Pseudo VIX -Intraday -.beta

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

Descrição

⋅ 23 de Jan de 2016 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

Comentários

KeyTrade

⋅ 23 de Jan de 2016 22:07

What's the output for next week?

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