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One of the problems I needed to overcome in working on my new "MIDI"
(McEwan Index Distribution Index) was to come up with an alternative to
the "VIX" CBOE Volatility Index. In order to use the original "AMOSS" on
more than just the OEX, a volatility component was an essential data
input. I was able to come up with a workable formula for calculating
volatility on an underlying asset. I have christened this the "MIX"
(McEwan Volatility Index). I have just finished analyzing a relationship
between my calculation of the "MIX" and the actual "VIX". The figures
below represent a preliminary study of this relationship. These results
do not represent an in depth study, but they do look promising.
10/1/97 0.07 buy
10/2/97 0.17
10/3/97 0.25
10/6/97 0.29
10/7/97 0.11
10/8/97 -0.25 sell
10/9/97 0.13 buy
10/10/97 -0.19 sell
10/13/97 -0.08
10/14/97 0.31 buy
10/15/97 -0.21 sell
10/16/97 -0.24
10/17/97 0.13 buy
10/20/97 0.08
10/21/97 0.19
10/22/97 -0.11 sell
10/23/97 -0.13
10/24/97 0.45 buy
10/27/97 -0.30 sell
10/28/97 -0.34
10/29/97 0.08 buy
10/30/97 0.14
10/31/97 0.03
11/3/97 0.59
11/4/97 -0.13 sell
Good Luck
Ron McEwan
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