Front month implied volatility

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Sharing my attempt of comupting SPY's spot implied volatility.  The implementation is not too far off from the white paper, IMO.  Do note that the values are different when compared against CBOE's VIX, likely as it lacks the final consolidation of intraday data to a final daily VIX, check out the "VIX Index Filtering Algorithm" section in the white paper for more detail.

www.cboe.com/micro/vix/vixwhite.pdf

Happy trading.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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