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Getting back to an earlier statement of yours, Dr., about the VIX being
markt volatility and equating its level to point changes in the DJIA, would
you clarify this just a little more? Since the VIX is derived from OEX
options, is it coshure to apply the same volatility to the DJIA? Or did
you do a calculation on the OEX and the equate that to point changes in the
DJIA? Out of curiosity an almost identical standard deviation plot results
when using the OEX & VIX or the DJIA & VIX. Both are tagging the +1 std
dev bands as of 11/14. Both gave sell alerts by over extension a few days
before the debacle this October. More importantly, is there a DJIA VIX
being considered?
BobR
At 09:03 AM 11/17/97 -0600, THE DOCTOR wrote:
>I think you are correct...it would be of little value. A system that
>could identify a vol hi could be of some value...a system identifing a
>vol low would be worth a fortune.
>
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