{"id":"https://openalex.org/W1982970949","doi":"https://doi.org/10.3905/jot.2010.5.4.063","title":"VIX Calculation Methodology: Mystifying or Mathematically Convoluted?","display_name":"VIX Calculation Methodology: Mystifying or Mathematically Convoluted?","publication_year":2010,"publication_date":"2010-09-28","ids":{"openalex":"https://openalex.org/W1982970949","doi":"https://doi.org/10.3905/jot.2010.5.4.063","mag":"1982970949"},"language":"en","primary_location":{"id":"doi:10.3905/jot.2010.5.4.063","doi":"https://doi.org/10.3905/jot.2010.5.4.063","is_oa":false,"landing_page_url":"https://doi.org/10.3905/jot.2010.5.4.063","pdf_url":null,"source":{"id":"https://openalex.org/S961788667","display_name":"The Journal of Trading","issn_l":"1559-3967","issn":["1559-3967","2168-8427"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-c","anvur-scientific","cwts-core","poland-20"],"host_organization":"https://openalex.org/P4310320662","host_organization_name":"Euromoney Institutional Investor","host_organization_lineage":["https://openalex.org/P4310320662"],"host_organization_lineage_names":["Euromoney Institutional Investor"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Trading","raw_type":"journal-article"},"parent_works":[],"lineage":["https://openalex.org/W1982970949"],"child_works_count":0,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5032045513","display_name":"Bani Arora","orcid":"https://orcid.org/0000-0003-1564-6712","observed_orcids":["https://orcid.org/0000-0003-1564-6712"]},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Bani Arora","raw_affiliation_strings":["is a derivatives trader and can be reached by email at baniarora@hotmail.com"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"is a derivatives trader and can be reached by email at baniarora@hotmail.com","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":["https://openalex.org/A5032045513"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.4607,"has_fulltext":false,"cited_by_count":1,"citation_normalized_percentile":{"value":0.76156399,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":88,"max":93},"biblio":{"volume":"5","issue":"4","first_page":"63","last_page":"64"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9272000193595886,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9272000193595886,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.030400000512599945,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.019500000402331352,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/vix","display_name":"VIX","score":0.847000002861023},{"id":"https://openalex.org/keywords/implied-volatility","display_name":"implied volatility","score":0.9480000138282776},{"id":"https://openalex.org/keywords/s-p-500","display_name":"S&P 500","score":0.8460000157356262},{"id":"https://openalex.org/keywords/options","display_name":"options","score":0.5559999942779541},{"id":"https://openalex.org/keywords/volatility-derivatives","display_name":"volatility derivatives","score":0.5839999914169312},{"id":"https://openalex.org/keywords/vix-derivatives","display_name":"VIX derivatives","score":0.5740000009536743},{"id":"https://openalex.org/keywords/portfolio-risk-management","display_name":"portfolio risk management","score":0.5910000205039978}],"concepts":[{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.7188456058502197},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5975528359413147},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.574995219707489},{"id":"https://openalex.org/C47941915","wikidata":"https://www.wikidata.org/wiki/Q107885","display_name":"Speculation","level":2,"score":0.5507083535194397},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5227860808372498},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.47761791944503784},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.432184636592865},{"id":"https://openalex.org/C183115368","wikidata":"https://www.wikidata.org/wiki/Q856577","display_name":"Weighting","level":2,"score":0.41131868958473206},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.13270410895347595},{"id":"https://openalex.org/C126838900","wikidata":"https://www.wikidata.org/wiki/Q77604","display_name":"Radiology","level":1,"score":0.0},{"id":"https://openalex.org/C71924100","wikidata":"https://www.wikidata.org/wiki/Q11190","display_name":"Medicine","level":0,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.3905/jot.2010.5.4.063","doi":"https://doi.org/10.3905/jot.2010.5.4.063","is_oa":false,"landing_page_url":"https://doi.org/10.3905/jot.2010.5.4.063","pdf_url":null,"source":{"id":"https://openalex.org/S961788667","display_name":"The Journal of Trading","issn_l":"1559-3967","issn":["1559-3967","2168-8427"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-c","anvur-scientific","cwts-core","poland-20"],"host_organization":"https://openalex.org/P4310320662","host_organization_name":"Euromoney Institutional Investor","host_organization_lineage":["https://openalex.org/P4310320662"],"host_organization_lineage_names":["Euromoney Institutional Investor"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Trading","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":0,"referenced_works":[],"related_works":["https://openalex.org/W2932344017","https://openalex.org/W3122203990","https://openalex.org/W3121432243","https://openalex.org/W7086815356","https://openalex.org/W7098576108","https://openalex.org/W2095121812","https://openalex.org/W2589261844","https://openalex.org/W4417477963","https://openalex.org/W1993067437","https://openalex.org/W3128852300"],"abstract_inverted_index":{"Wild":[0],"speculation":[1],"about":[2],"the":[3,7,21,36,46,52,55,70,87,104,109,121,143,158,177,183],"uncertain":[4],"future":[5],"of":[6,25,51,106,162,182],"economy":[8],"drives":[9],"market":[10,22,42,149],"indices":[11],"on":[12,32,176],"a":[13,41,60,82,128,131],"tempestuous,":[14],"gyrating":[15],"ride,":[16],"and":[17,72,79,95,102,108,145,160,166,179],"unreasoning":[18],"fear":[19],"captivates":[20],"players,":[23],"all":[24],"which":[26],"is":[27,40,123],"captured":[28],"in":[29,92,142,156,167],"real":[30,93],"time":[31],"trading":[33,164],"screens":[34],"as":[35],"VIX.":[37],"The":[38,117],"VIX":[39,144,172,184],"mechanism":[43],"that":[44,86,99],"measures":[45],"30-day":[47,62],"forward":[48],"implied":[49],"volatility":[50,100],"underlying":[53,187],"index,":[54],"S&P":[56,188],"500.":[57],"To":[58],"bracket":[59],"constant":[61,132],"calendar":[63],"period,":[64],"an":[65,154],"investor":[66],"needs":[67],"to":[68,126,134,138,148,174],"include":[69],"front-month":[71],"adjacent":[73],"expiry":[74],"month":[75],"options,":[76],"both":[77],"calls":[78],"puts,":[80],"with":[81,130,185],"nonzero":[83],"bid.":[84],"Given":[85],"option":[88],"selection":[89],"process":[90,119],"varies":[91],"time,":[94],"taking":[96],"into":[97],"consideration":[98],"vacillates":[101],"fluctuates,":[103],"number":[105],"options":[107,122,195],"strike":[110],"price":[111],"range":[112],"spanned":[113],"will":[114],"continually":[115],"change.":[116],"weighting":[118],"for":[120],"so":[124],"employed":[125],"encompass":[127],"portfolio":[129,169,193],"exposure":[133],"volatility.":[135],"Being":[136],"able":[137],"meaningfully":[139],"interpret":[140],"movements":[141],"its":[146,186],"reaction":[147],"events":[150],"can":[151],"give":[152],"investors":[153],"edge":[155],"managing":[157],"risk":[159],"profitability":[161],"their":[163],"book":[165],"designing":[168],"strategies":[170],"using":[171],"derivatives":[173],"capitalize":[175],"dynamic":[178],"time-varying":[180],"correlation":[181],"500":[189],"Index.":[190],"TOPICS:Volatility":[191],"measures,":[192],"theory,":[194]},"counts_by_year":[{"year":2013,"cited_by_count":1}],"updated_date":"2026-08-21T09:56:20.448147","created_date":"2016-06-24T00:00:00"}