VIX & VXN -- How they are designed and how they work. <b>The Investor Fear Gage</b> by Professor Robert E. Whaley, Duke University. (Whaley is apparently the guy who designed the VIX and VXN for the CBOE.) <A HREF="http://faculty.fuqua.duke.edu/%7Ewhaley/pubs/fear_gauge.pdf" target="_new">http://faculty.fuqua.duke.edu/%7Ewhaley/pubs/fear_gauge.pdf</A>