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Yes...But it won't be easy. Assume VIX is the ACTUAL implied volatility for
a base S and P number and option strike. Implied vol forcasts a specific
price distribution. A different series of VIX numbers or a forecast VIX
would imply different distributions. Your mean of the distribution would
become your S & P forecast, There is a prof. at the Univ. of Washington
named Bollerslev who did a whole study on using vol. to forecast vol.
Having said that if you could do it successfully ... DON'T LET ANYONE
KNOW ... as it would be worth billions.
Todd Horton wrote:
> Is there any way to calculate an upcoming SP index or futures price
> based on a future VIX.x value ?
>
>
> To unsubscribe from this group, send an email to:
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