Neuer Volatilitätsindex auf den S&P 500 Index ab 22.9. und einen Future darauf.

verfasst von El Sheik, 08.09.2003, 18:54

-->New VIX Methodology

In response to suggestions from customers regarding growth in certain markets in recent years, on September 22, 2003, the CBOE plans to make two key enhancements to the VIX methodology:

1. Based on S&P 500 Options Prices. The new VIX will be based on prices of S&P 500 (SPX) options. Recent average daily volume for SPX options has grown to more than 140,000 contacts, and more than $800 billion in assets are now indexed to the S&P 500 Index. (Previously, the original-formula VIX was based on prices of the S&P 100 (OEX) Index Options, and CBOE will continue to calculate and disseminate the original-formula index with the ticker VXO.)

2. New Formula for Calculation of VIX. The new formula that will take into account a broader range of strike prices (rather than using only near-the-money strikes as the original-formula index did). Each strike price will be weighted, with at-the-money strikes having the most weight. The new formula is intended to make VIX a better index for investors who manage risks associated with the growing markets for volatility and variance swaps.

Please click here for the CBOE VIX White Paper (Adobe.pdf) that explains the new methodology in greater detail.

<ul> ~ http://www.cboe.com/micro/vix/method.asp</ul>

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• Neuer Volatilitätsindex auf den S&amp;P 500 Index ab 22.9. und einen Future darauf. - El Sheik, 08.09.2003, 18:54