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Trading rules using the VIX Index

by The trader, 3759 days ago
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Implicit volatility is a measure of the expected volatility of a security.
Unlike the historical volatility that is directly calculated from previous bars (the standard deviation measure is generally used); the implicit volatility doesn't look into past bars and is calculated using the Black-Scholes option pricing model.

The VIX index is a measure of the implicit volatility of the S&P 500 index and is created and tracked by the Chicago Board Options Exchange or the CBOE.

The VIX is considered as a gauge of investor fear and market risk. It is often used in volatility trading. The higher the volatility the higher the market risk and the likelihood that the underlying security will experience big moves in either direction.

This list of trading rules contains rules that mention the VIX index in their formula.
These VIX trading rules includes:
VIX level comparing to its simple moving average
VIX above and below thresholds
VIX value above or below a level for a certain period (bars)

The number of rules including their iterations is 116. These trading rules could be used to design trading systems that trade the S&P500 index (Future, ETF...) or to create market timing indicators.

These rules use the 'Ticker' function, which role is to reference other security's symbols.
You need to create the '^VIX' symbol if you haven't yet, and you also need to download historical quotes for this VIX index. You can use Yahoo EOD historical quotes for that purpose.


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Type: List of Rules

Object ID: 125


Country:
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Market: Stock Market

Style:
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Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.