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Rampart tracks some alternate options-related indexes:
http://www.rimco.com/default.html
This one (see attached) is kind of interesting:
The RAMPART VOLATILITY INDEXoex (RVIoex) is a proprietary equity risk index
which measures and aggregates the volatilities of each of the 100 stocks that
comprise the Standard & Poors 100 Index (OEX) by evaluating all near-the-money
put and call options on each stock. The CBOE's Volatility Index or VIX
measures the implied volatilities of the near-term, near-the-money OEX put and
call index options. Where the VIX conceals the divergences within the
components of the OEX, the RVI depicts a more accurate proxy of the perceived
risk of the internal market.
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Looking at the chart, the RVIoex remained well above VIX from 1999 up until
9/11 2001. At that point, they converged. What this says is that the OEX
options were a relatively cheaper proxy for the stocks in the OEX, than the
options on the individual stocks themselves. Said differently, if we'd sold
naked calls, on say, the top 10 stocks by weight in the OEX (a proxy for OEX),
and bought an equivalent number of OEX calls as a hedge -- we could have
expected a positive return through the 1999-2001 period.
Since July, most of that premium has gone, and VIX and RVIoex are quite similar
in their outlook of future volatility.
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