This page provides basic information and resources for VIX3M (previously VXV) volatility index by CBOE: explanation, calculation, difference between VIX3M and VIX, and how to get VIX3M historical and intraday data.
What Is VIX3M?
VIX3M is the symbol for CBOE S&P500 3-Month Volatility Index (the old symbol for this index was VXV).
It 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. VIX3M Difference
The time horizon (time to expiration of the options) is the only difference between VIX and VIX3M. While the VIX measures implied volatility of S&P500 options with 30 days to expiration, the VIX3M 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 VIX3M or VIX, the nearest option expirations are used and interpolated.
VIX3M Calculation
The VIX3M 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 VIX3M).
Here you can find detailed step-by-step explanation of VIX calculation.
Here you can find official information by CBOE:
www.cboe.com/us/indices/dashboard/vix3m/
VIX3M and VIX Term Structure
Like the VIX index, the VIX3M 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 VIX3M 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 VIX3M.
VIX3M Historical Data
A CSV file with daily historical data of VIX3M 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:
cdn.cboe.com/api/global/us_indices/daily_prices/VIX3M_History.csv
VIX3M Real-Time and Intraday Data
The VIX3M 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 VIX3M data and chart are available on numerous websites, including CBOE and Yahoo Finance.