True Range/Expected Move

2023년 8월 7일

This indicator plots the ratio of True Range/Expected Move of SPX. True Range is simple the high-low range of any period. Expected move is the amount that SPX is predicted to increase or decrease from its current price based on the current level of implied volatility. There are several choices of volatility indexes to choose from. The shift in color from red to green is set by default to 1 but can be adjusted in the settings.

Red bars indicate the true range was below the expected move and green bars indicate it was above. Because markets tend to overprice volatility it is expected that there would be more red bars than green. If you sell SPX or SPY option premium red days tend to be successful while green days tend to get stopped out. On a 1D chart it is interesting to look at the clusters of bar colors.

2023년 8월 11일

릴리즈 노트

Fixed the auto-range issue.

2023년 8월 25일

릴리즈 노트

Added VIX1D to the list of volatility indexes.