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(including each of their respective su

employees, agents, consultants and licensors shall not be liable to any person for any losses, damages, costs or expenses (inclu
indirect, incidental, consequential or punitive damages), arising from any errors or inaccuracies made in connection with the c
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Read Me
This spreadsheet provides a step-by-step example on how to calculate the CME Group Implied Volatility Index (C
example uses the 10yr Treasury options. Exceptions to any rule are noted with a superscript footnote and are de

Select two expirations1 close to 30 DTE (Days to Expiration), an expiration with

1 a back expiration with greater than 30 DTE2

The shorter expiration is considered the "Front" tenor, in this example a tenor wi
The longer expiration is considered the "Back" tenor, in this example a tenor with

Indentify the options to be used in the calculation. Only ATM (At-the-Money) a

2 Money) options are selected

The options in the "Front" tenor have an underlying Future price of 117.92
Calls from strikes that are equal to or greater than the underlying price will be us
Puts from strikes that are less than or equal to the underlying price will be used
The options in the "Back" tenor have an underlying Future price of 117.92, but in
underlying future will be different for two tenors chosen, and therefore the price
Calls from strikes that equal to or are greater than the underlying price will be us
Puts from strikes that equal to or are less than the underlying price will be used

For each expiration, determine strike weights:

3 Determine the Range for strikes. For EOD calculations, all options further OTM th
strikes with options priced at the "smallest option price allowed" are ignored. If
prices at the smallest price, those prices are "tapered" by taking half of the secon
of the third price. All prices of zero will be removed or have a factor of zero 3
Multiply each OTM option price by 1 or 0 or the tapering factor
The Result is the 'OptPremium' that will be used in subsequent steps
Determine Delta K for each Strike. Delta K is the average difference between stri
ends, Delta K is the actual difference between the next to last and the last strike 4
 The Result is the 'OptPremium' that will be used in subsequent steps
Determine Delta K for each Strike. Delta K is the average difference between stri
ends, Delta K is the actual difference between the next to last and the last strike 4

For each expiration, calculate the simple variance:

4 Multiply each OptPremiums by the corresponding strike differential (delta K)
Sum those weighted premiums
Use the inverse of the SOFR Discount Curve5 to adjust (grow) the sum of OTM Pre
interest rate with ert

Bring both Front and Back information together:

5 Divide the Interest Rated Adjust Raw Variance by the Future's Price Squared (1/F
metric
Annualize by 365/DTE multiply by 2 and take the Square Root to produce a stand
of the tenor
Calculate a time-weighted average of the two variance estimates to produce a si
Estimate
Take the Square Root and then multiply by 100 to produce a standard-deviation
CVol Index Value
up Implied Volatility Index (CVOL) End-of-Day Benchmark. This
erscript footnote and are described in the 'Notes' tab.

on), an expiration with less than 30 DTE, and

this example a tenor with 17 DTE

his example a tenor with 31 DTE

y ATM (At-the-Money) and OTM (Out-of-the-

re price of 117.92
derlying price will be used
lying price will be used
e price of 117.92, but in some cases the
and therefore the price may not be the same
derlying price will be used
lying price will be used

l options further OTM than 3 sequential

allowed" are ignored. If there are 3 sequential
y taking half of the second price and a fourth
ave a factor of zero 3
factor
quent steps
difference between strikes except at the two
o last and the last strike 4
 quent steps
difference between strikes except at the two
o last and the last strike 4

differential (delta K)

ow) the sum of OTM Premiums; or use an

ure's Price Squared (1/F^2) to normalize the

Root to produce a standard-deviation version

stimates to produce a single, 30-Day Variance

ce a standard-deviation version and the official

 Select 2 expirations close to 30 DTE (Days to Expiration), a front expiration with
1 and a back expiration with greater than 30 days
The shorter expiration is considered the "Front" tenor, in this example a tenor wi
The longer expiration is considered the "Back" tenor, in this example a tenor with

