[Jprogramming] Re: Programming Digest, Vol 21, Issue 12

[Devon McCormick]

Just remembered that the VIX is now calculated on the S&P500.  A price
series for this can be found at
http://finance.yahoo.com/q/hp?s=%5EGSPC .

On 6/7/07, Devon McCormick <devonmcc at gmail.com> wrote:
>
> ...
> In any case, what answer do you get for the volatility of your made-up
> data?
>
> Even better, if you go to  http://finance.yahoo.com/q/hp?s=%5EOEX , you
> can
> download historical high, low, open and close data for the S&P 100 index
> (OEX) and
> run the calculation on real numbers.  You can then do a sanity check on
> the
> results of your calculation by comparing them to the values of the VIX -
> the
> volatility index on the OEX.  You can get VIX data at
> http://finance.yahoo.com/q/hp?s=%5EVIX .
>
> ...
>

-- 
Devon McCormick, CFA
^me^ at acm.
org is my
preferred e-mail