The Chicago Board Options Exchange has begun publishing Volatility Index term structure data on its website, recalculated every 15 seconds during the trading day.
The term structure of the Vix is the differences in
volatility calculated for options of different maturities. This
concept is essential in pricing and trading Vix futures and
options. It offers insight into expectations of market
volatility in forward contract months, conveyed by S&P 500
Index Options prices.
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