VXV (CBOE S&P500 3-Month Volatility Index)

This page provides basic information and resources for VXV, a volatility index by CBOE: explanation, calculation, difference between VXV and VIX, and how to get VXV historical and intraday data.

What Is VXV?

VXV is the symbol for CBOE S&P500 3-Month Volatility Index (that’s the official name). This index is very similar to the better known VIX – it measures implied volatility of S&P500 options for a fixed time horizon. In other words, the index measures volatility expectations of market participants, reflected in option prices.

If you are not familiar with the basic concepts like volatility and options, or you don’t know what CBOE or S&P500 are, see the very basic explanation here: What Is VIX?

VIX vs. VXV Difference

The time horizon (time to expiration of the options) is the only difference between VIX and VXV. While the VIX measures implied volatility of S&P500 options with 30 days to expiration, the VXV measures implied volatility of S&P500 options with 93 days (3 months) to expiration. Of course, in reality S&P500 options with exactly 30 or exactly 93 days to expiration only exist once per month. For calculating VXV or VIX, the nearest option expirations are used and interpolated.

VXV Calculation

The VXV index is calculated using exactly the same logic as the VIX index. The only difference is of course in the time horizon (30 days for VIX and 93 days for VXV).

Here you can find detailed step-by-step explanation of VIX calculation.

Here you can find an official paper by CBOE, discussing the calculation and values of the VXV index (it is only 6 pages):

http://www.cboe.com/micro/vxv/3monthvix.pdf

VXV and VIX Term Structure

Like the VIX index, the VXV is in fact a mere one point in the VIX Term Structure – the term structure of implied volatility of S&P500 options. While the VIX measures 30-day implied volatility, the VXV measures 93-day volatility. Therefore, you can get a quick and very rough view of the term structure just by looking at the values of VIX and VXV.

VXV Historical Data

An Excel spreadsheet with daily historical data of VXV index is available on the official website of CBOE. The data is in the OHLC (Open, High, Low, Close) format and going back to 4 December 2007. It is updated daily. You can download it directly using this link:

www.cboe.com/publish/scheduledtask/mktdata/datahouse/vxvdailyprices.csv

VXV Real-Time and Intraday Data

The VXV index is calculated in real time every 15 seconds during the main US trading session (9:30-16:15 Eastern Time).

You can get real-time data in most trading platforms of major brokers. The data subscription should be in the same package as the VIX and other CBOE volatility indices.

Delayed intraday VXV data and chart are available on CBOE website. At the time I am writing this VXV is not listed among the quotes on the CBOE homepage, but you can get it on the Quotes & Data page (enter “VXV” in the search field marked “Get Quote – Enter Symbol”).

You can also get it on this page on Yahoo Finance: http://finance.yahoo.com/q?s=^VXV