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MetaStock
Indicator - Modified
VIX Indicator
rev. 01/06/97
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:
| (
( ( P - Mov( P ,15 ,E ) ) / Mov( P ,15
,E ) ) * ( 100 * 33 * 2 ) ) * ( Sqrt(
252 ) / Sqrt( 15 ) / C ) |
The steps to get the actual charts are:
For the
Windows versions of MetaStock:
1 - Open the chart
of the OEX
2 - Open the chart of the VIX.
3 - Drag the plot of the OEX into the chart of the
VIX.
4 - 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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