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In a pinch you can substitute Statistical High Low Volatility. You will
not get the implied readings that the VIX gives you. And This
calculation does not correlate highly with the VIx (about .44 for the
series displayed). But it will give you a good sense of the direction of
Volatility if this is all you need. And it can be applied to any index
that is not as generous as the CBOE in providing an equivalent Volatility
Index. It lets you get an approximation of what the rocket scientists at
Merrill are trying to figure out with the NDX. But they probably monitor
this list anyway to figure out what is going on.
The formula in excel is (this should be easy enough to translate to
Metastock or TS)
=(0.627*SQRT(365.25)*LN(Todays High/Todays Low))
Average this by 20 periods (or whatever you want)
Ron McEwan
Attachment Converted: "f:\eudora\attach\Vix StatVol.gif"
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