An approach to estimating the volatility index (VIX) truncation error using corridor variance swaps (CVSs) is developed. It is shown that the existing VIX approach significantly underestimates option volatility in emerging markets. The truncation error of iVX (a product that mimics VIX in China's options market) is not only significant, but also volatile under different market conditions. It is demonstrated that other emerging markets, such as Korea and Mexico, also have significant VIX truncation errors. A new approach, different from the popular Fast Fourier Transform (FFT), is proposed for the valuation of corridor variance swaps. The Feynman-Kac connection is employed to derive a closed-form result and avoid the arbitrary damping factor (alpha) problem in the FFT approach.