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Groups: Registered Users, Subscribers, Unverified Users
Joined: 10/11/2015(UTC)
Posts: 3
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Hi there
I would like to create an indicator which displayed the current value of the Volatilty Risk Premium of the SP500.
It is defined as the 5day average of [VIX index- (10 day historical volatility of SPY)].
Any help would be greatly appreciated.
PS: I have the formula for the 10 day historical volatility of a stock as:
Std(Log(C/Ref(C,-1)),10)*Sqrt(365)*100
(but Im not sure if it should be the number of trading days in a year rather than 365?)
Many Thanks
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