VIX √12 = SPX anticipated 30 day move %

CBOE:VIX/3.464101615141M

VIX/3.46410161514CBOE

Description

⋅ 20 févr. 2018 20:07

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

Commentaire

⋅ 20 févr. 2018 20:13

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

Commentaires

Shiloh777

⋅ 21 févr. 2018 08:43

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

UnknownUnicorn2421992

⋅ 21 févr. 2018 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 févr. 2018 10:17

@Wacc, Thanks much.

Plus