Nearest $VIX Expiry Date

version 1.0.0.0 (1.86 KB) by Matthaeus
Provide the Next $VIX Expiry Date, Given a Single Calendar Date

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Updated 18 Jul 2015

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Send a query date thought this function to return the next main-month $VIX futures/options expiration in datenum format. This is in fact slightly tricky to code, since holidays on both ends ($SPX and '30 days before') can impact the correct date in some years. Perhaps there is a more elegant way to code this, but the function has been checked against many years of actual dates. A secondary function is included that (unlike those in the finance toolbox) retains the query date if already a biz date but otherwise gives the immediate next or previous biz date. This can be used for other purposes but is needed by the Nearest_VIX function. To obtain historical or future $VIX expirations, simply submit different query dates.

Cite As

Matthaeus (2022). Nearest $VIX Expiry Date (https://www.mathworks.com/matlabcentral/fileexchange/52189-nearest-vix-expiry-date), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2014b
Compatible with any release
Platform Compatibility
Windows macOS Linux
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