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I wanted to come up with a way to measure the probability of the whether
the Vix will rise or fall over a certain time frame. This is one idea I
came up with. I measured the 1day, 2 day, 3 day, 4 day, ect, (up to 10
days) changes in the close to close of the Vix. I did this for a 64
trading day time frame. I calculated the percentage of up / down days to
the related time frames. For example, there were six 10 day time periods
in the 64 days of data. Based on this result I wanted to calculate the
probability of these changes and forecast the probability for time frames
up to 15 days forward. While todays action in the markets make this study
obvious, I find it useful. I also apply this to the Oex to estimate time
frames for holding calls or puts. This needs to be updated daily to
monitor any significant change in predictions.
Ron McEwan
Attachment Converted: "f:\eudora\attach\vix down.gif"
Attachment Converted: "f:\eudora\attach\vix up.gif"
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