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To: Henry J Costanzo who wrote (125565)10/29/2005 8:03:31 PM
From: Win-Lose-Draw  Respond to of 209892
 
That's another way of thinking about it. You're looking for a difference between VIX from puts-only and VIX from calls-only,
buts that's a lot of work. Using just one or two strikes 4-6 weeks out simplifies things enormously.

Unless you're running a options book there doesn't appear to be anything gained from the extra work - and I'm lazy. :)


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