Transcription of A Tale of Two Indices - Baruch College
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A Tale of Two Indices - Baruch College
a tale of two Indices T. A. M. PETER CARR AND LIUREN WU. R. FO. Y. N. A. PETER CARR In 1993, the Chicago Board of Options Exchange based on historical option prices. The new def- IN. is the director of the (CBOE) introduced the CBOE Volatility Index. inition uses the S&P 500 index (SPX) to replace Quantitative Finance This index has become the de facto benchmark for the OEX as the underlying stock index. Fur- LE. Research group at stock market volatility. On September 22, 2003, thermore, the new index measures a weighted Bloomberg LP and the C. director of the Masters in the CBOE revamped the definition and calculation average of option prices across all strikes at two TI. Mathematical Finance of the volatility index and back-calculated the new nearby maturities.
14 A TALE OF TWO INDICES SPRING 2006 options at the two nearest maturities. When the time to the nearest maturity is within eight calendar days, the next two nearest maturities are used instead.
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