The VIX index. I saw this somewhere but never looking into it.

Too quickly, I open the PDF in your post! This was last night just before going to sleep.
My initial thoughts: Darn this is going to need some time for me to digest! All the formulas and shizzle. Too long time ago I applied math and/or played around with it. But I also know, when understanding how a number is created, it is mucho better to understand the meaning of the number. I plan to hit the books (PDF) but when I have some time and space to do so. Thanks for this - I think - very useful algo and number.