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This is the VIX description from the CBOE Site:
CBOE Volatility Index (VIX) -- Historical Volatility Data for Optionable Stocks
http://www.cboe.com/tools/historical/vix.htm
One measure of the level of implied volatility in index options is CBOE's
Volatility Index, known by its ticker symbol VIX. VIX, introduced by CBOE
in 1993, measures the volatility of the U.S. equity market. It provides
investors with up-to-the-minute market estimates of expected volatility by
using real-time OEX index option bid/ask quotes.
This index is calculated by taking a weighted average of the implied
volatilities of eight OEX calls and puts. The chosen options have an average
time to maturity of 30 days. Consequently, the VIX is intended to indicate
the implied volatility of 30-day index options. It is used by some traders
as a general indication of index option implied volatility.
Implied volatility levels in index options change frequently and
substantially. Consequently, when trading short-term index options, traders
should forecast the index level, the time period, and the volatility level.
Traders of long-term index options should also include a forecast of
interest rates. (The volatility discussions above are excerpts from the book
Trading Index Options by James B. Bittman.)
_______________________________________
At 01:59 PM 1/28/99 -0800, you wrote:
>Ron Augustine <RonAug@xxxxxxxxxxxxx> writes:
>>VIX stands for "Volatility Index" (VIX on BMI from CBOE) -- It is the
>>volatility of all "at the money" Calls & Puts on CBOE
>
>Is it ALL calls and puts? I thought it was just those on the OEX.
>
>FWIW, BMI used to broadcast VIX on the CBOE exchange, but switched
>it, and most of their other indices to MIC exchange last fall.
>
>Jim
>
>
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