Short Note on VIX by Nikhil in the Hindu Business Line, 2nd Feb 2014.
” VIX is a trademarked symbol for the Chicago Board Options Exchange (CBOE) Market Volatility Index. It represents the market’s expectation of volatility over a pre-defined period.
India VIX is a volatility index based on the Nifty index option prices. From the best bid-ask prices of Nifty options, a volatility figure (in per cent) is calculated, indicating the expected market volatility over the next 30 days.
India VIX uses the computation methodology of CBOE, with suitable amendments to adapt to the Nifty options order book. ”