Front Tenor

Strike Call Put DTE UndFuturePrc

108 9.92 0 17 117.92
109 8.92 0 17 117.92
110 7.92 0 17 117.92
111 6.92 0 17 117.92
112 5.92 0.005 17 117.92
112.5 5.43 0.005 17 117.92
112.75 5.18 0.01 17 117.92
113 4.93 0.01 17 117.92
113.25 4.68 0.015 17 117.92
113.5 4.44 0.02 17 117.92
113.75 4.19 0.025 17 117.92
114 3.95 0.03 17 117.92
114.25 3.71 0.04 17 117.92
114.5 3.47 0.05 17 117.92
114.75 3.24 0.07 17 117.92
115 3 0.08 17 117.92
115.25 2.77 0.1 17 117.92
115.5 2.55 0.13 17 117.92
115.75 2.33 0.16 17 117.92
116 2.12 0.2 17 117.92
116.25 1.91 0.24 17 117.92
116.5 1.71 0.29 17 117.92
116.75 1.53 0.36 17 117.92
117 1.35 0.44 17 117.92
117.25 1.2 0.53 17 117.92
117.5 1.05 0.63 17 117.92
117.75 0.91 0.75 17 117.92
118 0.79 0.87 17 117.92
118.25 0.68 1.01 17 117.92
118.5 0.59 1.16 17 117.92
118.75 0.5 1.33 17 117.92
119 0.43 1.51 17 117.92
119.25 0.37 1.7 17 117.92
 119.5 0.32 1.9 17 117.92
119.75 0.27 2.1 17 117.92
120 0.23 2.31 17 117.92
120.25 0.2 2.53 17 117.92
120.5 0.17 2.75 17 117.92
121 0.12 3.2 17 117.92
121.5 0.09 3.67 17 117.92
122 0.07 4.15 17 117.92
122.5 0.05 4.63 17 117.92
123 0.04 5.12 17 117.92
123.5 0.035 5.61 17 117.92
124 0.025 6.11 17 117.92
124.5 0.02 6.6 17 117.92
125 0.02 7.1 17 117.92
125.5 0.015 7.59 17 117.92
, a front expiration with less than 30 days,

this example a tenor with 17 DTE

his example a tenor with 31 DTE

Back Tenor

Strike Call Put DTE UndFuturePrc

108 9.93 0.005 31 117.92
108.5 9.43 0.005 31 117.92
109 8.93 0.01 31 117.92
109.5 8.43 0.01 31 117.92
110 7.93 0.01 31 117.92
110.5 7.43 0.01 31 117.92
111 6.94 0.015 31 117.92
111.5 6.44 0.02 31 117.92
112 5.95 0.025 31 117.92
112.5 5.46 0.035 31 117.92
113 4.97 0.05 31 117.92
113.5 4.49 0.07 31 117.92
114 4.02 0.1 31 117.92
114.5 3.56 0.14 31 117.92
115 3.11 0.19 31 117.92
115.5 2.68 0.26 31 117.92
116 2.28 0.36 31 117.92
116.5 1.91 0.49 31 117.92
117 1.57 0.65 31 117.92
117.5 1.28 0.86 31 117.92
118 1.03 1.11 31 117.92
118.5 0.82 1.4 31 117.92
119 0.65 1.73 31 117.92
119.5 0.51 2.09 31 117.92
120 0.4 2.48 31 117.92
120.5 0.32 2.9 31 117.92
121 0.25 3.33 31 117.92
121.5 0.2 3.78 31 117.92
122 0.16 4.24 31 117.92
122.5 0.13 4.71 31 117.92
123 0.11 5.18 31 117.92
123.5 0.09 5.67 31 117.92
124 0.07 6.15 31 117.92
124.5 0.06 6.64 31 117.92
125 0.05 7.13 31 117.92
125.5 0.04 7.62 31 117.92
126 0.035 8.11 31 117.92
126.5 0.03 8.61 31 117.92
127 0.025 9.1 31 117.92
127.5 0.02 9.6 31 117.92
128 0.02 10.1 31 117.92
128.5 0.015 10.6 31 117.92
129 0.015 11.09 31 117.92
129.5 0.015 11.59 31 117.92
130 0.01 12.09 31 117.92
131 0.01 13.09 31 117.92
132 0.01 14.09 31 117.92
133 0.005 15.09 31 117.92
134 0.005 16.09 31 117.92
135 0.005 17.08 31 117.92
136 0.005 18.08 31 117.92
137 0.005 19.08 31 117.92
 Indentify the options to be used in the calculation. Only ATM (At-the-Money)
2 options are selected
The options in the "Front" tenor have an underlying Future price of 117.92 (cell
Calls from strikes that are equal to or greater than the underlying price will be u
Puts from strikes that are less than or equal to the underlying price will be used
The options in the "Back" tenor have an underlying Future price of 117.92, but in
future will be different for two tenors chosen, and therefore the price may not b
Calls from strikes that equal or are greater than the underlying price will be used
Puts from strikes that equal or are less than the underlying price will be used

