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Overview - S&P/TSX 60 VIX

The S&P/TSX 60 VIX seeks to measure the 30-day implied volatility of the Canadian stock market using S&P/TSX 60 index options. The S&P/TSX 60 VIX approximates the 30-day implied volatility that is derived by the near-term and next-term options. To minimize the pricing anomalies on the expiring options during the last few trading days, options roll to the next-term and third-term five (5) calendar days prior to expiration. CORRA (Canadian Overnight Repo Rate), 1-, 2-, and 3-month CDOR (Canadian Dealer Offered Rate) rates are used to interpolate the risk free rates of each maturity.