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On Jul 6, 10:56am, Stuart Hazlewood wrote:
> Subject: Implied Volatility Data
>
> RTers:
>
> Does anybody know where to lay hands on Implied Volaitity data
> for the S&Ps? Specifically I would be looking for at the money IV
> on a daily basis (Closes would be fine.)
Stuart, by S&P's do you mean S&P futures or cash? A decent proxy
for the S&P's implied vols is the VIX index (^VIX on yahoo, $VIX
for DBC/Signal), which is broadcast in real-time. Technically,
since OEX options are early exercise on the cash index, and options
on the S&P futures are different, VIX isn't quite the right number.
However, it may be good enough for trading purposes, and there's
probably a mathematical calculation that will convert VIX into
something close to the actual implied vol. on the SP futures.
--
| Gary Funck, Intrepid Technology, gary@xxxxxxxxxxxx, (650) 964-8135
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