William VIX FIX Indicator – Amibroker AFL Code

We know that VIX most of the time reflects the investor/traders sentiment. When VIX is higher it means lot of fear in the market and lower VIX indicates lack of fear in the market. The problem is the sentiment can be measured only Indices like Nifty as the Volatility Index VIX is derived from implied volatility of Options. In such a vase VIX FIX comes handy to replicate the VIX behaviour in other instruments like Commodities, Forex, Stocks.

Synthetic VIX or William VIX FIX Formula

WVF = (Higher high value (Close,22) – Low)/(Higher high value (Close,22))*100

The value 22 is choosen denotes 22 trading session in a month. And one can use VIX FIX

Amibroker AFL code

Know more about William VIXFix indicator here

Nifty Futures with VIX FIX indicator

Reliance Power Futures Shows Overheated Volatility and the VIX started colling off

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