VIX √12 = SPX anticipated 30 day move %

CBOE:VIX/3.464101615141M

VIX/3.46410161514CBOE

설명

⋅ 2018년 2월 20일 오후 8시 7분

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

코멘트

⋅ 2018년 2월 20일 오후 8시 13분

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

코멘트

Shiloh777

⋅ 2018년 2월 21일 오전 8시 43분

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

UnknownUnicorn2421992

⋅ 2018년 2월 21일 오전 8시 57분

@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

⋅ 2018년 2월 21일 오전 10시 17분

@Wacc, Thanks much.