[RT] New VIX vs. Old VIX - a chart

["Gary Funck" <gary@xxxxxxxxxxxx>]

Using data from the CBOE for 
the period 1990-2002, I put together the following chart showing the new 
(SPX)
VIX as function of the old 
(OEX) VIX.
 
<IMG alt="" hspace=0 src="gif00726.gif" align=baseline 
border=0>
 
As expected, the new VIX (symbol: 
VIX) is closely related to the old
VIX (symbol: VXO). The linear fit 
has an R2 of 96.7%, an offset of 1.8,
and a slope of 0.9. The offset 
suggests that there is a slight upward
bias in VIX relative to VXO, so we 
might conclude that its readings are
more sensitive to the implied 
volatility in the market. At the same time,
VIX changes at about 9/10-ths the 
change in VXO. If the offset is set
to zero, then VIX runs at about 95% 
the level of VXO, but the fit isn't as
good (R2 of 
95%).






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