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New CBOE VIX1D Index

edited April 2023 in Other Investing
New CBOE VIX1D Index

The CBOE will use the current methodology for a new VIX1D index that would capture both 0DTE and 1DTE options. As these are business days, VIX1D could be, say, 2DTE (for weekends) or 3DTE (for long weekends) with calendar days. Other VIX indexes have distortions due to weekends and holidays, and those would be even more noticeable with VIX1D. The CBOE may introduce VIX1D futures later.

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