This thread got me to wondering whether you can use VVIX and VIX to project future ranges -- something I came across online indicates that it is possible. I tried and came up with the following for the upcoming 30 days, but need someone who actually does this to look over the math.
Using yesterday’s (1/11) closing numbers:
VVIX: 75.54
VIX: 12.44
SPX: 4780.23
XSP: 478.02
I believe both VVIX and VIX are annualized 30-day numbers, with VVIX being the “VIX” for VIX.
If you de-annualize VVIX to the upcoming 30 day period (75.54 / √12), you get 21.81 as a +/- percent range for VIX.
That would seem to indicate that, over the next 30 days, VIX is expected to range between 9.73 (12.44 * (1 – (21.81 / 100))) and 15.15 (12.44 * (1 + (21.81 / 100))).
I think those projected range numbers are also annualized, but not certain. If so, we probably need to de-annualize the VIX range numbers, as well, which gives us 2.81 (9.73 / √12) and 4.37 (15.15 / √12) as a percent range for SPX/XSP.
So over the upcoming 30 days, SPX is expected to range between 4646 (4780 * (1 – (2.81 / 100))) and 4989 (4780 * (1 + (4.37 / 100))) and XSP is expected to range between 464 and 499.
Anyone know whether that is correct? If not correct, how would you go about working it out?
Using yesterday’s (1/11) closing numbers:
VVIX: 75.54
VIX: 12.44
SPX: 4780.23
XSP: 478.02
I believe both VVIX and VIX are annualized 30-day numbers, with VVIX being the “VIX” for VIX.
If you de-annualize VVIX to the upcoming 30 day period (75.54 / √12), you get 21.81 as a +/- percent range for VIX.
That would seem to indicate that, over the next 30 days, VIX is expected to range between 9.73 (12.44 * (1 – (21.81 / 100))) and 15.15 (12.44 * (1 + (21.81 / 100))).
I think those projected range numbers are also annualized, but not certain. If so, we probably need to de-annualize the VIX range numbers, as well, which gives us 2.81 (9.73 / √12) and 4.37 (15.15 / √12) as a percent range for SPX/XSP.
So over the upcoming 30 days, SPX is expected to range between 4646 (4780 * (1 – (2.81 / 100))) and 4989 (4780 * (1 + (4.37 / 100))) and XSP is expected to range between 464 and 499.
Anyone know whether that is correct? If not correct, how would you go about working it out?
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