Volatility Index® Methodology:

Cboe Volatility Index®

© 2024 Cboe Global Indices, LLC All rights reserved.
Contents
• Introduction ........................................................................................................................................ 3
• Volatility as a Tradable Asset: VIX Futures & Options ........................................................................ 3
• Supporting Documents ....................................................................................................................... 3
• The VIX Index Attributes..................................................................................................................... 3
• Contracts Used for the Near and Next Terms and Their Selection Method ...................................... 4
• Market Data ........................................................................................................................................ 4
• Calculation and Dissemination ........................................................................................................... 4
• The VIX Index Calculation: Step-by-Step ............................................................................................ 5
• Step 1. Select the Near- and Next-Term ............................................................................................ 6
• Step 2. Calculate the Interest Rates ................................................................................................... 6
• Step 3. Calculate the Near- and Next-Term Variances ...................................................................... 6
• Step 4. Calculate the VIX Index .......................................................................................................... 6
• Sample Calculation for the VIX Index ................................................................................................. 6
• Volatility Index Filtering Algorithm .................................................................................................. 11
• Exception When VIX Index Cannot be Calculated ............................................................................ 11
• The Calculation of the Final Settlement Value for VIX Derivatives .................................................. 11
• Appendix 1: Complete SPX/SPXW Option Data Used in Sample VIX Index Calculation .................. 13
• Appendix 2: Individual Contributions — K0 = 1960......................................................................... 17

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Introduction
In 1993, Cboe Global Markets, Incorporated® (Cboe®) introduced the Cboe Volatility Index® (VIX® Index). Originally designed
to measure the market’s expectation of 30-day volatility implied by at-the-money S&P 100® Index (OEX® Index) option
prices, the VIX Index soon became the premier benchmark for U.S. stock market volatility. It is regularly featured in the
Wall Street Journal, Barron’s, and other leading financial publications, as well as business news shows on CNBC,
Bloomberg TV, and CNN/Money, where the VIX Index is often referred to as the “fear gauge.”

Ten years later in 2003, Cboe collaborated with Goldman Sachs to update the VIX Index. The changes reflected a new way to
measure expected volatility, a methodology that continues to be widely used by financial theorists, risk managers, and
volatility traders alike. The new VIX Index is based on the S&P 500® Index, the core index for U.S. equities, and estimates
expected volatility by aggregating the weighted prices of S&P 500 Index puts and calls (SPXTM options) over a wide range
of strike prices. By supplying a script for replicating volatility exposure with a portfolio of SPX options, this new
methodology transformed the VIX Index from an abstract concept into a practical standard for trading and hedging
volatility.

Volatility as a Tradable Asset: VIX Futures & Options

On March 24, 2004, Cboe introduced the first exchange-traded VIX futures contract on its new, all-electronic Cboe Futures
Exchange (CFE®). Two years later in February 2006, VIX options were launched for trading on Cboe Options Exchange
(C1).

The negative correlation of volatility to stock market returns is well-documented and suggests a diversification benefit
to including volatility in an investment portfolio. VIX futures and options are designed to isolate expected volatility
exposure in a single, efficient package. C1 and CFE provide continuous, liquid, and transparent markets for VIX
products that are available to investors.

The rules and procedures applied to calculate the final settlement value of VIX derivatives vary slightly from that of the
spot VIX Index calculation. For more information about those differences, refer to the section The Calculation of the Final
Settlement Value for VIX Derivatives below.

Supporting Documents
This Methodology references and should be read in conjunction with the following document:

Cboe Volatility Index Mathematics Methodology

The VIX Index Attributes

In this section, some of the configurations used for the Cboe Volatility Index® (VIX® Index) are provided.

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Contracts Used for the Near and Next Terms and Their Selection Method
The table below provides the attributes used for the near and next term selection for the VIX Index.

Index Constant Set of Contracts Used for Constituent Series Selection Selection Method
Maturity
VIX 30 days AM-settled SPX option contracts and 30 Day Bracket Method
PM-settled SPXW option contracts expiring at end of week,
excluding the ones expiring on the same date as AM-settled
SPX option contracts.

Table Key
• Constant Maturity: reflects the target expected volatility term
• Set of Contracts Used for Constituent Series Selection: provides the initial set of series that are candidates for the
near and next term selection

Market Data
The table below provides the source of the market data for all options series used in the VIX Index calculation. The market
data used can be sourced from a specific exchange, from a subset of exchanges or from among all available exchanges or
trading venues reflecting the (National) Best Bid/Offer ((N)BBO) quotes.

Index Market data source

VIX Cboe Options Exchange (C1) only

Calculation and Dissemination

The calculation and dissemination of volatility index values is determined by trading session, e.g., regular trading
hours (RTH), global trading hours (GTH) or both. The trading session(s) and approximate dissemination and
calculation time periods are listed below. These times may be modified due to shortened trading sessions, e.g.,
shortened holiday trading hours. Calculation and dissemination occur approximately four times per minute. A
Business Day is defined as a day when the Cboe Options Exchange is open for the Cboe Regular Trading Hours (RTH)
session. The Index follows the Cboe Options Exchange holiday schedule.

Index Trading Session(s) Approximate Calculation and Dissemination Time Period

VIX RTH Between 9:31 a.m. and 4:15 p.m. ET
GTH Between 3:15 a.m and 9:25 a.m. ET

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 The VIX Index Calculation: Step-by-Step
Stock indexes, such as the S&P 500 Index, are calculated using the prices of their component stocks. Each index
employs rules that govern the selection of component securities and a formula to calculate index values.

The VIX Index is a volatility index comprised of options rather than stocks, with the price of each option reflecting the
market’s expectation of future volatility. Like conventional indexes, the VIX Index calculation employs rules for selecting
component options and a formula to calculate index values.

The generalized formula used in the VIX Index calculation§ is:

2
2 Ki 1 F
2
= eRT Q(Ki ) 1
2
T i Ki T K0
where

VIX index = σ × 100

T Time to expiration (in years)
𝐾𝑖+1 − 𝐾𝑖−1
F Option-implied forward price ∆𝐾𝑖 =
2
K0 First strike equal to or otherwise immediately below the
forward index level, F
R Risk-free interest rate to expiration

The midpoint of the bid-ask spread for each

Strike price of the ith out-of-the-money option; a option with strike Ki.
call if Ki > K0 and a put if Ki< K0; both put and call if
Ki=K0.

§
Please see “More than you ever wanted to know about volatility swaps” by Kresimir Demeterfi, Emanuel Derman, Michael
Kamal, and Joseph Zou, Goldman Sachs Quantitative Strategies Research Notes, March 1999.

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The VIX Index measures 30-day expected volatility of the S&P 500 Index. The calculation takes as input the market prices
of SPX options and SPXW options as well as U.S. Treasury yield curve rates. The VIX Index value can be obtained by
following the four steps below:

Step 1. Select the Near- and Next-Term

The inputs required for this step are provided in the above section, “Contracts Used and Exclusion Criteria for the Near
and Next Terms.” The universe of options that can be selected as components of the VIX Index are all AM-settled SPX
option contracts and PM-settled SPXW option contracts expiring at end of week, excluding the ones expiring on the
same date as AM-settled SPX option contracts. Using a constant maturity term of 30 days, apply the rules for selecting
the correct near- and next-terms found in section 1(a) Bracket Method of the Cboe Volatility Index Mathematics
Methodology document.

