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SPXL 213.39-5.0%Nov 13 4:00 PM EST
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To: Les H who wrote (3638)12/15/2002 11:19:21 AM
From: Les H  Read Replies (1) of 29596
 
Volatility premiums for week ending Friday Dec 13, 2002

S&P 100 (OEX) 451.82 -12.60

VIX 32.12 - 0.56
30-day volatility 22.69 + 1.01
premium (discount) + 9.43 + 0.45

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) 1005.85 - 60.12 QQQ 25.04 - 1.43

VXN 50.92 - 1.36 QQV 42.59 - 1.12
30-day volatility 41.89 + 2.01 30-day volatility 38.60 + 2.32
premium (discount) + 9.03 - 3.37 premium (discount) + 3.99 - 3.44

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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