UndFuturePrc DTE
117.92 17

Strike Call Put

108 9.92 0
109 8.92 0
110 7.92 0
111 6.92 0
112 5.92 0.005
112.5 5.43 0.005
112.75 5.18 0.01
113 4.93 0.01
113.25 4.68 0.015
113.5 4.44 0.02
113.75 4.19 0.025
114 3.95 0.03
114.25 3.71 0.04
114.5 3.47 0.05
114.75 3.24 0.07
115 3 0.08
115.25 2.77 0.1
115.5 2.55 0.13
115.75 2.33 0.16
 116 2.12 0.2
116.25 1.91 0.24
116.5 1.71 0.29
116.75 1.53 0.36
117 1.35 0.44
117.25 1.2 0.53
117.5 1.05 0.63
117.75 0.91 0.75
118 0.79 0.87
118.25 0.68 1.01
118.5 0.59 1.16
118.75 0.5 1.33
119 0.43 1.51
119.25 0.37 1.7
119.5 0.32 1.9
119.75 0.27 2.1
120 0.23 2.31
120.25 0.2 2.53
120.5 0.17 2.75
121 0.12 3.2
121.5 0.09 3.67
122 0.07 4.15
122.5 0.05 4.63
123 0.04 5.12
123.5 0.035 5.61
124 0.025 6.11
124.5 0.02 6.6
125 0.02 7.1
125.5 0.015 7.59
M (At-the-Money) and OTM (Out-of-the-Money)

rice of 117.92 (cell C26)

ying price will be used
g price will be used
ice of 117.92, but in some cases the underlying
the price may not be the same (cell K26)
ng price will be used
rice will be used

UndFuturePrc DTE
117.92 31

Strike Call Put

108 9.93 0.005
108.5 9.43 0.005
109 8.93 0.01
109.5 8.43 0.01
110 7.93 0.01
110.5 7.43 0.01
111 6.94 0.015
111.5 6.44 0.02
112 5.95 0.025
112.5 5.46 0.035
113 4.97 0.05
113.5 4.49 0.07
114 4.02 0.1
114.5 3.56 0.14
115 3.11 0.19
115.5 2.68 0.26
116 2.28 0.36
116.5 1.91 0.49
117 1.57 0.65
117.5 1.28 0.86
118 1.03 1.11
118.5 0.82 1.4
119 0.65 1.73
119.5 0.51 2.09
120 0.4 2.48
120.5 0.32 2.9
121 0.25 3.33
121.5 0.2 3.78
122 0.16 4.24
122.5 0.13 4.71
123 0.11 5.18
123.5 0.09 5.67
124 0.07 6.15
124.5 0.06 6.64
125 0.05 7.13
125.5 0.04 7.62
126 0.035 8.11
126.5 0.03 8.61
127 0.025 9.1
127.5 0.02 9.6
128 0.02 10.1
128.5 0.015 10.6
129 0.015 11.09
129.5 0.015 11.59
130 0.01 12.09
131 0.01 13.09
132 0.01 14.09
133 0.005 15.09
134 0.005 16.09
135 0.005 17.08
136 0.005 18.08
137 0.005 19.08
 For each expiration, calculate the simple variance:
3 Determine the Range for strikes. For EOD calculations, all options further OTM th
with options priced at the "smallest option price allowed" are ignored. If there ar
the smallest price, those prices are "tapered" by taking half of the second price an
price. All prices of zero will be removed or have a factor of zero
Multiply each OTM option price by 1 or 0 or the tapering factor
The Result is the 'OptPremium' that will be used in subsequent steps (Columns H
Determine Delta K for each Strike. Delta K is the average difference between strik
ends, Delta K is the actual difference between the next to last and the last strike (

