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VIX Flip and Williams VIX Fix Calculation and Signal Interpretation

Article Quant Q&A · Author: QFi
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Summary

The document explains that the VIX Flip indicator can be approximated with Williams VIX Fix, a synthetic volatility measure calculated from the highest close over a recent window and the current period's low. The reported formula expresses the gap between those prices as a percentage of the highest close; the answers specify a 22-period lookback. This allows the indicator to be applied to individual traded securities rather than only the S&P 500 index used by the VIX.

One cited description adds a moving average to the indicator and interprets crossings as changes in fear: a move above the average is presented as rising fear and a possible sell signal, while a move below is a possible buy signal. These interpretations are claims from the cited article, not performance evidence. The discussion gives no systematic test, parameter validation, or risk controls, and it notes that a branded version may require payment. Treat the formula and signal rules as an indicator proposal requiring independent evaluation.

Key ideas

  • Williams VIX Fix estimates a volatility-like measure from the recent highest close and the current low.
  • The discussed calculation uses a 22-period highest-close lookback and scales the gap as a percentage.
  • The measure can be calculated for individual traded assets, unlike the index-focused VIX.
  • A moving-average crossover is presented as a way to interpret rising or falling fear.
  • The document supplies no backtest evidence that these crossover signals are profitable.

Tags

Technical indicatorsVolatilitySentimentBacktesting
Full text
# The VIX Flip Indicator


# The VIX Flip Indicator












I came across this article discussing how the VIX Flip Indicator tracks the fear of investors. It seems to be an interesting tool, which I would like to investigate. The calculation of this indicator is not communicated in the article. Can you refer me toward its calculation? No good results from Google.

## Answer by Garima gulati (score 2, accepted)

https://quant.stackexchange.com/a/44531

This indicator seems to be similar to William's Vix Fix which is also known as Synthetic Vix.

On plotting the values of Vix Fix, the monthly chart of the S&P 500 looks similar to the chart given in the link shared by you.

Formula: VIX Fix = (Highest (Close,22) – Low) / (Highest (Close,22)) * 100

## Answer by Bob Jansen (score 1)

https://quant.stackexchange.com/a/44456

It seems that you can only get access to it through paying the people that came up with it.

I, for one, am not buying it and not linking to them either. I recommend you do the same.

## Answer by suntansue (score 1)

https://quant.stackexchange.com/a/64113

I read an article on this that came out in 2018. The author of the article claimed to create the VIX flip indicator and gave the formula in the article.

See following excerpt:

> ...The calculation is simple. It compares the latest low to recent closing prices: Find the highest closing price in the last month. Let’s call that value X. Subtract the value of today’s low from X. Let’s call that difference Y. Divide Y by X. We can call that Z. Multiply Z by 100 to make it a percentage. FIXING THE PROBLEMS WITH VIX There are two parts to the VIX Flip, each addressing a different problem with VIX. In the chart above, the indicator is the solid blue line. You can calculate this line for any stock, ETF or anything that’s traded. That fixes the problem that VIX applies solely to the S&P 500. The dashed line in the chart is a moving average (MA) of the indicator. By adding an MA to the indicator, we can spot when emotions change. When the indicator moves above its MA, fear is rising. That’s time to sell. If fear is falling, the indicator drops below the MA. That’s a buy signal. Flips in the indicator provide the trading signals. The MA corrects for the problem that there is no way to know when VIX is showing extremes in fear.

Link: https://banyanhill.com/vix-flip-indicator-predicted-2018-market-decline/

## Answer by d3lerium (score 0)

https://quant.stackexchange.com/a/73648

Acknowledging that this is a resolved post and aged, I just wanted to flag the correctness of the formula provided here. After taking a course with Michael Carr he specifically covered the VIX flip as a trading strategy. The formula outlined by a previous poster (Williams VIX fix) is the exact formula Michael provides.

> (Highest (Close, 22) - Low) / (Highest (Close, 22)) * 100 Highest (Close, 22) = highest close in last 22 periods Low = current low

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.