I came across this article discussing how the VIX Flip Indicator tracks the fear of investors. It seems to be an interesting tool, which I would like to investigate. The calculation of this indicator is not communicated in the article. Can you refer me toward its calculation? No good results from Google.
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1$\begingroup$ Thank you for your contribution. I am asking for the VIX Flip calculation, which is different from the index VIX. I can get the historical VIX values from yahoo or google, and don't need to calculate it. However, VIX Flip data is not available online. $\endgroup$– QFiMar 5, 2019 at 3:13
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1$\begingroup$ They are calling it VIX Flip, however it has the same behavior as the VIX but not the same values though. I plotted the VIX and the SMA 26, and it gives me the information that I was looking for. The values don't mind me here. The website helped me to learn something new though haha. Thank you $\endgroup$– QFiMar 5, 2019 at 5:00
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2$\begingroup$ Never heard of this and as long as it is unclear how it is calculated it is next to worthless. This site tries to sell you some stuff, it seems like some "if you buy my stuff, I'll make you rich"... red flags all over... $\endgroup$– vonjdMar 5, 2019 at 9:03
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4 Answers
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This indicator seems to be similar to William's Vix Fix which is also known as Synthetic Vix.
On plotting the values of Vix Fix, the monthly chart of the S&P 500 looks similar to the chart given in the link shared by you.
Formula: VIX Fix = (Highest (Close,22) – Low) / (Highest (Close,22)) * 100
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$\begingroup$ The WVF is actually a great indicator as you initially calculate it based on the SPX, to see how good it replicates the VIX. But then, its biggest advantage, I see here, is that you can use to measure the investors sentiment on individual stock. Good point! $\endgroup$– QFiMar 13, 2019 at 15:40
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It seems that you can only get access to it through paying the people that came up with it.
I, for one, am not buying it and not linking to them either. I recommend you do the same.
answered Mar 6, 2019 at 18:17
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I read an article on this that came out in 2018. The author of the article claimed to create the VIX flip indicator and gave the formula in the article.
See following excerpt:
...The calculation is simple. It compares the latest low to recent closing prices:
- Find the highest closing price in the last month. Let’s call that value X.
- Subtract the value of today’s low from X. Let’s call that difference Y.
- Divide Y by X. We can call that Z.
- Multiply Z by 100 to make it a percentage.
FIXING THE PROBLEMS WITH VIX There are two parts to the VIX Flip, each addressing a different problem with VIX. In the chart above, the indicator is the solid blue line. You can calculate this line for any stock, ETF or anything that’s traded. That fixes the problem that VIX applies solely to the S&P 500. The dashed line in the chart is a moving average (MA) of the indicator. By adding an MA to the indicator, we can spot when emotions change. When the indicator moves above its MA, fear is rising. That’s time to sell. If fear is falling, the indicator drops below the MA. That’s a buy signal. Flips in the indicator provide the trading signals. The MA corrects for the problem that there is no way to know when VIX is showing extremes in fear.
Link: https://banyanhill.com/vix-flip-indicator-predicted-2018-market-decline/
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Acknowledging that this is a resolved post and aged, I just wanted to flag the correctness of the formula provided here. After taking a course with Michael Carr he specifically covered the VIX flip as a trading strategy. The formula outlined by a previous poster (Williams VIX fix) is the exact formula Michael provides.
(Highest (Close, 22) - Low) / (Highest (Close, 22)) * 100
Highest (Close, 22) = highest close in last 22 periods Low = current low
