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Strategies & Market Trends : MDA - Market Direction Analysis -- Ignore unavailable to you. Want to Upgrade?

To: OX who wrote (62657)11/16/2000 4:10:26 PM
From: Louis V. Lambrecht  Respond to of 99985
 
OX, Hi!
That was the question: 30 days to expiration.
When does the CBOE changes that month?

Only clear text I have is here: VIX is IV on a theoretical option.
So, no month change.

The Chicago Board Options Exchange (CBOE) Market Volatility Index (ticker symbol VIX) reflects the implied volatilities of the underlying market. The VIX is a market consensus forecast of future stock market volatility over the next month. The VIX is constructed using the implied volatilities of eight near-the-money, front and back month OEX calls and puts to create a hypothetical option that is always at-the-money and has exactly one month until expiration (Bernie Schaeffer).



To: OX who wrote (62657)11/16/2000 4:37:39 PM
From: 10K a day  Respond to of 99985
 
so it's a synthetic position ...of a fictitious position....of a manipulated piece of Junk.....Basically.



To: OX who wrote (62657)11/16/2000 5:37:21 PM
From: Les H  Read Replies (1) | Respond to of 99985
 
Actual volatility on OEX is 25 as the OEX's range in the last 21 days is in the 700-755 area with most of it spent in the 700-740 area. Peak volatility was 28. Volatility would start to pick up when it breaks the low end of the range. It was up about .10 today.


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