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To: Jon Khymn who wrote (486)	4/16/2003 6:09:46 PM
From: Jon Khymn	Read Replies (1) \| Respond to of 795

VIX & VXN: One measure of the level of implied volatility in index options is CBOE's Volatility Index, known by its ticker symbol VIXSM. VIX, introduced by CBOE in 1993, measures the volatility of the U.S. equity market. It provides investors with up-to-the-minute market estimates of expected volatility by using real-time OEX index option bid/ask quotes. This index is calculated by taking a weighted average of the implied volatilities of eight OEX calls and puts. The chosen options have an average time to maturity of 30 days. Consequently, the VIX is intended to indicate the implied volatility of 30-day index options. It is used by some traders as a general indication of index option implied volatility. Implied volatility levels in index options change frequently and substantially. Consequently, when trading short-term index options, traders should forecast the index level, the time period, and the volatility level. Traders of long-term index options should also include a forecast of interest rates. (The volatility discussions above are excerpts from the book Trading Index Options by James B. Bittman.) Additionally, the CBOE has added the Nasdaq Volatility Index (ticker symbol: VXNSM) which is the newest benchmark of "technology stock" volatility based on the implied volatility of Nasdaq-100 Index (NDX) options. Calculated using the same methodology as the CBOE Market Volatility Index VIX, VXN is constructed so that, at any given time, it represents the implied volatility of a hypothetical at-the-money NDX option with 30 calendar days to expiration. The CBOE Nasdaq Volatility Index is calculated and disseminated every 60 seconds throughout the trading day beginning at 8:45 a.m. (Chicago time) and ending at 3:00 p.m. Historical index levels are available from January 1995. cboe.com VIX & VXN 5 day chart: finance.yahoo.com VXN & Nas 1 year chart - almost a mirror image: finance.yahoo.com^VXN&d=c&k=c1&c=^ixic&a=v&p=s&t=1y&l=on&z=m&q=l