The index is calculated as the weighted average of the implied volatility of four at-the-money options:
- Call option and Put option with a time to expiration that is close to 30 days, but equal or less than 30 days;
- Call option and put option with a time to expiration that is close to 30 days, but more than 30 days.
Since, at any given time there is no at-the-money option with 30 days to expiration time, it is necessary to produce it synthetically. Therefore, the IV of the relevant options are weighted between their exercise prices and the synthetic index value and between their time to expiration and the 30-days period.
In order to avoid possible deviations in the calculation results, options with minimum time to expiration of 2 days are included in index' calculation
