This is the CBOE approach to calculating VIX index url: https://www.cboe.com/micro/vix/vixwhite.pdf
To synthesize the exactly 30,60 ...day volatility, they use a linear approach for the volatility
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using one-day options with all strike price to calculated VIX value by using "“More than you ever wanted to know about volatility swaps” by Kresimir Demeterfi, Emanuel Derman, Michael Kamal and Joseph Zou, Goldman Sachs Quantitative Strategies Research Notes, March 1999. " approach
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using one-day options with all strike price to calculated VIX value by using "“More than you ever wanted to know about volatility swaps” by Kresimir Demeterfi, Emanuel Derman, Michael Kamal and Joseph Zou, Goldman Sachs Quantitative Strategies Research Notes, March 1999. " approach
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