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Notebook: replicate VIX on SPX historical, match ±0.5 pts #3
Description
Scope: research/vix-spx-replication.ipynb.
Input: published SPX option chain snapshots + published VIX values (CBOE historical).
Implement: forward, K₀, OTM strip, variance integral, 30d interp.
Validate: computed VIX vs published VIX, target |diff| ≤ 0.5 across 30+ historical days.
Acceptance:
- notebook runs end-to-end
- error histogram + RMSE printed
- ≥95% of days within ±0.5
Activity