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sl-wk

The dispersion of volatility indices

sl-wk  
Volatility VIX CBOE Volatility Index VVIX VXN VXD dispersion IVOL
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volatility vix vvix vxn vxd dispersion ivol
The script is my implementation of "Forecasting a Volatility Tsunami" by Andrew Thrasher (Thrasher Analytics). You can find the paper here: www.researchgate.net...a_Volatility_Tsunami
I've changed a bit the approach - instead of two volatility indices (VIX & VVIX), I used two more: VXN and VXD. Additionally, I average the percentiles, but there is an option to swtich it to the original approach.
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