VOLQ Sigma Table

2022년 11월 2일

This indicator replaces the implied volatility of VOLQ with the daily volatility and reflects that value into the price on the NDX chart to create the VOLQ standard deviation table.

It will only be useful for stocks related to the Nasdaq Index.
For example, NDX, QQQ or so.

And we want to predict the range of weekly fluctuations by plotting those values ​​as a line in the future.

It is expressed as High 2σ by adding the standard deviation 2 sigma value of the VOLQ value from last week's closing price.
It is expressed as High 1σ by adding the standard deviation 1 sigma value of the VOLQ value from last week's closing price.
It is expressed as Low 1σ by subtracting the standard deviation 1 sigma value of the VOLQ value from the closing price of the previous week.
It is expressed as Low 2σ by subtracting the standard deviation 2 sigma value of the VOLQ value from last week's closing price.

1day predicts daily fluctuations.
2day predicts 2-day fluctuations.
3day predicts 3-day fluctuations.
4day predicts 4-day fluctuations.
5day predicts 5-day fluctuations.

In the settings you can select the start date to display the VOLQ line via input.

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What motivated me to create this indicator?

From my point of view, the reason for classifying vix volq historical volatility (realized volatility) is that the most important point is that VIXX and VolQ are calculated from implied volatility. It can be standardized as one-month volatility. There are many strike prices, but exchanges use the implied volatility of options traded on their own exchanges.

Because historical volatility depends on how the period is set, to compare with VIXX, we compare it with a month, that is, 20 business days. One-month implied volatility means (actually different depending on the strike price), because option traders expect that the one-month volatility will be this much, and it is the volatility created by volatility trading.

So we see it as the volatility expected by derivatives traders, especially volatility traders.

I'm trying to infer what the market thinks will fluctuate this much from the numbers generated there.

2022년 11월 23일

릴리즈 노트

- Automatically calculates the last Friday and automatically reflects the close price and starting point of the line display
- Removed some unnecessary items from input items (line color, text size...)
- Added a gray dotted line for last week's close price in the expected VOLQ line