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Strategies & Market Trends : News Links and Chart Links
SPXL 213.39-5.0%Nov 13 4:00 PM EST
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To: Les H who wrote (3459)11/8/2002 9:21:28 PM
From: Les H  Read Replies (1) of 29596
 
Volatility premiums for Friday Nov 8, 2002

volatility index vs. 30-day actual volatility

S&P 100 (OEX) 457.40

VIX 33.56 - 1.72
30-day volatility 33.32 - 1.83
premium (discount) + 0.24 + 0.11

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) 1008.44 QQQ 25.07

VXN 52.01 - 1.89 QQV 43.95 - 1.26
30-day volatility 44.92 + 0.06 30-day volatility 44.35 + 0.21
premium (discount) + 7.09 - 1.95 premium (discount) - 0.40 - 1.47

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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