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<DIV><FONT color=#000000>Hello,</FONT></DIV>
<DIV><FONT color=#000000></FONT> </DIV>
<DIV><FONT color=#000000>I'm trying to understand how to interpret Modified VIX
numerically, since I don't have access to the TASC April 1995 article. The
formula I have from the Metastock website is as follows:</FONT></DIV>
<DIV><FONT color=#000000></FONT> </DIV>
<DIV><FONT color=#000000>(((P -
Mov(P,15,E))/Mov(P,15,E))*(100*33*2))*(Sqrt(252)/Sqrt(15)/C)</FONT></DIV>
<DIV><FONT color=#000000></FONT> </DIV>
<DIV><FONT color=#000000>This implies the foll:</FONT></DIV>
<DIV><FONT color=#000000></FONT> </DIV>
<DIV><FONT color=#000000>1. Difference between today's VIX indicator value and
15 period exponential moving average of VIX is divided by the 15 period EMA of
the VIX.</FONT></DIV>
<DIV><FONT color=#000000>2. The quotient is multiplied by 100 (probably a
percentage function), then by 33 (what would this be? and by 2 (again, what
would this be?)</FONT></DIV>
<DIV><FONT color=#000000>3. Sqrt 252 and Sqrt 15 are calculations for deviations
around mean values of VIX and the 15 period EMA; these are divided by today's
closing value of OEX.</FONT></DIV>
<DIV><FONT color=#000000></FONT> </DIV>
<DIV><FONT color=#000000>2 is multiplied by 3.</FONT></DIV>
<DIV><FONT color=#000000></FONT> </DIV>
<DIV><FONT color=#000000>I would appreciate if someone could help out here,
either email a clarification or fax the article @ 212-594-1913.</FONT></DIV>
<DIV><FONT color=#000000></FONT> </DIV>
<DIV><FONT color=#000000>Thanks a lot!</FONT></DIV>
<DIV><FONT color=#000000></FONT> </DIV>
<DIV><FONT color=#000000>Gitanshu Buch</FONT></DIV>
<DIV><FONT color=#000000><A
href="mailto:OnWingsofEagles@xxxxxxxxxxxxx";>OnWingsofEagles@xxxxxxxxxxxxx</A></FONT></DIV>
<DIV><FONT color=#000000></FONT> </DIV></BODY></HTML>
</x-html>From ???@??? Tue Dec 23 08:30:38 1997
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Reply-To: "Richard Estes" <restes@xxxxxxxxx>
From: "Richard Estes" <restes@xxxxxxxxx>
To: "Gitanshu Buch" <onwingsofeagles@xxxxxxxxxxxxx>,
"Metastock List" <metastock-list@xxxxxxxxxxxxx>
Subject: Re: Help with Modified VIX
Date: Tue, 23 Dec 1997 10:21:29 -0600
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<DIV><FONT color=#000000 face="Courier New" size=2>The article doesn't help
much. The author used 21 days instead of 15. "P" is actually OEX close
with "C" referring to VIX. No explanation of (100X33X2) or 6600????,
after he gets this modification, he puts 252 day Bollinger bands at 1,1.5,2 std
dev around the mod to determine extent of moves. Seems to pointed towards
options types.</FONT></DIV>
<DIV><FONT color=#000000 face="Courier New" size=2> </FONT></DIV>
<DIV><FONT color=#000000 face="Courier New" size=2>Richard Estes</FONT></DIV>
<BLOCKQUOTE
style="BORDER-LEFT: #000000 solid 2px; MARGIN-LEFT: 5px; PADDING-LEFT: 5px">
<DIV><FONT face=Arial size=2><B>-----Original Message-----</B><BR><B>From:
</B>Gitanshu Buch <<A
href="mailto:onwingsofeagles@xxxxxxxxxxxxx";>onwingsofeagles@xxxxxxxxxxxxx</A>><BR><B>To:
</B>Metastock List <<A
href="mailto:metastock-list@xxxxxxxxxxxxx";>metastock-list@xxxxxxxxxxxxx</A>><BR><B>Date:
</B>Tuesday, December 23, 1997 9:06 AM<BR><B>Subject: </B>GEN: Help with
Modified VIX<BR><BR></DIV></FONT>
<DIV><FONT color=#000000>Hello,</FONT></DIV>
<DIV><FONT color=#000000></FONT> </DIV>
<DIV><FONT color=#000000>I'm trying to understand how to interpret Modified
VIX numerically, since I don't have access to the TASC April 1995 article.
