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The (new) volatility index from the CBOE is computed from option prices without using a specific model. Understanding that as a special case one can derive a formula to get higher moments from quoted prices in a completely model free way and thus gets reasonable approximate values for mean, variance, skewness and kurtosis without constructing an implicit density. Besides interesting in its own these figures can serve for estimating pricing models by providing initial guessing for parameters. The Maple sheet shows, how to find the formula based on a result of Carr and Madan. Then the essential steps and procedures are given which allow to compile the stuff into Visual Basic. The final solution as Excel workbook with VBA code is fast enough to work even on real data and does not need Maple to run. Download model free statistics from prices.mws or view as pdf. Download zipped Excel workbook
example statistics procedure

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