Otm vix

[clarodina]

Anyone have a formula or know which website cal the vix for otm option

 

[Robert Morse]

Is this what you are looking for? If your trading platfrom does not do this, go to

http://www.cboe.com/framed/IVolfram...ADING_TOOLS&title=CBOE - IVolatility Services

Plug in the required information on the left and use the correct VX future. Here is an example.

This is from LVX:

 

[stepandfetchit]

Anyone have a formula or know which website cal the vix for otm option

Is this what you are looking for?
https://www.cboe.com/micro/vix/vixwhite.pdf

 

[JackRab]

Yeah, what are you after? How to price vix options?

 

[clarodina]

Not exactly try to get historical data of otm option volaility Similar to vix but on otm options The vix includes atm

 

[stepandfetchit]

Not exactly try to get historical data of otm option volaility Similar to vix but on otm options The vix includes atm

If you are really referring to the calculated VIX index, of the many options included, only 4 ATM options are included (one PUT/CALL pair for <30days and one PUT/CALL pair for >=30 days). Is is unclear why you desire to remove these from your data! You can purchase the raw data from CBOE LiveVol. Other providers are also avail, depending on how deep a history you require.

 

[clarodina]

Are there any formula to cal the volatility of option at specific moneyness level? Or some website having the historical data of volatility at moneyness level?

 

[stepandfetchit]

This is formula I currently use for Moneyness: Moneyness((log(strike*exp(dte*intrate/365))/price)/((dte/365)**.5))
I have not yet derived a good formula for extracting IV based on Moneyness, but it is on my plate.

 

[clarodina]

That wont cal the volatility for specific moneyness