Step 2. Calculate the Interest Rates

The risk-free interest rates, R1 and R2, are based on U.S. Treasury yield curve rates (commonly referred to as “Constant
Maturity Treasury” rates, or CMTs), to which a cubic spline is applied to derive yields on the expiration dates of relevant SPX
options. As such, the VIX Index calculation may use different risk-free interest rates for near- and next-term options. The
rules for calculating the interest rates for the near- and next-terms can be found in section 2(a) Interest Rate Calculation
– Bounded Cubic Spline Interpolation of the Cboe Volatility Index Mathematics Methodology.

Step 3. Calculate the Near- and Next-Term Variances

The inputs for calculating the variances (σ2) for both terms are based on the options series defined in Step 1 above.
These include the corresponding bid, ask, and options price for each options series, where options price is defined as
the midpoint of the bid / ask quotes, and the corresponding interest rates defined in Step 2 above. Given these inputs,
the variances for the near- and next-terms can be calculated by following the steps outlined in section 3(a) Volatility
Index Calculation – Single Term of the Cboe Volatility Index Mathematics Methodology.

Step 4. Calculate the VIX Index

The inputs for calculating the VIX Index are based on the near- and next-term expiration dates defined in Step 1 above,
the variances for each term calculated in Step 3 above, and the constant maturity term of 30 days. Given these inputs, the
VIX Index can be calculated by following the steps outlined in section 3(b) Volatility Index Calculation – Constant Maturity
Term of the Cboe Volatility Index Mathematics Methodology.

Sample Calculation for the VIX Index

In this section, we implement a sample calculation for the VIX Index using the process outlined above.

• Select the Near- and Next-Term Constituent Series

In this hypothetical example, assume that the calculation is performed on trade date of September 27th, 2022 at
[Link] a.m. ET. Given the inputs described in the Step 1 above, and the methodology in section 1(a) of the Cboe
Volatility Index Mathematics Methodology, the selected terms for this calculation are the “standard” SPX options
expiring on October 21st, 2022 for the near term and the P.M.-settled SPX Weeklys expiring on the following week
(October 28, 2022) for the next term. In this example, the near-term SPX constituent series expire in 24 calendar
days and the next-term SPXW constituent series expire in 31 calendar days.
• Calculate the Interest Rates
Assume that the yield curve rates provided below are available on September 26th, 2022 at the end of the day.
Date 1 Mo 2 Mo 3 Mo 6 Mo 1 Yr 2 Yr 3 Yr 5 Yr 7 Yr 10 Yr 20 Yr 30 Yr
9/26/2022 0.03 0.02 0.04 0.05 0.08 0.11 0.22 0.59 1.00 1.37 2.03 2.21

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 Given these yield curve rates, and the rules outlined in the section 2(a) of the Cboe Volatility Index Mathematics
Methodology, the results are R1 = 0.031664% for the near-term options and R2 = 0.028797% for the next-term
options.

• Calculate the Single Term Variances

Time to Expiration
Note that “standard” SPX options are deemed to expire at the open of trading (i.e., 9:30 a.m. ET) on their
expiration date (the third Friday of the month or the day before if Holiday). “Weekly” SPXW options are deemed to
expire at the close of trading (i.e., 4:00 p.m. ET) on their expiration dates (typically every Friday except third Fridays
of the month or the day before if Holiday).

Following the steps in Time to Expiration of section 3(a)(i) Volatility Index Calculation – Single Term in the Cboe
Volatility Index Mathematics Methodology and applying [Link] a.m. ET as the time of the calculation, the time to
expiration for the near-term and next-term options, 𝑇1 and 𝑇2 , respectively, are:

𝑇1 = 34,484 ⁄ 525,600 = 0.0656088

𝑇2 = 44,954 ⁄ 525,600 = 0.0855289

Forward Price and K 0

Using the call and put prices for the near-term and next-term options below and following the steps in Forward
Price and K 0 in section 3(a)(ii) Volatility Index Calculation – Single Term of the Cboe Volatility Index Mathematics
Methodology, we can calculate the forward price and K 0 .

Near-Term Options Next-Term Options

• Strike Price• Call • Put • Difference • Strike Price • Call • Put • Difference
• 1940 • 38.45 • 15.25 • 23.20 • 1940 • 41.05 • 18.80 • 22.25
• 1945 • 34.70 • 16.55 • 18.15 • 1945 • 37.45 • 20.20 • 17.25
• 1950 • 31.10 • 18.25 • 12.85 • 1950 • 34.05 • 21.60 • 12.45
• 1955 • 27.60 • 19.75 • 7.85 • 1955 • 30.60 • 23.20 • 7.40
• 1960 • 24.25 • 21.30 • 2.95 • 1960 • 27.30 • 24.90 • 2.40
• 1965 • 21.05 • 23.15 • 2.10 • 1965 • 24.15 • 26.90 • 2.75
• 1970 • 18.10 • 25.05 • 6.95 • 1970 • 21.10 • 28.95 • 7.85
• 1975 • 15.25 • 27.30 • 12.05 • 1975 • 18.30 • 31.05 • 12.75
• 1980 • 12.75 • 29.75 • 17.00 • 1980 • 15.70 • 33.50 • 17.80

The ATM strike for the near-term options is 1965 and the ATM strike for the next-term options is 1960. Applying
their respective call and put prices to the formula

𝐹 = Strike Price + 𝑒 𝑅𝑇 × (Call Price − Put Price)

gives that the forward index prices, 𝐹1 and 𝐹2 , for the near- and next-term options, respectively, are:

F1 = 1965 + e(0.000317 x 0.0656088) x (21.05 - 23.15) = 1962.89996

F2 = 1960 + e(0.000288 x 0.0855289) x (27.30 - 24.90) = 1962.40006

We have then that 𝐾0 , the strike price equal to or immediately below the forward index level 𝐹, is 1960 for the
near-term options and 1960 for the next-term options.

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Strike Selection
To determine the strikes to be included in this calculation, refer to the steps in Strike Selection of section
3(a)(iii) Volatility Index Calculation – Single Term in the Cboe Volatility Index Mathematics Methodology.

First, for each term, select out-of-the-money put options with strike prices less than 𝐾0 . Start with the put
strike immediately lower than 𝐾0 and move to successively lower strike prices. Exclude any put option that has
a bid price equal to zero (i.e., no bid). As shown below, once two puts with consecutive strike prices are found
to have zero bid prices, exclude the observed put(s) and consider no puts with lower strikes for inclusion. (Note
that the 1350 and 1355 put options are not included despite having non-zero bid prices.)

Put Strike Bid Ask Include?

