How to Transform Volatility Index (VIX) Change into Monthly and Daily Volatility.

The Volatility Index (VIX) is measured in percentage points and is annualized.  The VIX is based on a new methodology which facilitates investors and traders with the weighted 30-day standard deviation of annual movement in the S&P 500. 

VIX Change	Expected Monthly Volatility	Expected Daily Volatility
10%	2.89%	0.63%
15%	4.33%	0.94%
20%	5.77%	1.26%
25%	7.22%	1.57%
30%	8.66%	1.89%
35%	10.10%	2.20%
40%	11.55%	2.52%
45%	12.99%	2.83%
50%	14.43%	3.15%
55%	15.88%	3.46%
60%	17.32%	3.78%
65%	18.76%	4.09%
70%	20.21%	4.41%
75%	21.65%	4.72%
80%	23.09%	5.04%
85%	24.54%	5.35%
90%	25.98%	5.67%
95%	27.42%	5.98%
100%	28.87%	6.30%

 Transform VIX Changes into monthly and daily expected volatility.

Source from http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:volatility_index

A reading of a certain percent (such as 30%) means there will be a 30% volatility in the market within the next 12 months. This annualized number can be transformed into a monthly number by dividing it by the square root of 12, and daily number by dividing it by the square root of 252, which is the total number of trading days in a year. The above table shows how to translate the VIX percentage into expected daily or monthly volatility.

Please note that the expected volatility refers to implied market fluctuation. It is not associated with return.  If the VIX changes in a positive way, the market is expected to increase volatility, and fluctuate more. Likewise, if the VIX is reduced, a less volatile and more stable market should be anticipated within the next 30 days.  One more thing, the 30 days are natural days instead of just trading days.

Thanks for your visiting and reading, if you want to know about Volatility Index, you can read more:

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http://top5indicators.blogspot.com/2013/09/how-volatility-index-vix-moves-with.html

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