OPEN-SOURCE SCRIPT

VIX Implied Moves

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Key Features:

Three Timeframe Bands:

  • Daily: Blue bands showing ±1σ expected move
  • Weekly: Green bands showing ±1σ expected move
  • 30-Day: Red bands showing ±1σ expected move


Calculation Methodology:
  • Uses VIX's annualized volatility converted to specific timeframes using square root of time rule
  • Trading day convention (252 days/year)
  • Band width = Price × (VIX/100) ÷ √(number of periods)


Visual Features:
  • Colored semi-transparent backgrounds between bands
  • Progressive line thickness (thinner for shorter timeframes)
  • Real-time updates as VIX and ES prices change

Example Calculation (VIX=20, ES=5000):

  • Daily move = 5000 × (20/100)/√252 ≈ ±63 points
  • Weekly move = 5000 × (20/100)/√50 ≈ ±141 points
  • Monthly move = 5000 × (20/100)/√21 ≈ ±218 points


This indicator helps visualize expected price ranges based on current volatility conditions, with wider bands indicating higher market uncertainty. The probabilistic ranges represent 68% confidence levels (1 standard deviation) derived from options pricing.

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