1345 0 0.15
Not considered following two zero
1350 0.05 0.15
bids
1355 0.05 0.35
1360 0 0.35 No
1365 0 0.35 No
1370 0.05 0.35 Yes
1375 0.1 0.15 Yes
1380 0.1 0.2 Yes

Next, select out-of-the-money call options with strike prices greater than 𝐾0 . Start with the call strike immediately
higher than 𝐾0 and move to successively higher strike prices, excluding call options that have a bid price of zero
(i.e., no bid). As with the puts, once two call options with consecutive strike prices are found to have zero bid
prices, exclude the observed call(s) and consider no calls with higher strikes for inclusion. (Note that the 2225 call
option is not included despite having a non-zero bid price.)

Call Strike Bid Ask Include?

2095 0.05 0.35 Yes
2100 0.05 0.15 Yes
2120 0 0.15 No
2125 0.05 0.15 Yes
2150 0 0.1 No
2175 0 0.05 No
2200 0 0.05
Not considered following two zero
2225 0.05 0.1
bids
2250 0 0.05

Finally, select both the put and call with strike price 𝐾0 . Notice that two options are selected at 𝐾0 , while a single
option, either a put or a call, is used for every other strike price.

The following tables contain the options used to calculate the VIX Index in this example. This calculation uses the
midpoint of quoted bid and ask prices for each option selected. The 𝐾0 put and call prices are averaged to produce
a single value. The price used for the 1960 strike in the near-term is, therefore, (24.25 + 21.30) / 2 = 22.775. The
price used for the 1960 strike in the next term is (27.30 + 24.90) / 2 = 26.10.

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 Near-Term Strike Option Type Midpoint Price Next-Term Strike Option Type Midpoint Price
1370 Put 0.2 1275 Put 0.075
1375 Put 0.125 1325 Put 0.15
1380 Put 0.15 1350 Put 0.15
. . . . . .
1950 Put 18.25 1950 Put 21.60
1955 Put 19.75 1955 Put 23.20
1960 Put/Call Average 22.775 1960 Put/Call Average 26.10
1965 Call 21.05 1965 Call 24.15
1970 Call 18.1 1970 Call 21.10
. . . . . .
2095 Call 0.2 2125 Call 0.1
2100 Call 0.1 2150 Call 0.1
2125 Call 0.1 2200 Call 0.08

Calculating Volatility
The VIX Index is an amalgam of the information reflected in the prices of all of the selected options. The
contribution of a single option to the VIX Index value is proportional to ∆𝐾 and the price of that option, and
inversely proportional to the square of the option’s strike price.

Referring to Calculating Volatility of section 3(a)(iv) Volatility Index Calculation – Single Term of the Cboe
Volatility Index Mathematics Methodology, we generally have that ∆𝐾𝑖 is half the difference between the
strike prices on either side of 𝐾𝑖 . For example, the ∆𝐾 for the next-term 1325 Put is 37.5: ∆𝐾1325 Put = (1350
– 1275) / 2. At the upper and lower edges of any given strip of options, ∆𝐾𝑖 is simply the difference between
𝐾𝑖 and the adjacent strike price. In this example, the 1370 Put is the lowest strike in the strip of near-term
options and 1375 is the adjacent strike. Therefore, ∆𝐾1370 Put = 5 (i.e., 1375 – 1370).

The contribution of the near-term 1370 Put is given by:

∆𝐾1370 𝑃𝑢𝑡 𝑅 𝑇
2 𝑒 1 1 𝑄(1370 𝑃𝑢𝑡)
𝐾1370 𝑃𝑢𝑡

∆𝐾1370 𝑃𝑢𝑡 𝑅 𝑇 5 ( 0.0656088)

2 𝑒 1 1 𝑄(1370 𝑃𝑢𝑡) = 𝑒 0.000317 (0.2) = 0.0000005328
𝐾1370 𝑃𝑢𝑡 (1370)2

A similar calculation is performed for each option. The resulting values for the near-term options are then summed
and multiplied by 2/T1. Likewise, the resulting values for the next-term options are summed and multiplied by 2/T2.
The tables below summarize the results for each set of options.

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 Near-Term Contribution by Next-Term Contribution by
Option Type Midpoint Price Option Type Midpoint Price
Strike Strike Strike Strike
1370 Put 0.2 0.0000005328 1275 Put 0.075 0.0000023069
1375 Put 0.125 0.0000003306 1325 Put 0.15 0.0000032041
1380 Put 0.15 0.0000003938 1350 Put 0.15 0.0000020577
. . . . . . . .
1950 Put 18.25 0.0000239979 1950 Put 21.6 0.0000284031
1955 Put 19.75 0.0000258376 1955 Put 23.2 0.0000303512
Put/Call Put/Call
1960 22.775 0.0000296432 1960 26.1 0.0000339711
Average Average
1965 Call 21.05 0.0000272588 1965 Call 24.15 0.0000312732
1970 Call 18.1 0.0000233198 1970 Call 21.1 0.0000271851
. . . . . . . .
2095 Call 0.2 0.0000002278 2125 Call 0.1 0.0000005536
2100 Call 0.1 0.0000003401 2150 Call 0.1 0.0000008113
2125 Call 0.1 0.0000005536 2200 Call 0.075 0.0000007748

0.019267 0.019441

2
Next calculate 1⁄𝑇 [𝐹⁄𝐾 − 1] for the near-term (T1) and next-term (T2):
0

2 2
1 𝐹1 1 1962.89996
[ − 1] = [ − 1] = 0.00003337
𝑇1 𝐾0,1 0.0656088 1960
2 2
1 𝐹2 1 1962.40006
[ − 1] = [ − 1] = 0.00001753
𝑇2 𝐾0,2 0.0855289 1960

Now calculate σ21 and σ22:

2
2
2 ∆𝐾𝑖 𝑅 𝑇 1 𝐹1
𝜎1 = ∑ 2 𝑒 1 1 )
𝑄(𝐾𝑖 − [ − 1] = 0.019267 − 0.00003337 = 0.019233906
𝑇1 𝐾𝑖 𝑇1 𝐾0,1
𝑖
2
2 ∆𝐾𝑖 1 𝐹2
𝜎22 = ∑ 2 𝑒 𝑅2 𝑇2 𝑄(𝐾𝑖 ) − [ − 1] = 0.019441 − 0.00001753 = 0.019423884
𝑇2 𝐾𝑖 𝑇2 𝐾0,2
𝑖

• Calculate the VIX Index

The VIX Index value is now calculated by following section 3(b) Volatility Index Calculation – Constant Maturity Term of
the Cboe Volatility Index Mathematics Methodology. First, calculate the 30-day weighted average of σ21 and σ22. Then
take the square root of that value and multiply by 100:

