VIX and CX

Implementation of (CBOE's) VIX and CX (Corridor implied Volatility) indexes from option data
Updated 25 Nov 2019

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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 (2024). VIX and CX (, MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2019a
Compatible with any release
Platform Compatibility
Windows macOS Linux
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Version Published Release Notes

Sample option data updated.