#### Archidamus

##### Member

\[ \sigma^2=\frac2T\sum_i\frac{\Delta K_i}{K_i^2}e^{RT}\;-\frac1T\left|\frac F{K_0}-1\right|^2\; \]

When there are two consecutive bid's of 0 then the remaining strikes are not included in the calculation. Therefor all of the strikes below 1150 and above 3100 (at moment of writing this) are not used. The original formula from which the Cboe's was derived used an integral of prices from 0 to infinity, suggesting that all terms should be used. My question is, does this not give way to manipulation by adding/subtracting bids on the far OTM strikes to attempt to get them included/excluded from the calculation? Or am I misunderstanding the VIX calculation formula, and there is some weighting aspect that minimizes potential gaming?