𝟒𝟒, 𝟗𝟓𝟒 − 𝟒𝟑, 𝟐𝟎𝟎 𝟒𝟑, 𝟐𝟎𝟎 − 𝟑𝟒, 𝟒𝟖𝟒 𝟓𝟐𝟓, 𝟔𝟎𝟎
𝑽𝑰𝑿 = 𝟏𝟎𝟎 × √{𝟎. 𝟎𝟔𝟓𝟔𝟎𝟖𝟖 × 𝟎. 𝟎𝟏𝟗𝟐𝟑𝟑𝟗𝟎𝟔 × [ ] + 𝟎. 𝟎𝟖𝟓𝟓𝟐𝟖𝟗 × 𝟎. 𝟎𝟏𝟗𝟒𝟐𝟑𝟖𝟖𝟒 × [ ]} ×
𝟒𝟒, 𝟗𝟓𝟒 − 𝟑𝟒, 𝟒𝟖𝟒 𝟒𝟒, 𝟗𝟓𝟒 − 𝟑𝟒, 𝟒𝟖𝟒 𝟒𝟑, 𝟐𝟎𝟎

VIX = 100 × 0.13927842 = 13.93

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 Volatility Index Filtering Algorithm
As described above, “spot” VIX Index values are based on the average of SPX/SPXW option bid / ask quotes (“mid-quote”
prices), and only options that have a non-zero bid price are included. The bid-ask spread is generally accepted as a
current indication of market price, and the average of the bid and ask quotes can be thought of as an indication of “fair”
value. Spot VIX Index values are calculated using mid-quote options prices.

From time to time, options price quotations widen due to changing market conditions, technology failures, or other
reasons. When this occurs, options that were previously included in a VIX Index value calculation might be excluded due
to them now having a zero bid price. In other instances, the mid-quote prices of one or more SPX/SPXW options might
materially [Link] can result in a VIX Index value that, while accurately reflecting SPX/SPXW options quotes at the
time, may not reflect the expected volatility of the S&P 500 Index. Cboe uses a filtering algorithm to address these
circumstances.

For the rules that guide this filtering process, refer to the details given in section “Index Level Filtering Algorithm” of the
Cboe Volatility Index Mathematics Methodology. At a minimum annually, we review the thresholds used in the Index
Level Filtering Algorithm to consider their reflection of market conditions, and may, in our discretion, change these
thresholds as a result, by notice to clients from time to time. The inputs itemized below apply to the VIX Index:

Index Session Threshold Level (𝑥) Threshold Period

VIX RTH 0.50 volatility points 2 minutes
VIX GTH 0.50 volatility points 5 minutes

Exception When VIX Index Cannot be Calculated

In the event the VIX Index cannot be calculated, the last calculated and disseminated spot VIX Index value is republished
until a new valid spot VIX Index can be calculated. The conditions that would prevent the VIX Index from being calculated
can be found in sections 3(a) (ii) and (iii) Volatility Index Calculation – Single Term of the Cboe Volatility Index Mathematics
Methodology. A summary can also be found in the section 4(b) Volatility Index Cannot be Calculated of the Cboe Volatility
Index Mathematics Methodology.

The Calculation of the Final Settlement Value for VIX Derivatives

The final settlement value for VIX futures and options is determined on the morning of their expiration date (usually a
Wednesday) through a Special Opening Quotation (“SOQ”) of the VIX Index. There are several ways in which the
calculation of the SOQ of the VIX Index differs from the calculation of the spot VIX Index at all other times.

• The SOQ calculation uses SPX, or SPXW, options from a single expiration 30 calendar days for the subject
settlement day. Unlike the spot VIX Index calculation at other times, the SOQ calculation does not
involve theinterpolation of volatility calculated with near-term and next-term options.
• Unlike the spot VIX Index calculation at other times, the determination of the strike range used for the SOQ
calculation does not depend on whether options with consecutive strikes have zero bid prices. Cboe
determines and announces the highest call strike and the lowest put strike that establish the “strike range” to be
used in the SOQ calculation. It does so by using an algorithm to determine the call with the highest strike and
the put with the lowest strike to be used in that calculation. The strike prices used in the SOQ calculation
include all put options within the strike range that have a strike price less than 𝐾0 , all call options within the
strike range that have a strike price greater than 𝐾0 , and both the put and call options that have a strike price
equal to 𝐾0 . Importantly, options within the Cboe-determined strike range with a zero bid price are eligible to be
included in the SOQ calculation, which also differs from the calculation of the spot VIX Index at other times.

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• The SOQ calculation uses the “opening trade price” of each of the selected options, as determined pursuant to
Cboe’s rules during the special opening auction that Cboe conducts on days when VIX derivatives settle. This
approach is different from the mid-quote prices that are used to calculate the spot VIX Index at all other times.
Cboe uses the mid-quote price in the SOQ calculation only if a selected option does not have an opening price,
in which case Cboe uses the midpoint price of the highest bid and lowest offer at the time of the opening. When
calculating the forward index price, the mid-quote price is based on the best-bid and best-offer (BBO).

For more information about VIX Derivatives settlement, visit [Link]

options-and-futures/vix-index/vix-faqs.

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Appendix 1: Complete SPX/SPXW Option Data Used in Sample VIX Index Calculation
Option series included in the VIX Index calculation are highlighted.

Near-Term Options Next-Term Options

Calls Puts Calls Puts
Strike Strike
Bid Ask Bid Ask Bid Ask Bid Ask
800 1160.90 1164.40 0.00 0.10
900 1060.90 1064.50 0.00 0.10
1000 961.00 964.50 0.00 0.10
1050 911.00 914.50 0.00 0.10
1100 861.00 864.60 0.00 0.05
1125 836.00 839.60 0.00 0.05
1150 811.00 814.60 0.00 0.05
1175 786.10 789.60 0.00 0.05
1200 761.10 764.60 0.00 0.05
1220 741.10 744.60 0.00 0.10
1225 736.10 739.60 0.00 0.05 1225 735.90 738.80 0.00 0.10
1240 721.10 724.60 0.00 0.10 1250 710.80 713.80 0.00 0.10
1250 711.10 714.60 0.00 0.05 1275 686.00 688.70 0.05 0.10
1260 701.10 704.60 0.00 0.10 1300 660.90 663.80 0.00 0.10
1270 691.10 694.60 0.00 0.10 1325 635.90 638.60 0.10 0.20
1275 686.10 689.60 0.00 0.10 1350 610.90 613.60 0.10 0.20
1280 681.10 684.60 0.00 0.10 1375 585.90 588.70 0.10 0.25
1290 671.10 674.70 0.00 0.10 1400 561.00 563.70 0.15 0.25
1300 661.10 664.70 0.05 0.10 1425 536.00 538.80 0.20 0.30
1305 656.10 659.70 0.00 0.10 1450 511.10 513.80 0.25 0.35
1310 651.10 654.70 0.00 0.10 1475 486.10 488.90 0.30 0.40
1315 646.10 649.70 0.00 0.10 1500 461.20 464.00 0.35 0.45
1320 641.20 644.70 0.00 0.10 1510 451.30 454.00 0.35 0.50
1325 636.20 639.70 0.05 0.10 1520 441.30 444.00 0.40 0.50
1330 631.20 634.70 0.00 0.10 1525 436.30 439.10 0.40 0.55
1335 626.20 629.70 0.00 0.15 1530 431.30 434.10 0.45 0.55
1340 621.20 624.70 0.00 0.15 1540 421.40 424.10 0.45 0.60
1345 616.20 619.70 0.00 0.15 1550 411.40 414.20 0.50 0.60
1350 611.20 614.70 0.05 0.15 1555 406.40 409.20 0.50 0.65
1355 606.20 609.70 0.05 0.35 1560 401.40 404.20 0.55 0.65
1360 601.20 604.70 0.00 0.35 1565 396.50 399.20 0.55 0.70
1365 596.20 599.70 0.00 0.35 1570 391.20 394.00 0.60 0.70
1370 591.20 594.70 0.05 0.35 1575 386.50 389.30 0.60 0.75
1375 586.20 589.70 0.10 0.15 1580 381.50 384.30 0.60 0.75
1380 581.20 584.70 0.10 0.20 1585 376.60 379.30 0.65 0.75
1385 576.20 579.70 0.10 0.35 1590 371.30 374.10 0.65 0.80
1390 571.20 574.70 0.10 0.35 1595 366.60 369.40 0.70 0.80
1395 566.20 569.70 0.10 0.15 1600 361.60 364.40 0.70 0.85
1400 561.20 564.80 0.10 0.15 1605 356.70 359.40 0.75 0.85
1405 556.20 559.80 0.00 0.35 1610 351.70 354.50 0.75 0.90
1410 551.20 554.80 0.05 0.40 1615 346.70 349.50 0.80 0.90
1415 546.20 549.80 0.00 0.40 1620 341.80 344.50 0.80 0.95
1420 541.20 544.80 0.05 0.40 1625 336.80 339.50 0.85 0.95
1425 536.30 539.80 0.15 0.20 1630 331.80 334.60 0.90 1.00

