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Volatility - Williams Vix Fix Index
Nick Tzakis
posted

Using the volatility of the markets, always comes handy especially in extreme conditions. I'm having some thoughts to try and quantify the VIX index, interpret it in "pips" and give a statistical read of the VIX, like the Fibonacci levels, although it is pretty challenging.
Ever since the "actual" VIX is for the US indices only, I will use the WVF index, that has a pretty much linear relation with the VIX.
Any ideas are most welcome!

(Is it just my idea, or the best strategy is to use only the variables "Time-Price-Volume" which -in math terms- are the only primary variables to have?....To be discussed!)

2 responses
Alisa Deychman

While you're thinking about your volatility strategy, take a look at these threads, they might give you some ideas:

https://www.quantopian.com/posts/how-can-i-get-the-values-of-vix-and-vxv-in-an-algo
https://www.quantopian.com/posts/trading-on-the-rsi-of-the-vix-and-spy

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Nick Tzakis

Thanks Alisa! Very helpful indeed!

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.