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To: OX who wrote (29502)10/13/1999 9:35:00 PM
From: keith massey  Respond to of 99985
 
what was the VIX called at the time, do you recall? the cboe site says VIX was introduced in 1993

Challo, it's been used since sometime in the '80's. the 10/19/87 reading was 127 if i remember correctly. it has never been surpassed.

If I remember correctly the VIX was introduced in 1993 but several groups have used past option data to go back and calculate what the VIX would have been during the 80's and for the 1987 crash.

Best Regards
KEITH



To: OX who wrote (29502)10/14/1999 9:21:00 AM
From: pater tenebrarum  Read Replies (1) | Respond to of 99985
 
OX, that's correct, it wasn't the VIX we know today that was used in the '80's. i remember i had a specialized options service that calculated volatility premiums. the actual VIX data for the '80's were not available then, but have in the meantime been calculated to provide a history of the VIX.

regards,

hb


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