Relationship Between VIX and Weekly Standard Deviation of Dow 30

By Hui Zhong

Denote Vix = V, Price of Dow 30 = P, Weekly Standard Deviation of Dow 30 = D

Then D/P x 1.1 x (52)1/2 =(2)1/2 V/100 where 1.1 = $VIX / $VXD

So: D = 0.00197 PV/1.1 = 0.00179PV

When P ~ 12000

We have D = 21.5V ~ 22V

If V = 16, D ~ 350; V ~ 20, D = 430; V ~ 25, D = 540; V = 30, D ~ 650; V = 40, D ~ 860;

   V = 50, D ~ 1100; V = 80, D ~ 1750

When P ~ 9000, V ~ 80, D ~ 1300

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