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Strategies & Market Trends : Systems, Strategies and Resources for Trading Futures -- Ignore unavailable to you. Want to Upgrade?

To: Chip McVickar who wrote (38313)	10/22/1999 1:45:00 PM
From: GROUND ZERO™	Read Replies (2) \| Respond to of 44573

VIX is a volatility index and it should be read in reverse of the markets.... I like to call it the fear/complacency index... let me explain it to you after the markets are closed.....<g> this will take some time..... thanks for understanding..... GZ

To: Chip McVickar who wrote (38313)	10/22/1999 1:50:00 PM
From: Patrick Slevin	Read Replies (1) \| Respond to of 44573

From a CBOE MM..... ========================= Vix is drawn from 8 options. The front month puts and calls bracketing the current cash value of the OEX and the same second month options. The front month is dropped on Monday of expiration week and the "third" and second month then make up the VIX. They are weighed so as to achieve an exactly ATM..exactly 30 day value. So if the OEX were 567.28 you would , in theory, be calculating a 30 day 567.28 option. Not a put or a call, but rather a benchmark of the options marketplace as measured by the OEX. It now calculates 15 minutes after opening..it used to be 30 minutes. So for the first 15 minutes it appears unchanged. It calculates real-time after that. VIX was created by Prof. Bob Whaley at the Duke grad school.