UndFuturePrc DTE
117.92 17

Strike Call Put Factor OptPremi DeltaK

108 9.92 0 0
109 8.92 0 0
110 7.92 0 0
111 6.92 0 0
112 5.92 0.005 1 0.005 0.5
112.5 5.43 0.005 1 0.005 0.375
112.75 5.18 0.01 1 0.01 0.25
113 4.93 0.01 1 0.01 0.25
113.25 4.68 0.015 1 0.015 0.25
113.5 4.44 0.02 1 0.02 0.25
113.75 4.19 0.025 1 0.025 0.25
114 3.95 0.03 1 0.03 0.25
114.25 3.71 0.04 1 0.04 0.25
114.5 3.47 0.05 1 0.05 0.25
114.75 3.24 0.07 1 0.07 0.25
115 3 0.08 1 0.08 0.25
115.25 2.77 0.1 1 0.1 0.25
115.5 2.55 0.13 1 0.13 0.25
115.75 2.33 0.16 1 0.16 0.25
116 2.12 0.2 1 0.2 0.25
116.25 1.91 0.24 1 0.24 0.25
116.5 1.71 0.29 1 0.29 0.25
116.75 1.53 0.36 1 0.36 0.25
117 1.35 0.44 1 0.44 0.25
117.25 1.2 0.53 1 0.53 0.25
117.5 1.05 0.63 1 0.63 0.25
117.75 0.91 0.75 1 0.75 0.25
118 0.79 0.87 1 0.79 0.25
118.25 0.68 1.01 1 0.68 0.25
118.5 0.59 1.16 1 0.59 0.25
118.75 0.5 1.33 1 0.5 0.25
119 0.43 1.51 1 0.43 0.25
119.25 0.37 1.7 1 0.37 0.25
119.5 0.32 1.9 1 0.32 0.25
119.75 0.27 2.1 1 0.27 0.25
120 0.23 2.31 1 0.23 0.25
120.25 0.2 2.53 1 0.2 0.25
120.5 0.17 2.75 1 0.17 0.375
121 0.12 3.2 1 0.12 0.5
121.5 0.09 3.67 1 0.09 0.5
122 0.07 4.15 1 0.07 0.5
122.5 0.05 4.63 1 0.05 0.5
123 0.04 5.12 1 0.04 0.5
123.5 0.035 5.61 1 0.035 0.5
124 0.025 6.11 1 0.025 0.5
124.5 0.02 6.6 1 0.02 0.5
125 0.02 7.1 1 0.02 0.5
125.5 0.015 7.59 1 0.015 0.5
ons further OTM than 3 sequential strikes
ignored. If there are 3 sequential prices at
the second price and a fourth of the third
o
r
t steps (Columns H and P)
ence between strikes except at the two
and the last strike (columns I and Q)

