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To: JDinBaltimore who wrote (29490)10/13/1999 9:01:00 PM
From: OX  Respond to of 99985
 
see the cboe site for more info, but basically it is calculated from implied volatility of the 8 near the money Puts and Calls (4 each) in the OEX.
So no, it has nothing to do w/ time decay.



To: JDinBaltimore who wrote (29490)10/14/1999 9:16:00 AM
From: pater tenebrarum  Read Replies (2) | Respond to of 99985
 
JDB, re. the VIX, i know which options are used in it's calculation, but i don't know the exact formula by heart...i can look it up though and post it later.

regards,

hb