Cboe Global Markets Launches 1-Day Volatility Index, Designed to Measure Volatility Over Current Tra

[ETJ]

Cboe Global Markets Launches 1-Day Volatility Index, Designed to Measure Volatility Over Current Trading Day
Cboe Global Markets
Cboe Global Markets, Inc. (Cboe: CBOE), the world's leading derivatives and securities exchange network, today announced the launch of the Cboe 1-Day Volatility Index (VIX1D). Developed by Cboe Labs, the company's in-house innovation hub, the VIX1D Index seeks to measure the expected volatility of the S&P 500 Index over the current trading day (today); in other words, single trading day volatility. Similar to the Cboe Volatility Index (VIX Index), the VIX1D Index estimates expected volatility by aggregating the weighted prices of P.M.-settled SPX (SPXW) options with one- to zero- day expirations over a wide range of strike prices.
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[stepandfetchit]

If you find a link to the detailed disclosure (white paper?) on how VIX1D is computed, please post. I have not found it yet!

 

[mervyn]

Yes, like to know the formula.

 

[newwurldmn]

Per the article posted by ETJ, it's similar to standard vix. A sumation of weighted puts and calls on 0dte and 1dte options.

 

[mervyn]

Per the article posted by ETJ, it's similar to standard vix. A sumation of weighted puts and calls on 0dte and 1dte options.

What’s the time value parameter?