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SPXL 213.12-0.1%Nov 14 4:00 PM EST
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To: Les H who wrote (3411)10/30/2002 10:15:36 PM
From: Les H  Read Replies (2) of 29596
 
Volatility premiums for Wednesday Oct 30, 2002

volatility index vs. 30-day actual volatility

S&P 100 (OEX) 452.60

VIX 36.08 - 0.72
30-day volatility 36.88 + 0.01
premium (discount) -0.80 - 0.73

recent peaks in the volatility index VIX

Jul 23, 2002 + 20.02

S&P 100 396.75
VIX 50.48 intraday high 56.74
30-day volatility 30.46
premium (discount) 20.02

Sep 24, 2001 + 15.40

S&P 100 410.88
VIX 45.38 intraday high 57.31
30-day volatility 29.98
premium (discount) 15.40

NASDAQ 100 (NDX) 986.09 QQQ 24.56

VXN 51.29 - 1.18 QQV 44.22 - 1.78
30-day volatility 46.18 + 0.48 30-day volatility 44.55 + 0.32
premium (discount) 5.11 - 1.66 premium (discount) - 0.33 - 2.10

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

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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