UnknownUnicorn2421992

2018年2月20日晚上8點07分

VIX √12 = SPX anticipated 30 day move %

CBOE:VIX/3.464101615141M

VIX/3.46410161514CBOE

描述

⋅ 2018年2月20日晚上8點07分

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

評論

⋅ 2018年2月20日晚上8點13分

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

Beyond Technical Analysis SPX (S&P 500 Index)VIX CBOE Volatility Index DOW forecast UVXY XIV spdr SPDR S&P 500 ETF (SPY) djia

評論

Shiloh777

⋅ 2018年2月21日早上8點43分

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

UnknownUnicorn2421992

⋅ 2018年2月21日早上8點57分

@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

⋅ 2018年2月21日上午10點17分

@Wacc, Thanks much.