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The implied volatility on the Nasdaq 100 (NPX) option. This volatility is meant to be a forward looking volatility. It is calculated from both calls and puts that are near the money.
Copyright © 2012, Campbell R. Harvey. All Rights Reserved.
The volatility of an index option in which the underlying index is the NASDAQ 100, also called an NPX option. It is calculated by taking into account near-the-money NPX calls and puts.
Farlex Financial Dictionary. © 2012 Farlex, Inc. All Rights Reserved