Mar 8, 2012

Calculating VIX - like Indexes In Excel

There are two excellent resources on creating your own spreadsheet for calculating VIX or VIX-like volatility index for your product of choice:

1 "Calculating the VIX in Excel" by Tom Arnold and John H. Earl, available for free download from SSRN.

2  Derivatives: Markets, Valuation, and Risk Management (Wiley Finance) has step by step demonstration from Robert Whaley - the person who invented VIX! Book preview (with complete VIX calculation instructions) is available from google books (Appendix 15A)

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