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Didn't the OEX Doctor say VIX was based on a constant 30 day maturity?
Does this mean in your answer below that you are subtracting 8 days
for weekends and two days for holidays for an average of 20?
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The basis for my using 256 days for a trading year and 20 days for the
VIX comes from Sheldon Natenberg "Option volatility and Pricing
Strategies" page 74
"Suppose we are interested in a daily volatility. How many daily trading
periods are there in a year? Since prices can only change on business
days we can throw out all the weekends and holidays. If we do this, we
are left with approximately 256 trading days in a year. The square root
of 256 is 16. Therefore, to change any yearly volatility figure to a
daily volatility we must divide by 16."
There are times when Mr. Natenberg will use a 365 day year in his
calculations. Either way if you use 365 days divided by 30 you get 12.16
and if you use 256 days divided by 20 you get 12.8. Close enough for
government work. Hope this helps.
Ron McEwan
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