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Yuki,
I donīt know Connors co.
Try in your IB the simple
R=Foreign("^VXO","C")/Foreign("^VIX","C");
Plot(100*R,"",1,1);
to see the relation. The calculation method is different, as
explained in the CBOT reference, the two indices have not a steady
ratio.
Dimitris Tsokakis
PS: I used YHOO symbols
--- In amibroker@xxxxxxxxxxxxxxx, Yuki Taga <yukitaga@xxxx> wrote:
> Hi DIMITRIS,
>
> Friday, January 23, 2004, 2:47:08 PM, you wrote:
>
> DT> Jim [and others]
>
> DT> Just one note, to avoid confusion : As you may see at
> DT> http://www.cboe.com/micro/vix/index.asp the old [pre Sept 2003]
> DT> is now called VXO. Any VIX levels analysis for the pre Sept
> DT> periods should be searched in the VXO prices.
>
> Yes, changing the formula was really stupid, IMO, however Connors
and
> Co. say the new formula should be used and should work the same way.
>
> That said, it seems the VIX may apply more to the Naz these days
than
> the broader market. Have a look at a recent journey well below the
> MA in late November and early December. A short on the Naz might
> have worked out, if your timing was really good; a short on the S&P
> or Dow would have killed you.
>
> Yuki
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