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Agreed, about the best that can be done is a forecast of price range. For
example 699 was "a" forecast low of a range for today and the OEX low so far
has been 698.77. And the doc is correct, its a secret.
BobR
----- Original Message -----
From: "The Doctor" <droex@xxxxxxxxxxxx>
To: <realtraders@xxxxxxxxxxx>
Sent: Monday, November 13, 2000 10:07 AM
Subject: Re: [RT] can I calculate the SP based on the VIX value ?
> 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:
> > realtraders-unsubscribe@xxxxxxxxxxx
>
>
>
> To unsubscribe from this group, send an email to:
> realtraders-unsubscribe@xxxxxxxxxxx
>
>
>
>
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