Looking to use VIX as a tool to better predict possible price swings in SPX. I found the “rule of 16” for VIX. But for the VIX9D and VIX1D, I either found nothing or the rule of 16 again. To me this doesn’t make sense because currently the 1, 9 and 30 day VIX are pretty far off from each other and we would get radically different range predictions.
So, would you still use the rule of 16 regardless of which VIX it’s applied to? Are the different answers they produce a consequence of simply having less data in the 1- and 9- day vs. regular VIX?
Also, can somebody confirm that the answer you get is equal to one standard deviation worth of anticipated range. I’ve only seen this mentioned in a few places, one of which said “about 1/3 chance outside this range” which I am interpreting as the roughly 32% chance outside of the 68% under a curve. If that’s the case, then VIX of 16 translates to 1% daily move, but you’ve got to expand to a 2% daily move to have 95% confidence level. Correct?