SPX Calculator Sample

Find Historical SPX moves during similar volatility as determined by VIX.  You can see how the SPX has moved in a variety of ways:  

 

- in relation to a specific day of the week.  For example, if doing weekly options expiring on Friday and you open a position the proceeding Monday, you can see how the SPX has moved historically during that time period.

​

- Any # of days.  For example, if you want to see how the SPX has moved over any 45 day period.  

​

- New High.  See how the SPX has historically moved any number of days after setting a new high (disabled in sample calculator). 

​

Change the fields in BLUE below.  Be sure to enter the Current VIX and Current SPX.  

- "PIvot Day" is the day the # of Days Before / After is caclulated from.  It can be Monday, Tuesday, etc. or "Any".  

- "# Days Before/After" is the time period from the Pivot Day you want to compare.  

EXAMPLE:  If Pivot Day is Friday and "-2" is # of Days,  historical moves for Wed - Fri would be returned.  If Pivot Day if Friday and "+2" is # of Days, historical moves for Fri - Tue would be returned.

- "VIX at Opening below" will limit the historical data to only those time periods when VIX was below the value you enter.

- The Success Rate % will highlight the # of rows in the table that reflect the success rate chosen.  This is based on the # of periods in the extracted data.  It will also use this to suggest a short strike for Vertical Spreads based on the success rate % you choose.