A Better Volatility Indicator than the VIX

The VIX is okay for longer term analysis but it doesn't always tell you how much much the market is moving during the day.

On January 24, we only saw a VIX reading of 36 but nearly a record number of turning points approaching pandemic levels when the VIX was in the 80's.

The Zig Zag indicator normalized for move of 1/3% of the previous day's closing value divided by the VIX gives us a good picture of historical volatility levels in the markets intra-day.