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 Near-Term Options (cont.) Next-Term Options (cont.)
Calls Puts Calls Puts
Strike Strike
Bid Ask Bid Ask Bid Ask Bid Ask
1430 531.30 534.80 0.05 0.40 1635 326.90 329.60 0.90 1.05
1435 526.30 529.80 0.15 0.40 1640 321.90 324.70 0.95 1.05
1440 521.30 524.80 0.05 0.30 1645 316.90 319.70 0.95 1.10
1445 516.30 519.80 0.05 0.40 1650 312.00 314.70 1.00 1.15
1450 511.30 514.80 0.15 0.25 1655 307.00 309.80 1.05 1.15
1455 506.30 509.80 0.05 0.45 1660 302.10 304.80 1.10 1.20
1460 501.30 504.80 0.05 0.45 1665 297.10 299.90 1.15 1.25
1465 496.30 499.80 0.05 0.45 1670 292.20 294.90 1.15 1.30
1470 491.30 494.80 0.05 0.45 1675 287.20 289.90 1.20 1.35
1475 486.30 489.90 0.15 0.25 1680 282.30 285.00 1.25 1.40
1480 481.30 484.90 0.05 0.45 1685 277.30 280.10 1.30 1.45
1485 476.30 479.90 0.20 0.50 1690 272.40 275.10 1.35 1.50
1490 471.30 474.90 0.05 0.30 1695 267.40 270.20 1.40 1.55
1495 466.40 469.90 0.05 0.50 1700 262.50 265.20 1.45 1.60
1500 461.40 464.90 0.25 0.40 1705 257.50 260.30 1.50 1.70
1505 456.40 459.90 0.30 0.35 1710 252.60 255.30 1.60 1.75
1510 451.40 454.90 0.05 0.55 1715 247.70 250.40 1.65 1.80
1515 446.40 449.90 0.05 0.55 1720 242.70 245.50 1.70 1.90
1520 441.40 445.00 0.10 0.60 1725 237.80 240.60 1.75 1.95
1525 436.40 440.00 0.30 0.40 1730 232.90 235.60 1.85 2.00
1530 431.40 435.00 0.05 0.60 1735 228.00 230.70 1.90 2.10
1535 426.40 430.00 0.10 0.65 1740 223.40 225.30 2.00 2.20
1540 421.40 425.00 0.10 0.65 1745 218.50 220.40 2.10 2.25
1545 416.50 420.00 0.10 0.65 1750 213.60 215.50 2.20 2.35
1550 411.50 415.00 0.30 0.70 1755 208.70 210.60 2.30 2.45
1555 406.50 410.10 0.15 0.70 1760 203.80 205.70 2.40 2.55
1560 401.50 405.10 0.15 0.70 1765 198.90 200.80 2.50 2.65
1565 396.50 400.10 0.15 0.70 1770 194.00 195.90 2.65 2.80
1570 391.50 395.10 0.20 0.75 1775 189.20 191.10 2.75 2.90
1575 386.50 390.10 0.35 0.75 1780 184.30 185.80 2.90 3.10
1580 381.50 385.10 0.25 0.80 1785 179.40 180.90 3.00 3.20
1585 376.60 380.20 0.25 0.80 1790 174.60 176.10 3.10 3.40
1590 371.60 375.20 0.25 0.80 1795 169.70 171.20 3.30 3.60
1595 366.60 370.20 0.25 0.80 1800 164.90 166.40 3.50 3.70
1600 361.60 365.20 0.50 0.85 1805 160.10 161.60 3.70 3.90
1605 356.60 360.30 0.30 0.85 1810 155.30 156.70 3.80 4.10
1610 351.60 355.30 0.35 0.90 1815 150.50 152.00 4.10 4.30
1615 346.70 350.30 0.35 0.90 1820 145.70 147.20 4.30 4.50
1620 341.70 345.30 0.35 0.90 1825 140.90 142.40 4.50 4.80
1625 336.70 340.40 0.40 0.95 1830 136.20 137.70 4.80 5.00
1630 331.70 335.40 0.40 0.95 1835 131.50 132.90 5.00 5.30
1635 326.70 330.40 0.45 1.00 1840 126.80 128.20 5.30 5.60
1640 321.80 325.40 0.45 1.00 1845 122.10 123.50 5.60 5.90
1645 316.80 320.50 0.50 1.05 1850 117.40 118.80 5.90 6.20
1650 311.80 315.50 0.50 0.85 1855 112.80 114.20 6.30 6.60
1655 306.80 310.50 0.55 1.10 1860 108.20 109.60 6.60 6.90
1660 301.90 305.60 0.55 1.10 1865 103.60 105.00 7.00 7.30
1665 296.90 300.60 0.60 1.15 1870 99.00 100.40 7.50 7.80

