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 MarketTrak Question/Comment Message

Posted By: Chris   Date: Fri Oct 10, 2008

Title: Volatility Index

  Hi Rich,
  Is the Volatility Index used in the networks?
  As I understand, it is as at record high levels.

  The Volatility Index is not in the database, but the actual volatility is computed from the SP500 average. These two are not quite the same but they are close enough. Strangely, the volatility is used by less than one percent of the networks. This is probably because volatility is not a good predictor of the 15-day forward slope. I do have nets that predict a 10-day slope and these only use the volatility about one percent of the time.

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