Monday, April 11, 2011

Indicator changed VIX

Indicator changed VIX
Interpretation of Modified Volatility Index was taken from the article in the change of the volatility index, the S. Jack Karczewski, in April 1995 Published by TASC. Volatility Index (VIX) is the implied volatility of a group of Standard & Poors 100 index options. It was updated by the CBOE.
This formula assumes you can get information VIX downloaded from some data vendor, as Dial Data, Telescan, or DBC Signal.
The custom formula you need to create a modified VIX:
(((P - Mov (P, 15, E)) / Mov (P, 15, E)) * (100 * 33 * 2)) * (sqrt (252) / sqrt (15) / C)
Steps to get the real lists are:
DOS version of MetaStock:
1 - Open the chart of OEX
2 - Rental Custom Formula: close (You may need to add this formula too)
3 - Press Ctrl + B and Save to buffer.
4 - Open the table of VIX.
5 - Press Ctrl + B and Restore buffer.
6 - Plot the formula for Modified VIX.
For Windows versions of MetaStock:
1 - Open the chart of OEX
2 - Open the table of VIX.
3 - Drag the plot of the OEX chart of VIX.
4 - Plot the formula for Modified VIX directly on top of conspiracy OEX.
Now you have a plot of the modified VIX.
** For interpretation of the Modified VIX refer to Mr. Karczewski's article.

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