Options Drive S&P Futures
Join me on Monday August 21 at 4 PM EDT
New BloodHound Template Tomorrow and New Information
New VIX Template
It is probably not a surprise to most of you that the VIX1D has not exactly been the game changer most had hoped. It frequently diverges from the other VIX symbols, and in my opinion the other VIX symbols have a higher correlation. While watching a podcast with an options firm, the guest mentioned a symbol that he watches during the day.
That symbol is the COR90D. I quickly looked it up and found it was available from Kinetick with the CBOE indexes packages most of you already have.
COR90D
Probably the reason nobody follows this symbol, is because almost nothing is written about it. What little is written is the following from the CBOE. COR90D is a Delta Skew Indices (tickers: COR10D, COR30D, COR3MD, COR70D, COR90D), which are calculated using three-month implied volatilities and signify market expectations of correlation during different delta shock scenarios. So rather than wasting more time trying to find something on Google, I added it to my VIX chart and liked what I saw.
The guest in the interview explained that this index is tied to puts, and that the 90D stands for the 90 DELTA (and not 90 day).
The new BloodHound template with instructions to setup the symbol in NinjaTrader will be published this week.
Also thi s week, I am having the new indicators compiled for distrubution. Those indicators will be the bar by bar display for the $VIX, $VIX9D, $COR90D, AND THE $VIX1D.
