VIX √12 = SPX anticipated 30 day move %

CBOE:VIX/3.464101615141M

VIX/3.46410161514CBOE

Описание

⋅ 20 фев 2018 г., 20:07

This is a commonly used calculation that many traders use, I believe it's also part of the CMT.

Комментарий

⋅ 20 фев 2018 г., 20:13

Currently, according to the calculation we should expect a 5.8% move withing the next 30 days.

Комментарии

Shiloh777

⋅ 21 фев 2018 г., 08:43

Thanks for the post. Is it the same equation for VXX?

UnknownUnicorn2421992

⋅ 21 фев 2018 г., 08:57

@Shiloh777, This equation wont work to calculate the the monthly volatility because VXX is priced differently to the VIX. This is because the price of the VIX is actually the implied annualised monthly volatility of the SPX. VXX is not, it's just the futures.

Shiloh777

⋅ 21 фев 2018 г., 10:17

@Wacc, Thanks much.

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