The "VIX" of a stock

[daytrader85]

Hi,

Is there anyway to calculate the "VIX" of a stock. I know the VIX index is calculated using the ATM options of the SPX. Is there any indicator that's out there to do that with a stock, like AAPL, maybe?

If there isn't I could create an Excel file to reproduce that indicator, but I couldn't do it real time.

Thanks.

 

[Jgills]

actually one exists for apple. ticker VXAPL

CBOE Apple VIX Index [BBGID BBG001D20YB1]

 

[kapw7]

I am using Excel VBA functions from this book :
Option Pricing Models and Volatility Using Excel-VBA (Wiley)

There are also functions for model-free skewness and kurtosis.On VBA they can be very slow but it's perfect for me

If you google VIX Excel calculation I'm pretty sure you can find a free download that you can use.

 

[cdcaveman]

this paper has it spelled out..

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1103971

 

[daytrader85]

This is good, thanks guys! I'll be sure to check it out!

 

[optiontrader767]

This page provides a list of the major volatility tickers ("vix index" tickers) for the major indexes and several stocks. (about halfway down the page) It also explains the VIX index's very unique pricing. hope it helps
http://www.strategic-options-trading.com/vix-index.html

 

[daytrader85]

Quote from optiontrader767:

This page provides a list of the major volatility tickers ("vix index" tickers) for the major indexes and several stocks. (about halfway down the page) It also explains the VIX index's very unique pricing. hope it helps
http://www.strategic-options-trading.com/vix-index.html

Thanks optiontrader. That was a great article!

 

[loufah]

thinkorswim can show the volatility index of a stock. In a seminar, one of the reps said it's calculated "just like the VIX".

 

[daytrader85]

Quote from loufah:

thinkorswim can show the volatility index of a stock. In a seminar, one of the reps said it's calculated "just like the VIX".

How is that done? Are there instructions for that, or an article?