VIX and CX
Implementation of (CBOE's) VIX and CX (Corridor implied Volatility) indexes from option data
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Given options data across several strikes for two maturities, the code implements the VIX and CX indexes.
The implementation follows:
Andersen, Torben G., Oleg Bondarenko, and Maria T. Gonzalez-Perez. "Exploring return dynamics via corridor implied volatility." The Review of Financial Studies 28.10 (2015): 2902-2945.
Cite As
Martin Magris (2026). VIX and CX (https://au.mathworks.com/matlabcentral/fileexchange/73439-vix-and-cx), MATLAB Central File Exchange. Retrieved .
General Information
- Version 1.0.1 (136 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
