Bullish Percent and VXN type indicators Message Board

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Strategies & Market Trends : Bullish Percent and VXN type indicators

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To: OX who wrote (22)	5/9/2002 7:14:40 PM
From: Steve Lee	Read Replies (2) of 119

Working on it now. It's based on Black-Scholes but instead of inputting the volatility and obtaining the price, you do it the other way round. Other variables are 10 yr bond rate and time to expiry (as a percentage of a year). That just gives you the implied volatility of one option. I intend to do it for eight SOX options. 1 May put with strike immediately above current price 1 May put with strike immediately below current price 1 May call with strike immediately above current price 1 May call with strike immediately below current price 1 June put with strike immediately above current price 1 June put with strike immediately below current price 1 June call with strike immediately above current price 1 June call with strike immediately below current price Then take the average of those eight. VIX and VXN takes a moving average with the aim of simulating an option whose strike is the exact level of the index with exactly 30 days till expiry. I will not try to make it that complex to begin with. Regarding VXN and QQV. They are not comparable. QQV is not implied vol based on QQQ options. It is actual volatility based on historical prices. Please correct me if I am wrong.

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