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To: The Freep who wrote (127185)	12/17/2005 2:19:35 PM
From: skinowski	Respond to of 209892

I find that guys who trade in volatility regularly have a very sophisticated way of thinking about it. Generally, I know that VIX will depend on how bad buyers of options want to buy them, and sellers - to sell. That, of course, depends on the market action - a bit of a scare will get everyone's juices going... -g. I can see how VIX can go up during long rallies, like in the late 90's -- selling calls, even CC's, involves perceived opportunity costs during times when the market keeps proving buyers right, and sellers wrong.

To: The Freep who wrote (127185)	12/17/2005 2:39:26 PM
From: Win-Lose-Draw	Respond to of 209892

It's a bit moot at this point, anyway, as VIX finished virtually unchanged. For people interested in VIX, I think it's a really useful exercise to go through the calculation process every once in a while as it shows just how noisy VIX is. A Jan expiry ATM call option (no divies, 4% riskfree rate) on a $50 stock increases in price from 0.71 to 0.74 when IV increases "5%" from 10 to 10.5. That's less than the spread! In fact, in our example the "increase" in VIX doesn't even move the bid or the ask. At these low VIX levels, anything less than a 20% move is pretty insignificant. Also, despite that, what does the number of trading days between expiries have to do with the VIX calculation? If anything, fewer trading days between now and "then" would tend to increase, not decrease, VIX, as the potential for an adverse event is unchanged (world runs on real time) but there are fewer opportunities to hedge (markets run on exchange time).

To: The Freep who wrote (127185)	12/18/2005 12:47:48 AM
From: mishedlo	Read Replies (1) \| Respond to of 209892

There was an explanation on this on Minyanville. Counting holidays etc Christmas, new years, weekends, etc. I also think they were factoring in seasonality and something else that I forget now. I just found it. He says there are 35 days but discounting action around holidays that tend to be light and uneventful, only about 14 "trading days" to worry about. I guess the theory is that market are less likely to move significantly in 14 days than say 21 days. Just the messenger here Mish