Volatility indices have increasingly become more popular over the course of the recent years but there is one index that, more than others, has caught the attention of investors and market participants: the VIX index. The VIX was invented at the beginning of the 90s and tracks the performance of the S&P500 options market. The formula we will go through is the new one, which has been introduced back in 2003, and uses at-the-money, in-the-money and out-of-the-money options from front-month and second-front-month contracts. This research was published on the Medium platform a few years ago but it is still valid today. Please click here to read the rest of the research.