SKEW Index calculation

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DeltaGammaTheta
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Joined: Thu Jan 01, 2004 12:00 am

SKEW Index calculation

Post by DeltaGammaTheta »

Hi,

I am working on modelling an index like the SKEW Index of CBOE.

I've read through the white paper on SKEW Index provided by the CBOE. SKEW Index White Paper CBOE

I've understood mostly everything in that paper except two variables in one of the calculations. I am not sure how they got the following numbers which they punch in to solve S: 0.730208333 and 0.269791667. Can anyone here please help me out on this?





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sharpend
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Joined: Thu Jan 01, 2004 12:00 am

SKEW Index calculation

Post by sharpend »

This is how they get the bad number.





((13.25*60+8.5*60+51*24*60)/(365*24*60)-(30/365))/(30/365)







I'd like to make a good comment but res ipsa loquitor
Panic Early
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