UndFuturePrc DTE
117.92 31

Strike Call Put Factor OptPremi DeltaK

108 9.93 0.005 1 0.005 0.5
108.5 9.43 0.005 1 0.005 0.5
109 8.93 0.01 1 0.01 0.5
109.5 8.43 0.01 1 0.01 0.5
110 7.93 0.01 1 0.01 0.5
110.5 7.43 0.01 1 0.01 0.5
111 6.94 0.015 1 0.015 0.5
111.5 6.44 0.02 1 0.02 0.5
112 5.95 0.025 1 0.025 0.5
112.5 5.46 0.035 1 0.035 0.5
113 4.97 0.05 1 0.05 0.5
113.5 4.49 0.07 1 0.07 0.5
114 4.02 0.1 1 0.1 0.5
114.5 3.56 0.14 1 0.14 0.5
115 3.11 0.19 1 0.19 0.5
115.5 2.68 0.26 1 0.26 0.5
116 2.28 0.36 1 0.36 0.5
116.5 1.91 0.49 1 0.49 0.5
 117 1.57 0.65 1 0.65 0.5
117.5 1.28 0.86 1 0.86 0.5
118 1.03 1.11 1 1.03 0.5
118.5 0.82 1.4 1 0.82 0.5
119 0.65 1.73 1 0.65 0.5
119.5 0.51 2.09 1 0.51 0.5
120 0.4 2.48 1 0.4 0.5
120.5 0.32 2.9 1 0.32 0.5
121 0.25 3.33 1 0.25 0.5
121.5 0.2 3.78 1 0.2 0.5
122 0.16 4.24 1 0.16 0.5
122.5 0.13 4.71 1 0.13 0.5
123 0.11 5.18 1 0.11 0.5
123.5 0.09 5.67 1 0.09 0.5
124 0.07 6.15 1 0.07 0.5
124.5 0.06 6.64 1 0.06 0.5
125 0.05 7.13 1 0.05 0.5
125.5 0.04 7.62 1 0.04 0.5
126 0.035 8.11 1 0.035 0.5
126.5 0.03 8.61 1 0.03 0.5
127 0.025 9.1 1 0.025 0.5
127.5 0.02 9.6 1 0.02 0.5
128 0.02 10.1 1 0.02 0.5
128.5 0.015 10.6 1 0.015 0.5
129 0.015 11.09 1 0.015 0.5
129.5 0.015 11.59 1 0.015 0.5
130 0.01 12.09 1 0.01 0.75
131 0.01 13.09 1 0.01 1
132 0.01 14.09 1 0.01 1
133 0.005 15.09 1 0.005 1
134 0.005 16.09 0.5 0.0025 1
135 0.005 17.08 0.25 0.00125 1
136 0.005 18.08 0
137 0.005 19.08 0
 For each expiration, calculate the simple variance:
4 Multiply each OptPremiums by the corresponding strike differential (delta K)--(co
Sum those weighted premiums (cells W30 and W39)
Use the inverse of the SOFR Discount Curve to adjust (grow) the sum of OTM Prem
interest rate with ert (cells W32 and W41)

