|
PureBytes Links
Trading Reference Links
|
I just heard from the research department at CBOE re: VIX data. VIX
stops calculating at 3:02PM Chicago to coincide with the close of
trading in the cash market. This means that the last minutes of trading
in OEX and all the Chicago derivatives IS NOT REFLECTED in the VIX
data. Any material change in S & P activity post the cash close would
not be reflected. Obviously on days where such activity occurs it would
MATERIALLY diminish the value of the VIX data. Clearly a issue on days
when the SPUZ has a material move post the 3:02 cash close.
Just for future reference .. anytime anyone has a CBOE related question
.. if you didn't want to post to the forum ... AND I'M NOT ENCOURAGING
ANYONE NOT TO POST ... but if you had a CBOE related question which you
think would not be of interest to the forum you can e mail me directly
at CBOE at droex@xxxxxxxx and I'll either forward your question or get
the answer myself.
|