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Since a 2% climb in the VIX would yeild a 1% drop in the SPY this would mean:
100 * (27.63-25.00) /25.0 = 10.5 %
so, (100 - 10.5/2) * 110.10 = 104.31 SPY
That's quite a drop.
Klatuu
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Projecting SPY from VIX
VXX 15 min
Posted by klatuu on 14th of Jul 2010 at 10:55 am
Since a 2% climb in the VIX would yeild a 1% drop in the SPY this would mean:
100 * (27.63-25.00) /25.0 = 10.5 %
so, (100 - 10.5/2) * 110.10 = 104.31 SPY
That's quite a drop.
Klatuu