UndFuturePrc DTE Int Rate

117.92 17 4.0%

Strike Call Put Factor OptPremi DeltaK Opt*DeltaK

108 9.92 0 0
109 8.92 0 0
110 7.92 0 0
111 6.92 0 0
112 5.92 0.005 1 0.005 0.5 0.0025
112.5 5.43 0.005 1 0.005 0.375 0.001875
112.75 5.18 0.01 1 0.01 0.25 0.0025
113 4.93 0.01 1 0.01 0.25 0.0025
113.25 4.68 0.015 1 0.015 0.25 0.00375
113.5 4.44 0.02 1 0.02 0.25 0.005
113.75 4.19 0.025 1 0.025 0.25 0.00625
114 3.95 0.03 1 0.03 0.25 0.0075
114.25 3.71 0.04 1 0.04 0.25 0.01
114.5 3.47 0.05 1 0.05 0.25 0.0125
114.75 3.24 0.07 1 0.07 0.25 0.0175
115 3 0.08 1 0.08 0.25 0.02
115.25 2.77 0.1 1 0.1 0.25 0.025
115.5 2.55 0.13 1 0.13 0.25 0.0325
115.75 2.33 0.16 1 0.16 0.25 0.04
116 2.12 0.2 1 0.2 0.25 0.05
116.25 1.91 0.24 1 0.24 0.25 0.06
116.5 1.71 0.29 1 0.29 0.25 0.0725
116.75 1.53 0.36 1 0.36 0.25 0.09
117 1.35 0.44 1 0.44 0.25 0.11
117.25 1.2 0.53 1 0.53 0.25 0.1325
117.5 1.05 0.63 1 0.63 0.25 0.1575
117.75 0.91 0.75 1 0.75 0.25 0.1875
118 0.79 0.87 1 0.79 0.25 0.1975
118.25 0.68 1.01 1 0.68 0.25 0.17
118.5 0.59 1.16 1 0.59 0.25 0.1475
118.75 0.5 1.33 1 0.5 0.25 0.125
119 0.43 1.51 1 0.43 0.25 0.1075
119.25 0.37 1.7 1 0.37 0.25 0.0925
119.5 0.32 1.9 1 0.32 0.25 0.08
119.75 0.27 2.1 1 0.27 0.25 0.0675
120 0.23 2.31 1 0.23 0.25 0.0575
120.25 0.2 2.53 1 0.2 0.25 0.05
120.5 0.17 2.75 1 0.17 0.375 0.06375
121 0.12 3.2 1 0.12 0.5 0.06
121.5 0.09 3.67 1 0.09 0.5 0.045
122 0.07 4.15 1 0.07 0.5 0.035
122.5 0.05 4.63 1 0.05 0.5 0.025
123 0.04 5.12 1 0.04 0.5 0.02
123.5 0.035 5.61 1 0.035 0.5 0.0175
124 0.025 6.11 1 0.025 0.5 0.0125
124.5 0.02 6.6 1 0.02 0.5 0.01
125 0.02 7.1 1 0.02 0.5 0.01
125.5 0.015 7.59 1 0.015 0.5 0.0075
ential (delta K)--(columns J and R)

he sum of OTM Premiums; or use an

UndFuturePrc DTE Int Rate

117.92 31 3.5%

Opt*DeltaK Strike Call Put Factor OptPremi DeltaK Opt*DeltaK

108 9.93 0.005 1 0.005 0.5 0.0025
108.5 9.43 0.005 1 0.005 0.5 0.0025
109 8.93 0.01 1 0.01 0.5 0.005
109.5 8.43 0.01 1 0.01 0.5 0.005
110 7.93 0.01 1 0.01 0.5 0.005
110.5 7.43 0.01 1 0.01 0.5 0.005
111 6.94 0.015 1 0.015 0.5 0.0075
111.5 6.44 0.02 1 0.02 0.5 0.01
112 5.95 0.025 1 0.025 0.5 0.0125
112.5 5.46 0.035 1 0.035 0.5 0.0175
113 4.97 0.05 1 0.05 0.5 0.025
113.5 4.49 0.07 1 0.07 0.5 0.035
114 4.02 0.1 1 0.1 0.5 0.05
114.5 3.56 0.14 1 0.14 0.5 0.07
115 3.11 0.19 1 0.19 0.5 0.095
115.5 2.68 0.26 1 0.26 0.5 0.13
116 2.28 0.36 1 0.36 0.5 0.18
116.5 1.91 0.49 1 0.49 0.5 0.245
 117 1.57 0.65 1 0.65 0.5 0.325
117.5 1.28 0.86 1 0.86 0.5 0.43
118 1.03 1.11 1 1.03 0.5 0.515
118.5 0.82 1.4 1 0.82 0.5 0.41
119 0.65 1.73 1 0.65 0.5 0.325
119.5 0.51 2.09 1 0.51 0.5 0.255
120 0.4 2.48 1 0.4 0.5 0.2
120.5 0.32 2.9 1 0.32 0.5 0.16
121 0.25 3.33 1 0.25 0.5 0.125
121.5 0.2 3.78 1 0.2 0.5 0.1
122 0.16 4.24 1 0.16 0.5 0.08
122.5 0.13 4.71 1 0.13 0.5 0.065
123 0.11 5.18 1 0.11 0.5 0.055
123.5 0.09 5.67 1 0.09 0.5 0.045
124 0.07 6.15 1 0.07 0.5 0.035
124.5 0.06 6.64 1 0.06 0.5 0.03
125 0.05 7.13 1 0.05 0.5 0.025
125.5 0.04 7.62 1 0.04 0.5 0.02
126 0.035 8.11 1 0.035 0.5 0.0175
126.5 0.03 8.61 1 0.03 0.5 0.015
127 0.025 9.1 1 0.025 0.5 0.0125
127.5 0.02 9.6 1 0.02 0.5 0.01
128 0.02 10.1 1 0.02 0.5 0.01
128.5 0.015 10.6 1 0.015 0.5 0.0075
129 0.015 11.09 1 0.015 0.5 0.0075
129.5 0.015 11.59 1 0.015 0.5 0.0075
130 0.01 12.09 1 0.01 0.75 0.0075
131 0.01 13.09 1 0.01 1 0.01
132 0.01 14.09 1 0.01 1 0.01
133 0.005 15.09 1 0.005 1 0.005
134 0.005 16.09 0.5 0.0025 1 0.0025
135 0.005 17.08 0.25 0.00125 1 0.00125
136 0.005 18.08 0
137 0.005 19.08 0
Front
Sum of Raw Variance
FrontRaw 2.450625
GrowthFactor 1.00186
VarianceSum 2.45519480342665

