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UnknownUnicorn2421992
20 กุมภา 2018 เวลา 20 นาฬิกา 7 นาที

VIX √12 = SPX anticipated 30 day move % 

CBOE:VIX/3.464101615141M
VIX/3.46410161514CBOE

คำอธิบาย

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

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

Beyond Technical AnalysisSPX (S&P 500 Index)VIX CBOE Volatility IndexDOWforecastUVXYXIVspdrSPDR S&P 500 ETF (SPY) djia
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Shiloh777
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Thanks for the post. Is it the same equation for VXX?
UnknownUnicorn2421992
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@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
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@Wacc, Thanks much.
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