Question about VIX

Discussion in 'Trading' started by Sky123987, Mar 30, 2008.

  1. Hi,

    I understand that VIX ranges from say 14 to 30... however is there a function that you can use involving VIX to determine ATR (average true range).

    For example for the ATR of the average stock is x when the VIX is 20 what is the ATR in terms of x when the VIX is 25? 1.5x???

  2. nitro


    If there is such a relation, an easy way to discover it is to try regression with ATR the dependent variable and then take p-values.

    Do the work.

  3. ammo


    you could do an overlay of vix and your stock on same graph
  4. nitro


    That will not discover non-linear relationships.

  5. Your first statement is wrong, so therefore everything that you extrapolate based on that statement is going to be wrong also.
  6. While your statement may appear to be true if you'd started trading in 2007 ...
  7. ... the real truth is a completely different story.
  8. DennisR


    I concentrate on the vix more than anything. there is definitely no direct correlation between the vix and any one stock. Heck it went against the entire index the last few days.
    you may be more interested in your stocks option pricing vs. the vix. Or as mentioned overlay vix with stock you are interested in although i don't really see a usable mathematical correlation. Or at best use it in addition to more reliable technicals.

    if anything your original formula should use a multiplier lower than 1 when the vix rises since it usually does so when the market sells. (unless you're tracking an inverse fund or something)
  9. You are wasting your time. There is no value in what you seek.
  10. Actually there is value in what he seeks. But as nitro says, it will not come easy, and most definitely no one (at least no one here) will give it to him.

    Good trading.
    #10     Mar 30, 2008