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Modified VIX Indicator
rev. 01/06/97

The interpretation for the Modified Volatility Index was taken from the article Modifying The Volatility Index by S. Jack Karczewski, in the April 1995 issue of TASC. The Volatility Index (VIX) is the implied volatility of a group of Standard & Poors 100 index options. It is updated by the CBOE. This formula assumes you can get the VIX information downloaded from some data vendor, such as Dial Data, Telescan, or DBC Signal.

The custom formula you should create is the


Modified VIX

( ( ( P - Mov( P ,15 ,E ) ) / Mov( P ,15 ,E )) * ( 100 * 33 * 2 ) ) * ( Sqrt( 252 ) / Sqrt( 15 ) / C )

 

The steps to get the actual charts are:

For the Windows versions of MetaStock:

1 - Open the chart of the OEX
2 - Open the chart of the VIX.
3 - Drag the plot of the OEX into the chart of the VIX.
4 - Plot the formula for the Modified VIX directly on top of the OEX plot.

You now have a plot of the Modified VIX.

**For interpretation of the Modified VIX refer to Mr. Karczewski's article.
 
 
 
 
 

 

Source / From: TOP
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