Cboe Proprietary Information. Copyright © 2024 Cboe. All rights reserved. As of Aug.26, 2024.v5 Page 14
 Near-Term Options (cont.)
Calls Puts
Strike
Bid Ask Bid Ask Next-Term Options (cont.)
1670 291.90 295.70 0.60 1.15 Calls Puts
Strike
1675 287.00 290.70 0.65 1.20 Bid Ask Bid Ask
1680 282.00 285.70 0.70 1.25 1875 94.50 95.90 8.00 8.30
1685 277.00 280.80 0.75 1.30 1880 90.00 91.40 8.40 8.80
1690 272.10 275.80 0.75 1.30 1885 85.50 86.90 9.00 9.40
1695 267.10 270.90 0.80 1.35 1890 81.10 82.50 9.50 10.00
1700 262.10 265.90 0.85 1.40 1895 76.80 78.10 10.20 10.60
1705 257.20 261.00 0.85 1.40 1900 72.40 73.70 10.90 11.30
1710 252.20 256.00 0.90 1.45 1905 68.20 69.40 11.60 12.00
1715 247.30 251.10 0.95 1.50 1910 64.00 65.20 12.40 12.80
1720 242.30 246.10 1.00 1.55 1915 59.80 61.10 13.20 13.70
1725 237.40 241.20 1.05 1.60 1920 55.70 57.00 14.20 14.60
1730 232.40 236.30 1.10 1.65 1925 51.70 53.00 15.20 15.60
1735 227.50 231.30 1.15 1.70 1930 47.80 49.10 16.20 16.60
1740 222.50 226.40 1.20 1.75 1935 44.60 45.10 17.40 17.80
1745 217.60 221.50 1.25 1.85 1940 40.80 41.30 18.60 19.00
1750 212.60 216.60 1.30 1.90 1945 37.20 37.70 20.00 20.40
1755 207.70 211.60 1.40 1.95 1950 33.70 34.40 21.40 21.80
1760 202.80 206.70 1.45 2.05 1955 30.30 30.90 23.00 23.40
1765 197.80 201.80 1.50 2.15 1960 27.00 27.60 24.70 25.10
1770 192.90 196.90 1.60 2.20 1965 23.80 24.50 26.50 27.30
1775 188.00 192.00 1.65 2.35 1970 20.80 21.40 28.50 29.40
1780 183.10 187.10 1.75 2.40 1975 18.00 18.60 30.50 31.60
1785 178.20 182.20 1.85 2.50 1980 15.50 15.90 33.00 34.00
1790 173.30 177.30 1.90 2.60 1985 13.10 13.50 35.50 36.60
1795 168.40 172.40 2.00 2.75 1990 10.90 11.30 38.40 39.50
1800 163.50 167.50 2.15 2.90 1995 9.00 9.30 41.30 42.50
1805 158.60 162.60 2.25 3.00 2000 7.20 7.60 44.50 45.80
1810 153.80 157.80 2.35 3.20 2005 5.70 6.00 48.10 49.30
1815 148.90 152.90 2.50 3.40 2010 4.50 4.80 51.70 53.00
1820 144.10 148.10 2.65 3.50 2015 3.40 3.70 55.80 57.00
1825 139.20 143.30 3.00 3.60 2020 2.60 2.80 59.90 61.70
1830 134.40 138.40 3.00 3.90 2025 1.95 2.15 64.10 66.10
1835 129.60 133.60 3.20 4.10 2030 1.45 1.65 68.60 70.60
1840 124.80 128.80 3.40 4.40 2035 1.05 1.25 73.30 75.20
1845 120.10 124.10 3.60 4.60 2040 0.80 0.95 78.00 80.00
1850 115.40 119.30 3.80 4.90 2045 0.60 0.75 82.00 84.80
1855 110.60 114.60 4.10 5.20 2050 0.50 0.65 86.90 89.60
1860 105.90 109.90 4.40 5.50 2060 0.30 0.40 96.60 99.40
1865 101.30 105.20 4.70 5.80 2070 0.20 0.30 106.70 109.50
1870 96.60 100.50 5.00 6.20 2075 0.15 0.25 111.70 114.50
1875 92.00 95.90 5.40 6.60 2100 0.10 0.20 136.30 139.10
1880 87.40 91.30 5.80 7.00 2125 0.05 0.15 161.50 164.30
1885 82.90 86.70 6.20 7.50 2150 0.05 0.15 186.30 189.00
1890 78.40 82.20 6.70 8.00 2175 0.00 0.10 211.30 214.00
1895 74.00 77.70 7.20 8.60 2200 0.05 0.10 236.30 239.00
1900 69.60 73.20 7.80 8.80 2225 0.00 0.10 261.30 264.00
1905 66.00 68.50 8.50 9.50 2250 0.00 0.10 286.30 289.00

Cboe Proprietary Information. Copyright © 2024 Cboe. All rights reserved. As of Aug.26, 2024.v5 Page 15
 Near-Term Options (cont.)
Calls Puts
Strike
Bid Ask Bid Ask
1910 61.60 64.10 9.10 10.20
1915 57.40 59.80 9.90 11.30
1920 53.30 55.60 10.70 12.10
1925 49.10 51.20 11.60 12.60
1930 45.20 47.30 12.50 14.00
1935 41.20 43.40 13.60 14.70
1940 37.40 39.50 14.70 15.80
1945 33.70 35.70 15.90 17.20
1950 30.10 32.10 17.70 18.80
1955 26.70 28.50 19.00 20.50
1960 23.40 25.10 20.60 22.00
1965 20.30 21.80 22.30 24.00
1970 17.40 18.80 24.30 25.80
1975 14.60 15.90 26.50 28.10
1980 12.20 13.30 28.90 30.60
1985 9.90 11.00 31.40 33.20
1990 7.90 9.00 34.30 36.50
1995 6.20 7.10 37.40 39.70
2000 4.70 5.20 40.70 43.20
2005 3.40 4.20 44.00 47.70
2010 2.65 3.10 48.00 51.40
2015 1.75 2.30 52.20 56.00
2020 1.20 1.70 56.60 60.40
2025 1.00 1.25 61.20 65.00
2030 0.45 1.00 65.90 69.70
2035 0.25 0.80 70.70 74.40
2040 0.35 0.65 75.60 79.30
2045 0.20 0.60 80.50 84.10
2050 0.20 0.30 85.40 89.00
2055 0.15 0.50 90.40 94.00
2060 0.15 0.30 95.30 98.90
2065 0.15 0.20 100.30 103.90
2070 0.10 0.20 105.30 108.90
2075 0.10 0.20 110.30 113.80
2080 0.05 0.45 115.30 118.80
2085 0.05 0.40 120.30 123.80
2090 0.05 0.15 125.30 128.80
2095 0.05 0.35 130.30 133.80
2100 0.05 0.15 135.30 138.80
2120 0.00 0.15 155.30 158.80
2125 0.05 0.15 160.30 163.80
2150 0.00 0.10 185.20 188.80
2175 0.00 0.05 210.20 213.70
2200 0.00 0.05 235.20 238.70
2225 0.05 0.10 260.20 263.70
2250 0.00 0.05 285.20 288.70

