Pseudo VIX -Intraday -.beta

iPath Series B S&P 500 VIX Short-Term Futures ETNArca

Deskripsi

⋅ 23 Jan 2016 pukul 09.35

For Educational Purpose -

Intraday VIX estimation using yesterdays VIX, previous overnight roll , and intraday values for the VXX etf (scaled up to VIX)

Works in all intraday time frames.
First attempt...feedback welcome.

VIX CBOE Volatility Index intraday

Komentar

KeyTrade

⋅ 23 Jan 2016 pukul 22.07

What's the output for next week?

Lebih lanjut