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Modified VIX Indicator
MetaStock Indicator
The interpretation for the Modified Volatility Index was taken
from the article Modifying The Volatility Index, by S. Jack
Karczewski, in the April 1995 issue of TASC. The Volatility Index (VIX)
is the implied volatility of a group of Standard & Poors 100 index
options. It is updated by the CBOE.
This formula assumes you can get the VIX information downloaded from
some data vendor, such as Dial Data, Telescan, or DBC Signal.
The custom formula you should create is the Modified VIX:
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| ( ( ( P - Mov( P ,15 ,E ) )
/ Mov( P ,15 ,E ) ) * ( 100 * 33 * 2 ) ) * ( Sqrt( 252 ) /
Sqrt( 15 ) / C ) |
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The steps to get the actual charts are:
- Open the chart of the OEX
- Open the chart of the VIX
- Drag the plot of the OEX into the chart of the VIX
- Plot the formula for the Modified VIX directly on top of the
OEX plot
You now have a plot of the Modified VIX.
**For interpretation of the Modified VIX refer to Mr. Karczewski's
article.
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