For Educational Purpose -
Intraday VIX estimation using yesterdays VIX, previous overnight roll , and intraday values for the VXX etf (scaled up to VIX)
Works in all intraday time frames.
First attempt...feedback welcome.
Intraday VIX estimation using yesterdays VIX, previous overnight roll , and intraday values for the VXX etf (scaled up to VIX)
Works in all intraday time frames.
First attempt...feedback welcome.
//@version=2
study("Pseudo VIX 0.beta")
// by gb50k
//find current ratio of vxx to vix
vix4=security("VIX" ,"D" , close)
vxx4=security("Vxx" ,"D" , close)
//smooth
m0= ema(sma(vxx4/vix4,3),2)
m=m0
v1=security("cboe:vi1!" ,"D" , ohlc4)
v2=security("cboe:vi2!" ,"D" , ohlc4)
roll0=ema(sma(v1/v2-1,3),2)/30
roll=roll0
vixo=((1+roll)*security("vxx" ,period , open))/m
vixh=((1+roll)*security("vxx" ,period , high))/m
vixl=((1+roll)*security("vxx", period , low))/m
vixc=((1+roll)*security("vxx", period , close))/m
plotcandle(vixo, vixh, vixl, vixc, title='ceand', color = vixo < vixc ? green : red, wickcolor=black)