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Technical Studies Reference


Synthetic VIX

This study calculates and displays a Synthetic VIX (Volatility Index) of the Price data.

Let \(L\) and \(C\) be random variables denoting the Low and Closing Prices, respectively, and let their respective values at Index \(t\) be \(L_t\) and \(C_t\). Let the Length Input be denoted as \(n\). We denote the Highest Close over a sliding window of Length \(n\) at Index \(t\) as \(\max_t(C,n)\), and we compute it for \(t \geq 0\) as follows.

\(\max_t(C,n) =\left\{ \begin{matrix} \max\{C_0,...,C_t\} & t < n - 1 \\ \max\{C_{t - n + 1},...,C_t\} & t \geq n - 1 \end{matrix}\right .\)

We denote the Synthetic VIX at Index \(t\) for the given Input as \(SynthVIX_t(n)\), and we compute it for \(t \geq 0\) as follows.

\(SynthVIX_t(n) = \displaystyle{100 \cdot \frac{\max_t(C,n) - L_t}{\max_t(C,n)}}\)

Inputs

Spreadsheet

The spreadsheet below contains the formulas for this study in Spreadsheet format. Save this Spreadsheet to the Data Files Folder.

Open it through File >> Open Spreadsheet.

Synthetic_VIX.186.scss


*Last modified Wednesday, 03rd January, 2018.