VIX is an implied volatility calculated from options on which one of the following? S&P 500 index Nasdaq 100 S&P 100 index DJIA Wilshire 3000 index
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(b) On Friday 2020-Nov-13, the SPDR S&P 500 ETF (SPY) settled at 358.10, while S&P 500 December futures contract, ESZ0, with final settlement date of 2020-Dec-18 (3rd Friday of quarter-end) settled at 3580, and the 3600-strike End-Of-Month (expiration date 2020-Nov-30) call option on ESZ0 settled at 43.40. Using r = 0.05% (5 bp's), and Act/365 for fractions of time, find the implied volatility of the call option.
Adi S.
The Dow Jones Industrial Average (DJIA) and the Standard & Poor's 500 (S&P 500) indexes are used as measures of overall movement in the stock market. The DJIA is based on the price movements of 30 large companies; the S&P 500 is an index composed of 500 stocks. Some say the S&P 500 is a better measure of stock market performance because it is broader based. The closing price for the DJIA and the S&P 500 for 15 weeks, beginning with January 6, 2012, follow (Barron's website, April 17, 2012). Date DJIA S&P January 6 12,360 1,278 January 13 12,422 1,289 January 20 12,720 1,315 January 27 12,660 1,316 February 3 12,862 1,345 February 10 12,801 1,343 February 17 12,950 1,362 February 24 12,983 1,366 March 2 12,978 1,370 March 9 12,922 1,371 March 16 13,233 1,404 March 23 13,081 1,397 March 30 13,212 1,408 April 5 13,060 1,398 April 13 12,850 1,370 (f) Suppose that the closing price for the DJIA is 13,500. Estimate the closing price for the S&P 500. If required, round your answer to the nearest whole number. Do not round intermediate calculations.
Supreeta N.
Market Volatility During the Dot-com Boom A volatility index generally measures the extent to which a market undergoes sudden changes in value. The volatility of the $\mathrm{S} \& \mathrm{P} 500$ (as measured by one such index) was decreasing at an average rate of $0.2$ points per year during $1991-1995$, and was increasing at an average rate of about $0.3$ points per year during 1995-1999. In 1995 , the volatility of the S\&P was $1.1 .{ }^{38}$ Use this information to give a rough sketch of the volatility of the S\&P 500 as a function of time, showing its values in 1991 and $1999 .$
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