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THE DOCTOR wrote:
>
> It is a pretty simple calculation. I merely took the VIX...currently
> about 34%......this reprsents an annualized number...and converted it
> into a one day estimate.
>
Dr. OEX,
I appreciate the clarity with which you have defined the VIX.. I have a
suggestion...
At the CBOE web page <http://www.cboe.com/index/oex/xadvance.html#vix>
that is devoted to explaining the VIX could you please have some one
ammend that page to explain to people who read it that it is an
annualized number??
Here is the first paragraph. Nothing there says that it is an annualized
number...
CBOE Market Volatility Index
In 1993, the Chicago Board Options Exchange introduced the CBOE Market
Volatility Index. The CBOE Market Volatility Index, known by its ticker
symbol VIX, 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.
*{put in {annualized} here}
Confusion arises when reads Robert E. Whaley's article:
Derivatives on Market Volatility: Hedging Tools Long Overdue.
Where in the opening paragraph states.....
"(....VIX), which is based on the implied volatilities of eight
different OEX option series, represents a market consensus forcast of
stock market volatility over the next thirty calendar days...
I had pretty much come to the conclusion that the VIX based on the above
quote from Whaley, was based on thirty days...
Lastly, Perhaps remind the able staff at Investor Education, who are
very personable and helpful, that the word annualized must be
permanently bonded to the VIX and implied volatility...
Sincerely,
Don Thompson
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