What the VIX and VIX1D Indices Attempt to Measure and How They Differ
@OptionsTutor:
What is the Cboe Volatility Index (VIX Index)?It is simply a number derived from a calculation. What it measures is a bit more complicated. It provides a reading of constant, 30-day expected volatility of the S&P 500 Index (S&P 500). This measure is derived from real-time, mid-quote prices of a strip of S&P 500 options (SPX), whose expiries land between 23 and 37 days from the current trading day.The VIX Index’s output reading is a non-directional, annualized expectation for the standard deviation of the S&P 500. (Quick back of the envelope mathematical reference point: the VIX Index at 16 means an expected +/- 16% annual move for the S&P 500, which would equal a daily range of +/- ~1%.)For those willing to go deep into the weeds, this is the actual formula.The 30-day t