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>Speaking of VIX, does anyone know exactly how it is calculated.
>I understand that it is the average of the implied volatilities of some
>options, but have not been able to learn which options are figured
>into it.
>
>Thanks.
>
>Owen Davies
Last I checked the CBOE web site, the CBOE VIX index is calculated by
"averaging the at-the-money OEX call and put."
I assume this means that the IVs of each at the money call and put for the
various expiration months are averaged, and I also assume that the at the
money options are the ones closest to OEX itself.
But you know happens to traders that assume....
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