The formula I have from the Metastock website is as follows:</FONT></DIV>
<DIV><FONT color=#000000></FONT> </DIV>
<DIV><FONT color=#000000>(((P -
Mov(P,15,E))/Mov(P,15,E))*(100*33*2))*(Sqrt(252)/Sqrt(15)/C)</FONT></DIV>
<DIV><FONT color=#000000></FONT> </DIV>
<DIV><FONT color=#000000>This implies the foll:</FONT></DIV>
<DIV><FONT color=#000000></FONT> </DIV>
<DIV><FONT color=#000000>1. Difference between today's VIX indicator value
and 15 period exponential moving average of VIX is divided by the 15 period
EMA of the VIX.</FONT></DIV>
<DIV><FONT color=#000000>2. The quotient is multiplied by 100 (probably a
percentage function), then by 33 (what would this be? and by 2 (again, what
would this be?)</FONT></DIV>
<DIV><FONT color=#000000>3. Sqrt 252 and Sqrt 15 are calculations for
deviations around mean values of VIX and the 15 period EMA; these are
divided by today's closing value of OEX.</FONT></DIV>
<DIV><FONT color=#000000></FONT> </DIV>
<DIV><FONT color=#000000>2 is multiplied by 3.</FONT></DIV>
<DIV><FONT color=#000000></FONT> </DIV>
<DIV><FONT color=#000000>I would appreciate if someone could help out here,
either email a clarification or fax the article @ 212-594-1913.</FONT></DIV>
<DIV><FONT color=#000000></FONT> </DIV>
<DIV><FONT color=#000000>Thanks a lot!</FONT></DIV>
<DIV><FONT color=#000000></FONT> </DIV>
<DIV><FONT color=#000000>Gitanshu Buch</FONT></DIV>
<DIV><FONT color=#000000><A
href="mailto:OnWingsofEagles@xxxxxxxxxxxxx";>OnWingsofEagles@xxxxxxxxxxxxx</A></FONT></DIV>
<DIV><FONT color=#000000></FONT> </DIV></BLOCKQUOTE></BODY></HTML>
</x-html>From ???@??? Tue Dec 23 09:26:38 1997
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Date: Tue, 23 Dec 1997 11:17:02 -0600
To: "Gitanshu Buch" <onwingsofeagles@xxxxxxxxxxxxx>,
"Metastock List" <metastock-list@xxxxxxxxxxxxx>
From: Lionel Issen <lissen@xxxxxxxxxx>
Subject: Re: GEN: Help with Modified VIX
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<x-rich>I went to the Equis web site, I could not find any indicator with the
name VIX. What is the full name of this indicator, and what do the lettes
VIX mean.
Lionel
At 10:14 AM 12/23/97 -0500, Gitanshu Buch wrote:
>>>>
<excerpt>Hello,
I'm trying to understand how to interpret Modified VIX numerically, since
I don't have access to the TASC April 1995 article. The formula I have
from the Metastock website is as follows:
(((P - Mov(P,15,E))/Mov(P,15,E))*(100*33*2))*(Sqrt(252)/Sqrt(15)/C)
This implies the foll:
1. Difference between today's VIX indicator value and 15 period
exponential moving average of VIX is divided by the 15 period EMA of the
VIX.
2. The quotient is multiplied by 100 (probably a percentage function),
then by 33 (what would this be? and by 2 (again, what would this be?)
3. Sqrt 252 and Sqrt 15 are calculations for deviations around mean
values of VIX and the 15 period EMA; these are divided by today's closing
value of OEX.
2 is multiplied by 3.
I would appreciate if someone could help out here, either email a
clarification or fax the article @ 212-594-1913.
Thanks a lot!
Gitanshu Buch
<<mailto:OnWingsofEagles@xxxxxxxxxxxxx>OnWingsofEagles@xxxxxxxxxxxxx
</excerpt><<<<<<<<
</x-rich>
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