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Chances are none of the data feed managers have been on their toes and come
Monday there will be no data for the new VIX based on the SPX and no data
for the new VXO based on the OEX. If there is data for the VIX it will
probably be for the OEX and not SPX. Call it the zero confidence level. I
checked dtn and the new VXO doesn't show up in Chameleon. This used to
happen to esignal and bmi in the old days when a new stock or option series
would start trading, they had not added the symbol to their delivery
system. Maybe if the two titans read this they will have it fixed before
Monday's open, doubtful though. Let's see which one raises their hand
first as having done their job.
bobr
> [Original Message]
> From: The Funkhousers <funkhouser@xxxxxxxx>
> To: <bobrabcd@xxxxxxxxxxxxx>
> Cc: omega-list@xxxxxxxxxx <omega-list@xxxxxxxxxx>
> Date: 9/20/2003 2:59:57 PM
> Subject: Re: New VIX symbol on Monday 9/22
>
> Thanks for the answer. I've downloaded the "white paper" which describes
the
> new calc procedure they'll be using for the SPX. If there seems to be
anything
> there that may, in my limited opinion, be worth wondering about I'll try
to see
> how clear my understanding is.
>
> I'd have missed all of this if it wasn't for you, Bob.
>
> Again, thanks
>
> Richard
>
> bobr wrote:
>
> > For the OEX----VXO uses the old VIX data and calculations on and after
9/22
> > remain the same as before, only the symbol letters change.
> >
> > For the SPX----now uses the VIX symbol but has new data and new
> > calculation. The results are similar but the calculations are based on
> > options price data rather than implied volatility of the spx options.
> >
> > > [Original Message]
> > > From: The Funkhousers <funkhouser@xxxxxxxx>
> > > To: <bobrabcd@xxxxxxxxxxxxx>
> > > Cc: omega-list@xxxxxxxxxx <omega-list@xxxxxxxxxx>
> > > Date: 9/20/2003 8:59:44 AM
> > > Subject: Re: New VIX symbol on Monday 9/22
> > >
> > > Will the new Methodology make a comparison or linkage with the old
data
> > > incompatible? If linking may be misleading.
> > >
> > > Richard D Funkhouser
> > >
> > > bobr wrote:
> > >
> > > > On Monday 9/22 the CBOE is changing the S&P100 VIX symbol to VXO and
> > > > assigning the VIX to the S&P500 options and using a new methodology
for
> > > > calculation. Would someone with one of those xpo or omz data
> > converters do
> > > > us a favor and convert the historical data at
> > > > http://www.cboe.com/micro/vix/historical.asp ? It is available
there
> > as an
> > > > Excel download.
> > > >
> > > > http://www.cboe.com/micro/vix/introduction.asp
> > > > http://www.cboe.com/micro/vix/method.asp
> > > >
> > > >
> > > > thanks,
> > > > bobr
> > >
>
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