VIX √12 = SPX anticipated 30 day move %

CBOE:VIX/3.464101615141M

VIX/3.46410161514CBOE

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⋅ 2018年2月20日午後8時7分

This is a commonly used calculation that many traders use, I believe it's also part of the CMT.

⋅ 2018年2月20日午後8時13分

Currently, according to the calculation we should expect a 5.8% move withing the next 30 days.

Shiloh777

⋅ 2018年2月21日午前8時43分

Thanks for the post. Is it the same equation for VXX?

UnknownUnicorn2421992

⋅ 2018年2月21日午前8時57分

@Shiloh777, This equation wont work to calculate the the monthly volatility because VXX is priced differently to the VIX. This is because the price of the VIX is actually the implied annualised monthly volatility of the SPX. VXX is not, it's just the futures.

Shiloh777

⋅ 2018年2月21日午前10時17分

@Wacc, Thanks much.

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VIX √12 = SPX anticipated 30 day move %

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