To: macavity who wrote (4166 ) 8/21/2000 7:48:31 PM From: Matthew L. Jones Read Replies (2) | Respond to As I said, "From a purely "theoretical" understanding of the basis of the formulation of the VIX.X, you are correct-- the implied volatility of the near-term ATM puts and calls of the OEX stocks would indicate low volatility of a large basket (S&P 100 stocks) or very little commitment to a single direction (either up or down) based on major hedging of long or short positions." What I meant by that is the following: calls and puts is in the mid twenties. I am aware that certain individual stocks have implied volatilies in the teens routinely, but my point was that the norm for the basket is in the mid twenties.most option purchases (long calls and puts) are made by commercials and locals offsetting risk in the equity markets in which they make markets. If they are net long equities, they will be net "synthetic short" or long put options in that market, and if they are net short equities they will be net "synthetic long" or long call options.
