|
PureBytes Links
Trading Reference Links
|
I'll ask the research guys, but I assume you are correct. Since VIX calculates
off of the cash ... and there is no change in the cash in the last fifteen
minutes...then the VIX wouldn't change. OEX options don't trade off of the cash
, except very near expiration .... they trade off of the SPUZ. This is the key
flaw in OEX which normally washes out because it uses both puts and calls. Also
be aware that NVIX .. the volatility index off of the NDX is scheduled to begin
broadcasting anytime now. The NDX option is in the process of moving to a newly
reconfigured OEX pit. So the pit will trade OEx, DJX and NDX all in one
location soon.
BobR wrote:
> Question for Dr. OEX. Just wondering why the last 15 minutes of OEX options
> trading is not included in the VIX calculation? Or is it just that the
> datafeeds stop reporting it during that time?
>
> Thanks,
> BobR
|