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Appendix 2: Individual Contributions — 𝐾0 = 1960
Near- Next-
Midpoint Contribution Midpoint Contribution
Term Option Type Delta-K Term Option Type Delta-K
Price by Strike Price by Strike
Strike Strike
1370 Put 0.2 5 0.0000005328 1275 Put 0.075 50 0.0000023069
1375 Put 0.125 5 0.0000003306 1325 Put 0.15 37.5 0.0000032041
1380 Put 0.15 5 0.0000003938 1350 Put 0.15 25 0.0000020577
1385 Put 0.225 5 0.0000005865 1375 Put 0.175 25 0.0000023141
1390 Put 0.225 5 0.0000005823 1400 Put 0.2 25 0.0000025511
1395 Put 0.125 5 0.0000003212 1425 Put 0.25 25 0.0000030779
1400 Put 0.125 7.5 0.0000004783 1450 Put 0.3 25 0.0000035673
1410 Put 0.225 10 0.0000011318 1475 Put 0.35 25 0.0000040219
1420 Put 0.225 7.5 0.0000008369 1500 Put 0.4 17.5 0.0000031112
1425 Put 0.175 5 0.0000004309 1510 Put 0.425 10 0.0000018640
1430 Put 0.225 5 0.0000005502 1520 Put 0.45 7.5 0.0000014608
1435 Put 0.275 5 0.0000006677 1525 Put 0.475 5 0.0000010213
1440 Put 0.175 5 0.0000004220 1530 Put 0.5 7.5 0.0000016020
1445 Put 0.225 5 0.0000005388 1540 Put 0.525 10 0.0000022137
1450 Put 0.2 5 0.0000004756 1550 Put 0.55 7.5 0.0000017170
1455 Put 0.25 5 0.0000005905 1555 Put 0.575 5 0.0000011890
1460 Put 0.25 5 0.0000005864 1560 Put 0.6 5 0.0000012328
1465 Put 0.25 5 0.0000005824 1565 Put 0.625 5 0.0000012759
1470 Put 0.25 5 0.0000005785 1570 Put 0.65 5 0.0000013185
1475 Put 0.2 5 0.0000004596 1575 Put 0.675 5 0.0000013606
1480 Put 0.25 5 0.0000005707 1580 Put 0.675 5 0.0000013520
1485 Put 0.35 5 0.0000007936 1585 Put 0.7 5 0.0000013932
1490 Put 0.175 5 0.0000003941 1590 Put 0.725 5 0.0000014339
1495 Put 0.275 5 0.0000006152 1595 Put 0.75 5 0.0000014741
1500 Put 0.325 5 0.0000007222 1600 Put 0.775 5 0.0000015137
1505 Put 0.325 5 0.0000007174 1605 Put 0.8 5 0.0000015528
1510 Put 0.3 5 0.0000006579 1610 Put 0.825 5 0.0000015914
1515 Put 0.3 5 0.0000006535 1615 Put 0.85 5 0.0000016295
1520 Put 0.35 5 0.0000007575 1620 Put 0.875 5 0.0000016671
1525 Put 0.35 5 0.0000007525 1625 Put 0.9 5 0.0000017042
1530 Put 0.325 5 0.0000006942 1630 Put 0.95 5 0.0000017878
1535 Put 0.375 5 0.0000007958 1635 Put 0.975 5 0.0000018237
1540 Put 0.375 5 0.0000007906 1640 Put 1 5 0.0000018591
1545 Put 0.375 5 0.0000007855 1645 Put 1.025 5 0.0000018940
1550 Put 0.5 5 0.0000010406 1650 Put 1.075 5 0.0000019743
1555 Put 0.425 5 0.0000008788 1655 Put 1.1 5 0.0000020081
1560 Put 0.425 5 0.0000008732 1660 Put 1.15 5 0.0000020867
1565 Put 0.425 5 0.0000008676 1665 Put 1.2 5 0.0000021644
1570 Put 0.475 5 0.0000009635 1670 Put 1.225 5 0.0000021963
1575 Put 0.55 5 0.0000011086 1675 Put 1.275 5 0.0000022723
1580 Put 0.525 5 0.0000010515 1680 Put 1.325 5 0.0000023474
1585 Put 0.525 5 0.0000010449 1685 Put 1.375 5 0.0000024215
1590 Put 0.525 5 0.0000010384 1690 Put 1.425 5 0.0000024947
1595 Put 0.525 5 0.0000010319 1695 Put 1.475 5 0.0000025670
1600 Put 0.675 5 0.0000013184 1700 Put 1.525 5 0.0000026385
1605 Put 0.575 5 0.0000011161 1705 Put 1.6 5 0.0000027520
1610 Put 0.625 5 0.0000012056 1710 Put 1.675 5 0.0000028642
1615 Put 0.625 5 0.0000011982 1715 Put 1.725 5 0.0000029325

Cboe Proprietary Information. Copyright © 2024 Cboe. All rights reserved. As of Aug.26, 2024.v5 Page 17
 Individual Contributions (Cont.) Individual Contributions (Cont.)
Near- Next-
Midpoint Contribution Midpoint Contribution
Term Option Type Delta-K Term Option Type Delta-K
Price by Strike Price by Strike
Strike Strike
1620 Put 0.625 5 0.0000011908 1720 Put 1.8 5 0.0000030423
1625 Put 0.675 5 0.0000012781 1725 Put 1.85 5 0.0000031087
1630 Put 0.675 5 0.0000012703 1730 Put 1.925 5 0.0000032160
1635 Put 0.725 5 0.0000013561 1735 Put 2 5 0.0000033221
1640 Put 0.725 5 0.0000013478 1740 Put 2.1 5 0.0000034682
1645 Put 0.775 5 0.0000014320 1745 Put 2.175 5 0.0000035715
1650 Put 0.675 5 0.0000012397 1750 Put 2.275 5 0.0000037144
1655 Put 0.825 5 0.0000015060 1755 Put 2.375 5 0.0000038556
1660 Put 0.825 5 0.0000014970 1760 Put 2.475 5 0.0000039951
1665 Put 0.875 5 0.0000015782 1765 Put 2.575 5 0.0000041330
1670 Put 0.875 5 0.0000015688 1770 Put 2.725 5 0.0000043491
1675 Put 0.925 5 0.0000016485 1775 Put 2.825 5 0.0000044833
1680 Put 0.975 5 0.0000017273 1780 Put 3 5 0.0000047344
1685 Put 1.025 5 0.0000018051 1785 Put 3.1 5 0.0000048648
1690 Put 1.025 5 0.0000017944 1790 Put 3.25 5 0.0000050718
1695 Put 1.075 5 0.0000018709 1795 Put 3.45 5 0.0000053539
1700 Put 1.125 5 0.0000019464 1800 Put 3.6 5 0.0000055557
1705 Put 1.125 5 0.0000019350 1805 Put 3.8 5 0.0000058319
1710 Put 1.175 5 0.0000020092 1810 Put 3.95 5 0.0000060287
1715 Put 1.225 5 0.0000020825 1815 Put 4.2 5 0.0000063749
1720 Put 1.275 5 0.0000021549 1820 Put 4.4 5 0.0000066419
1725 Put 1.325 5 0.0000022265 1825 Put 4.65 5 0.0000069808
1730 Put 1.375 5 0.0000022972 1830 Put 4.9 5 0.0000073160
1735 Put 1.425 5 0.0000023670 1835 Put 5.15 5 0.0000076474
1740 Put 1.475 5 0.0000024360 1840 Put 5.45 5 0.0000080490
1745 Put 1.55 5 0.0000025452 1845 Put 5.75 5 0.0000084461
1750 Put 1.6 5 0.0000026123 1850 Put 6.05 5 0.0000088388
1755 Put 1.675 5 0.0000027192 1855 Put 6.45 5 0.0000093724
1760 Put 1.75 5 0.0000028248 1860 Put 6.75 5 0.0000097557
1765 Put 1.825 5 0.0000029292 1865 Put 7.15 5 0.0000102785
1770 Put 1.9 5 0.0000030324 1870 Put 7.65 5 0.0000109385
1775 Put 2 5 0.0000031740 1875 Put 8.15 5 0.0000115914
1780 Put 2.075 5 0.0000032746 1880 Put 8.6 5 0.0000121664
1785 Put 2.175 5 0.0000034132 1885 Put 9.2 5 0.0000129463
1790 Put 2.25 5 0.0000035112 1890 Put 9.75 5 0.0000136478
1795 Put 2.375 5 0.0000036856 1895 Put 10.4 5 0.0000144809
1800 Put 2.525 5 0.0000038967 1900 Put 11.1 5 0.0000153743
1805 Put 2.625 5 0.0000040286 1905 Put 11.8 5 0.0000162582
1810 Put 2.775 5 0.0000042353 1910 Put 12.6 5 0.0000172697
1815 Put 2.95 5 0.0000044776 1915 Put 13.45 5 0.0000183386
1820 Put 3.075 5 0.0000046417 1920 Put 14.4 5 0.0000195317
1825 Put 3.3 5 0.0000049541 1925 Put 15.4 5 0.0000207797
1830 Put 3.45 5 0.0000051511 1930 Put 16.4 5 0.0000220146
1835 Put 3.65 5 0.0000054200 1935 Put 17.6 5 0.0000235034
1840 Put 3.9 5 0.0000057598 1940 Put 18.8 5 0.0000249767
1845 Put 4.1 5 0.0000060224 1945 Put 20.2 5 0.0000266989