Back
Sum of Raw Variance
Back 4.22625000000001
GrowthFactor 1.00297702530434
VarianceSum 4.23883165319247
 Bring both Front and Back information together:
5 Divide the Interest Rated-adjusted Raw Variance by the Future's Price Squared (1
metric (cells J26 and J27)
Annualize by 365/DTE multiply by 2 and take the Square Root to produce a standa
the tenor (cells L26 and L27)
Calculate a time-weighted average of the two variance estimates to produce a sin
Estimate (cell Q28)
Take the Square Root and then multiply by 100 to produce a standard-deviation v
CVol Index Value (cell S28)

Futures Interest Variance Divide by

Prices DTE Rate Sum F2
Front 117.92 17 4.0% 2.455195 0.000177
Back 117.92 31 3.5% 4.238832 0.000305
's Price Squared (1/F^2) to normalize the

to produce a standard-deviation version of

tes to produce a single, 30-Day Variance

andard-deviation version and the official

Volatility
Implied Squared = Time weights
Volatility percent to Horizon of
by Tenor Variance 30 Days Var*TimeWeight
0.087075 0.007582 0.0714285714 0.00054157289236
0.084726 0.007178 0.9285714286 0.00666572988247
Sum 1.000000000 0.0072073
100 times Square Root

8.48958348497488
Footnotes
1 Tenor selection rules are pre-specified by product. For a complete list of tenor sele
2 Most CVOL Indexes are calculated to target expiration of 30 days, however some in
3 For complete description of tapering rules, please refer to the calculation methodo
4 An at-the-money rebalancing adjustment may be needed if calculating UpVar and D
5 Different rate curves or discounting methodologies can be used here. For a descrip
or a complete list of tenor selection methodologies, please refer to the calculation methodology here: https://www.cmegroup.com
n of 30 days, however some indexes are 60 days, and some are 90 days. For a list of expiration targets, please refer to the FAQ here:
er to the calculation methodology here: https://www.cmegroup.com/market-data/cme-group-benchmark-administration/fi
eded if calculating UpVar and DnVar. For detailed description of this procedure, refer to the calculation methodology here:
an be used here. For a description of the formal CVOL rate and discounting calculation, please refer to the methodology here:
 https://www.cmegroup.com/market-data/cme-group-benchmark-administration/files/cvol-methodology.pdf
e refer to the FAQ here: https://www.cmegroup.com/market-data/cme-group-benchmark-administration/cme-group-volatility-in
p-benchmark-administration/files/cvol-methodology.pdf
hodology here: https://www.cmegroup.com/market-data/cme-group-benchmark-administration/files/cvol-methodolog
methodology here: https://www.cmegroup.com/market-data/cme-group-benchmark-administration/files/cvol-methodolog
tration/cme-group-volatility-indexes-faq.html

tration/files/cvol-methodology.pdf
tration/files/cvol-methodology.pdf