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Strategies & Market Trends : News Links and Chart Links
SPXL 194.65-4.6%4:00 PM EST
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To: Les H who wrote (3019)9/27/2002 11:15:36 PM
From: Les H  Read Replies (1) of 29597
 
Volatility premiums for Friday Sep 27, 2002

volatility index vs. 30-day actual volatility

S&P 100 (OEX) 413.22

VIX 43.14 + 3.02
30-day volatility 29.38 + 1.30
premium (discount) 13.76 + 1.72

recent peaks in the volatility index VIX

Aug 5, 2002 + 8.17

S&P 100 418.56
VIX 49.31
30-day volatility 41.14
premium (discount) 8.17

Jul 23, 2002 + 20.02

S&P 100 396.75
VIX 50.48
30-day volatility 30.46
premium (discount) 20.02

Sep 24, 2001 + 15.40

S&P 100 410.88
VIX 45.38
30-day volatility 29.98
premium (discount) 15.40

NASDAQ 100 (NDX) 860.35 QQQ 21.31

VXN 57.86 - 1.23 QQV 49.18 + 0.71
30-day volatility 41.14 - 0.14 30-day volatility 34.50 - 0.63
premium (discount) 16.72 - 1.09 premium (discount) 14.68 + 1.34

recent peaks in the volatility index VXN and QQV

Jun 26, 2002 + 31.03 + 22.47

NASDAQ 100 1027.22 QQQ 25.45
VXN 64.14 QQV 56.39
30-day volatility 33.11 30-day volatility 33.92
premium (discount) 31.03 premium (discount) 22.47

Aug 5, 2002 + 10.28 + 3.65

NASDAQ 100 857.08 QQQ 21.44
VXN 67.52 QQV 58.74
30-day volatility 57.24 30-day volatility 55.09
premium (discount) 10.28 premium (discount) 3.65

Jul 23, 2002 + 18.78 + 8.12

NASDAQ 100 896.82 QQQ 22.40
VXN 66.39 QQV 66.39
30-day volatility 47.61 30-day volatility 58.27
premium (discount) 18.78 premium (discount) 8.12

Sep 24, 2002 + 14.58 + 13.10

NASDAQ 100 843.61 QQQ 21.03
VXN 59.40 QQV 52.14
30-day volatility 44.82 30-day volatility 39.04
premium (discount) 14.58 premium (discount) 13.10
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