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I'll bring the study down to my office if you want to see it. Call me when
your going to be on Wall Street.
-----Original Message-----
From: Ronald McEwan [mailto:rmac@xxxxxxxx]
Sent: Saturday, February 02, 2002 9:34 PM
To: realtraders@xxxxxxxxxxxxxxx
Subject: Re: [RT] VIX and VXN from their father
This is very interesting. I have been using the VIX ( and the VXN ) as
inputs to a Montecarlo Simulation model I develeoped to predict the
approximate price ranges for the Oex and Ndx. I never realized that this
could not be done ?
Ron McEwan
On Sat, 2 Feb 2002 19:13:31 -0500 "Jacobson, Alex"
<AJacobson@xxxxxxxxxxxxxx> writes:
> I was at the annual CBOE/CBOT/CME Risk Management Conference this
> week. On
> Friday Bob Whaley of Fuqua .. the fellow who created VIX and VXN for
> the
> CBOE did a piece analyzing volatility indexes. He, in effect, did
> an
> analysis of the predictive value of market vol. indexes as
> predictive tools
> ... both short term and long term. I'll simplify his conclusions.
> It
> doesn't work as forward price indicator. I don't know if the CBOE
> will or
> won't post his study on their Website. The CBOE never proposed the
> index as
> a predictive tool of direction ... it was offered as a gauge of
> subsequent
> market return volatility.
>
> One really interesting analysis he did was on the spread of VXN over
> VIX as
> measure of concern over tech.
>
> Alex Jacobson
> Vice President
> Business Development
> International Securities Exchange
> (212)897 8125
> (877)720 9918(SKYPAGE)
> ajacobson@xxxxxxxxxxxxxx
>
>
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