Pseudo VIX -Intraday -.beta

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

Description

⋅ Jan 23, 2016 9:35 AM

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

Comments

KeyTrade

⋅ Jan 23, 2016 10:07 PM

What's the output for next week?