Which options are used in the VIX

[killATwill]

Hi there, anyone know which options (strike prices, puts or calls, strike dates) are used to construct the VIX? The vix futures don't offer great liquidity and I'm wondering if better liquidity could be acheived through the construction of a synthetic vix, eg. buying the stip of options used in the vix's calculation.

thanks

 

[MTE]

Quote from killATwill:

Hi there, anyone know which options (strike prices, puts or calls, strike dates) are used to construct the VIX? The vix futures don't offer great liquidity and I'm wondering if better liquidity could be acheived through the construction of a synthetic vix, eg. buying the stip of options used in the vix's calculation.

thanks

I'm sure you can find this info at CBOE.

 

[nitro]

http://www.synctrading.com/phpbb/viewtopic.php?p=299#299

nitro

 

[killATwill]

wow, nitro. quite the find. thank you. i checked cboe and just couldn't find anything that divulged the method of calculation.

 

[xflat2186]

You could do the conversion or reversal to create synthetic long or short vix futures.

 

[GammaTheta]

killATwill:

i checked cboe and just couldn't find anything that divulged the method of calculation.

It's there http://www.cboe.com/micro/vix/vixwhite.pdf