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In Reference to Volatility and Index Reporting.....
CBOE will begin(in the next 90 to 180 days)begin reporting a new
Volatility measure.
The measure is calculated from the S & P 500 and will be more of an
institutional measure of pure VEGA.
VEGA trades are done commonly in the institutional market(on an O T C
basis) and this measure will, hopefully, establish an institutional
benechmark for volatility based trades.
The Index will report over OPRA just like any conventional quotem and
should begin in the next few weeks/months.
The new index will be IN ADDITION to VIX and will in no way impact VIX
and it's reporting.
"You heard it here first"
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