The VDAX (also known as the VDAX-NEW and V1X) is the volatility index that displays the implied volatility (i.e. the expected range) of the DAX stock index for the next thirty days. As such, the VDAX is used by DAX traders to determine the expected daily range of the DAX stock index and futures market.
Calculation
The calculation that is used to determine the daily DAX range is as follows. The information that is required for the calculation is the VDAX value (VDAX) and the DAX closing price from the previous day (DAXCLOSE).
- Daily Range as a Percentage (DR%) = VDAX / 20
- Daily Range in DAX Points (DRPoints) = (DAXCLOSE / 100) * DR%
- Expected DAX High = DAXCLOSE + DRPOINTS
- Expected DAX Low = DAXCLOSE - DRPOINTS
For example, assuming a VDAX value of 30, and a DAX closing price of 4000, the calculation would be as follows:
- Daily Range as a Percentage (DR%) = 30 / 20 = 1.5%
- Daily Range in DAX Points (DRPoints) = (4000 / 100) * 1.5 = 60 Points
- Expected DAX High = 4000 + 60 = 4060
- Expected DAX Low = 4000 - 60 = 3940
Further Information
Additional information regarding the VDAX volatility index, such as the markets that are used in its calculation, is available in the VDAX glossary entry.
