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VIX and CX

version 1.0.1 (136 KB) by Martin Magris
Implementation of (CBOE's) VIX and CX (Corridor implied Volatility) indexes from option data

4 Downloads

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 (2021). VIX and CX (https://www.mathworks.com/matlabcentral/fileexchange/73439-vix-and-cx), MATLAB Central File Exchange. Retrieved .

Comments and Ratings (1)

Amrita Banerjee

The options data file is required to test this code.

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

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VIX