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Dr. OEX,
I'm getting closer in getting the idea of time scaling of vix with the
square root of time function.
I understand that the Cox-Ross-Rubenstein binomial method is used in
the VIX calculation. When one uses it to obtain a value for an option,
one has to input a historical volatility.
Am I right in assumming that the volatility would be the standard
deviation of a full year of daily rates of return on the OEX ie
natural log of Close t / Close t-1 day.
So for a year this is roughly 252 or 253 events that would comprise the
input for the historical calculation.
Please affirm and if different what is the method of calculation?
Secondly,,,,
Since the VIX is calculated on the at the money and nearby options
with a "30 day maturity", and then annualized, please dear "Dock-tore",
tell me
exactly how many days are in the VIX year? Exactly what number are your
guys plugging in to annualize those thirty days of option data?
Vixitively,
Don Thompson
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