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Didn't the OEX Doctor say VIX was based on a constant 30 day maturity?
Does this mean in your answer below that you are subtracting 8 days for
weekends and two days for holidays for an average of 20?
BobR
At 07:11 PM 10/15/97 EDT, Ronald McEwan wrote:
>Don T. wrote:
>
>I know that VIX/SqRt(312) gives me the expected percent range for the
>day.
>
>How would I figure that into on an hourly basis?
>
>---------------------------------------------------------------------------
---------------------------------
>Don, Go back to Sheldon Natenberg's book and read chapter 4 "Volatility".
>Look at the section on "Volatility as Standard Deviation" (there will be
>a test later).
>The expected range is based on 256 actual trading days in a year.
>(subtract weekends and holidays). The VIX is calculated for 20 days. You
>divide 20 into 256 to get 12.8. Your formula now should be VIX/SqRt(12.8)
>for a daily range of one Std Dev.. Or for an hourly figure its 256
>divided by 6.5 * 20. Hourly range = IX/SqRt(1.969). This formula will
>give you a very good range breakout system.
>
>Ron McEwan
>
>p.s. if you ever get someone to figure out how to code normdist into TD
>let me know. I still have not been able to figure this one out.
>
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