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Calculating The VIX in Excel - Excel Template

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157 views

Calculating The VIX in Excel - Excel Template

Uploaded by

fevi kwik
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLS, PDF, TXT or read online on Scribd
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Time to Maturity:

Current Time: 8:30:00

Option 1: 16 days 0.04110 years 15.00 days

Option 2: 44 days 0.11781 years 43.00 days

Risk-free Rate: 1.1625% annual

Near-Term
Difference: Strike: Call Put Delta-Strike: C/P-Near: VIX-Near:
$ 125.37 775 $ 125.48 $ 0.11 25 0.11 0.00000458
$ 100.38 800 $ 100.79 $ 0.41 25 0.41 0.00001602
$ 75.40 825 $ 76.70 $ 1.30 25 1.3 0.00004777
$ 50.41 850 $ 54.01 $ 3.60 25 3.6 0.00012463
$ 25.41 875 $ 34.05 $ 8.64 25 8.64 0.00028226
$ 0.43 900 $ 18.41 $ 17.98 25 18.195 0.00056184
$ 24.56 925 $ 8.07 $ 32.63 25 8.07 0.00023591
$ 49.55 950 $ 2.68 $ 52.23 25 2.68 0.00007427
$ 74.54 975 $ 0.62 $ 75.16 25 0.62 0.00001631
$ 99.52 1000 $ 0.09 $ 99.61 25 0.09 0.00000225
$ 124.51 1025 $ 0.01 $ 124.52 25 0.01 0.00000024

Far-term
Difference: Strike: Call Put Delta-Strike: C/P-Far: VIX-Far:
$ 126.06 775 $ 128.78 $ 2.72 25 2.72 0.00011337
$ 101.09 800 $ 105.85 $ 4.76 25 4.76 0.00018619
$ 76.13 825 $ 84.14 $ 8.01 25 8.01 0.00029462
$ 51.16 850 $ 64.13 $ 12.97 25 12.97 0.00044940
$ 26.20 875 $ 46.38 $ 20.18 25 20.18 0.00065984
$ 1.23 900 $ 31.40 $ 30.17 25 30.785 0.00095146
$ 23.74 925 $ 19.57 $ 43.31 25 19.57 0.00057259
$ 48.70 950 $ 11.00 $ 59.70 25 11 0.00030513
$ 73.67 975 $ 5.43 $ 79.10 25 5.43 0.00014300
$ 98.63 1000 $ 2.28 $ 100.91 25 2.28 0.00005708
$ 123.60 1025 $ 0.78 $ 124.38 25 0.78 0.00001859

Index Level:

Near-Term:
Strike: Call Put Level: Ref-Strike: Variance: Term1:
900 $ 18.41 $ 17.98 $ 900.43 900 0.06647723 0.00126840

Far-Term:
Strike: Call Put Level: Ref-Strike: Variance: Term2:
900 $ 31.40 $ 30.17 $ 901.23 900 0.06366825 0.00401820

VIX Calculation: 25.36


Time to Maturity:

Current Time: 12:09:00

Option 1: 9 days 0.02150 years 7.85 days

Option 2: 37 days 0.09821 years 35.85 days

Risk-free Rate: 1.1625% annual

Near-Term
Difference: Strike: Call Put Delta-Strik C/P-Near: VIX-Near:
$ 11.70 75 $ 11.75 $ 0.05 5 0.05 0.00004446
$ 6.82 80 $ 6.90 $ 0.08 5 0.08 0.00006252
$ 1.80 85 $ 2.40 $ 0.60 5 1.5 0.00103832
$ 3.22 90 $ 0.18 $ 3.40 5 0.18 0.00011114
$ 8.25 95 $ 0.05 $ 8.30 5 0.05 0.00002771

Far-term
Difference: Strike: Call Put Delta-Strik C/P-Far: VIX-Far:
$ 6.97 80 $ 7.70 $ 0.73 5 0.73 0.00057096
$ 2.00 85 $ 3.80 $ 1.80 5 2.8 0.00193993
$ 3.00 90 $ 1.05 $ 4.05 5 1.05 0.00064889

Index Level:

Near-Term:
Strike: Call Put Level: Ref-Strike: Variance: Term1:
85 $ 2.40 $ 0.60 $ 86.80 85 0.0985814 0.00044269

Far-Term:
Strike: Call Put Level: Ref-Strike: Variance: Term2:
85 $ 3.80 $ 1.80 $ 87.00 85 0.058695 0.00456069

VIX Calculation: 24.67


Bid: Ask: Bid: Ask:
11.6 11.9 0.05 0.05
6.8 7 0.05 0.1
2.35 2.45 0.55 0.65
0.15 0.2 3.3 3.5
0.05 0.05 8.1 8.5

Bid: Ask: Bid: Ask:


7.4 8 0.45 1
3.6 4 1.6 2
1.1 1 4.1 4

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