Statistik › Volatilität und VIX › The VIX calculation
The volatility index methodology does not contain its own roll rule
| Element | What the methodology states |
|---|---|
| Index definition | the volatility measure multiplied by 100 |
| Option universe | all morning settled monthly contracts and afternoon settled weekly contracts |
| Exclusion | weeklies expiring on the same date as a morning settled monthly |
| Zero bid rule | exclude any put with a bid price equal to zero |
| Stop rule | stop once two consecutive strikes have zero bids, separately for puts and calls |
| At the central strike | select both the put and the call |
| Central strike | first strike at or immediately below the forward index level |
| Forward price | strike plus the discounted difference between the call and put price |
| Constant maturity | thirty days |
| Roll window in days to expiry | not in this document |
From version 6.0 of the published methodology, last revised 26 February 2026. The variance formula itself is garbled in the document's text layer and is not reproduced here. The document defers the day count window to a bracket method section of a companion mathematics document, and the general thirty day interpolation formula to another section of the same companion.
The published methodology defines the option universe, the exclusion rules and the forward price, and defers the day count window and the thirty day interpolation to a companion mathematics document that is not reachable at any published path.
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