Cboe Proprietary Information. Copyright © 2024 Cboe. All rights reserved. As of Aug.26, 2024.v5 Page 18
 Individual Contributions (Cont.) Individual Contributions (Cont.)
Near- Next-
Midpoint Contribution Midpoint Contribution
Term Option Type Delta-K Term Option Type Delta-K
Price by Strike Price by Strike
Strike Strike
1850 Put 4.35 5 0.0000063551 1950 Put 21.6 5 0.0000284031
1855 Put 4.65 5 0.0000067568 1955 Put 23.2 5 0.0000303512
Put/Call
1860 Put 4.95 5 0.0000071542 1960 26.1 5 0.0000339711
Average
1865 Put 5.25 5 0.0000075471 1965 Call 24.15 5 0.0000312732
1870 Put 5.6 5 0.0000080073 1970 Call 21.1 5 0.0000271851
1875 Put 6 5 0.0000085335 1975 Call 18.3 5 0.0000234584
1880 Put 6.4 5 0.0000090541 1980 Call 15.7 5 0.0000200240
1885 Put 6.85 5 0.0000096393 1985 Call 13.3 5 0.0000168776
1890 Put 7.35 5 0.0000102883 1990 Call 11.1 5 0.0000140151
1895 Put 7.9 5 0.0000109999 1995 Call 9.15 5 0.0000114952
1900 Put 8.3 5 0.0000114961 2000 Call 7.4 5 0.0000092502
1905 Put 9 5 0.0000124003 2005 Call 5.85 5 0.0000072763
1910 Put 9.65 5 0.0000132263 2010 Call 4.65 5 0.0000057549
1915 Put 10.6 5 0.0000144526 2015 Call 3.55 5 0.0000043718
1920 Put 11.4 5 0.0000154626 2020 Call 2.7 5 0.0000033086
1925 Put 12.1 5 0.0000163269 2025 Call 2.05 5 0.0000024997
1930 Put 13.25 5 0.0000177861 2030 Call 1.55 5 0.0000018807
1935 Put 14.15 5 0.0000188962 2035 Call 1.15 5 0.0000013885
1940 Put 15.25 5 0.0000202603 2040 Call 0.875 5 0.0000010513
1945 Put 16.55 5 0.0000218745 2045 Call 0.675 5 0.0000008070
1950 Put 18.25 5 0.0000239979 2050 Call 0.575 7.5 0.0000010262
1955 Put 19.75 5 0.0000258376 2060 Call 0.35 10 0.0000008248
Put/Call
1960 22.775 5 0.0000296432 2070 Call 0.25 7.5 0.0000004376
Average
1965 Call 21.05 5 0.0000272588 2075 Call 0.2 15 0.0000006968
1970 Call 18.1 5 0.0000233198 2100 Call 0.15 25 0.0000008504
1975 Call 15.25 5 0.0000195486 2125 Call 0.1 25 0.0000005536
1980 Call 12.75 5 0.0000162614 2150 Call 0.1 37.5 0.0000008113
1985 Call 10.45 5 0.0000132609 2200 Call 0.075 50 0.0000007748
1990 Call 8.45 5 0.0000106691
1995 Call 6.65 5 0.0000083544
2000 Call 4.95 5 0.0000061876
2005 Call 3.8 5 0.0000047264
2010 Call 2.875 5 0.0000035582
2015 Call 2.025 5 0.0000024938
2020 Call 1.45 5 0.0000017768
2025 Call 1.125 5 0.0000013718
2030 Call 0.725 5 0.0000008797
2035 Call 0.525 5 0.0000006339
2040 Call 0.5 5 0.0000006007
2045 Call 0.4 5 0.0000004782
2050 Call 0.25 5 0.0000002974
2055 Call 0.325 5 0.0000003848
2060 Call 0.225 5 0.0000002651
2065 Call 0.175 5 0.0000002052
2070 Call 0.15 5 0.0000001750
2075 Call 0.15 5 0.0000001742

Cboe Proprietary Information. Copyright © 2024 Cboe. All rights reserved. As of Aug.26, 2024.v5 Page 19
 Individual Contributions (Cont.)
Near-
Midpoint Contribution
Term Option Type Delta-K
Price by Strike
Strike
2080 Call 0.25 5 0.0000002889
2085 Call 0.225 5 0.0000002588
2090 Call 0.1 5 0.0000001145
2095 Call 0.2 5 0.0000002278
2100 Call 0.1 15 0.0000003401
2125 Call 0.1 25 0.0000005536

Sum of Individual Contributions for near term: 0.0006320516

2 ∆𝐾𝑖
∑ 2 𝑒 𝑅1 𝑇1 𝑄(𝐾𝑖 ) = 0.019267
𝑇1 𝐾𝑖
𝑖

Sum of Individual Contributions for next term: 0.0008314016

2 ∆𝐾𝑖
∑ 2 𝑒 𝑅2 𝑇2 𝑄(𝐾𝑖 ) = 0.019441
𝑇2 𝐾𝑖
𝑖
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