characteristic equity volatility smile shows higher implied volatility for OTM puts (negative skew).
The smile steepens during high volatility and crisis regimes.
30-Day Constant Maturity Interpolation
VIX interpolates between near-term and next-term option expirations to maintain a constant 30-day maturity.
VIX Levels Across Market Regimes
VIX varies significantly across market conditions: low during calm markets, elevated during stress.
VIX Futures Term Structure
Contango (upward sloping): When spot VIX is low, futures trade at premium (mean reversion expectation).
Backwardation (downward sloping): When spot VIX is high, futures trade at discount.
Variance Risk Premium
VRP = VIX - Realized Volatility
The VRP is typically positive, reflecting investor demand for volatility protection.
VVIX vs VIX Relationship
VVIX measures the volatility of VIX itself. Higher VIX levels are associated with higher VVIX.
Contango/Backwardation Analysis
The term structure shape depends on spot VIX level relative to long-term mean (theta = 20).