US 2 year and US 10 year comparison, inverted yield curve with VIX. I use this on a weekly chart with 2 moving averages, the 40 week (ma200 daily) and the 520 week (10 year median).
The bottom histogram is the VIX and the plot is the yield curve. When the VIX is above a certain level (you can set it in settings) and the ýield curve is close to or at inversion the...
This indicator serves to measure the volatility of the price in relation to the average.
It serves four purposes:
1. Identify abnormal prices, extremely stretched in relation to an average;
2. Identify acceptable prices in the context of the main trend;
3. Identify market crashes;
4. Identify divergences.
The LS Volatility Index ...
Yet another sweet little tool that highlights only specific days and time.
For example, you can highlight only Tuesday's and Friday's from 0930-1600
You can adjust to any day of the week and any time of the day.
You can request more improvements upon this version. Cheers!
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IV is implied volatility
HV is historic realized volatility
Seneca teaches that we often suffer more in our minds than in reality, and the same is true with the stock market. This indicator can help identify when people are over paying for implied volatility relative to real volatility . This means that short sellers are over paying for puts and can be squeezed...
A significant intraday reversion (commonly used: 3 points) on a high (over 20 points) S&P 500 Volatility Index (VIX) can be a sign of a market bottom, because there is the assumption that some of the "big guys" liquidated their options / insurances because the worst is over.
This indicator shows these reversions (3 points as default) when the VIX was...
The indicator presented here is made based on the study published on NSE:INDIAVIX . Basically it shows 2 sigma (by default) trading ranges of the next day (by default) of indices e.g. NSE:NIFTY & NSE:BANKNIFTY . Everyday three new lines get plotted automatically on the chart of the instrument (preferably NSE:NIFTY & NSE:BANKNIFTY ) you want to trade. Generally...
While coding some filters into another indicator for Long/Short I noticed that ta.nearest.percentile might be the most useful tool in pinescript I've ever encountered.
While percentile_nearest can be used for all kind of things I decided to code moving averages from it and made bands for bottom percentage and top percentage.
The indicator will calculate the top %...
1. Find bar with the smallest narrow range for a chosen period. Use hvol for filter.
2. Place stop-order for long position at previous high and stop-order for short at previous low to catch breakout in any direction.
3. Take profit on the next bar.
Realized / Historical Volatility
Calculates historical, i.e. realized volatility of any underlying. If frequency is not the daily, but for example 6h, 30min, weeks or months, it scales the initial setting to be suitable for the different time frame.
Examples with default settings (30 day volatility, 365 days per year):
A) Frequency = Daily:
Returns 30 day...
This script calculates and displays some bar statistics.
For the bar length statistics, it takes every length of upper or lower movements and calculates their average (with SD), median, and max. That way, you can see whether there is a bias in the market or not.
Eg.: If for 10 bars, the market moved 2 up, then 1 down, then 3 up, then 2 down, and 2 up, the...
If you are an option trader, who are constantly searching opportunities to set up inverse iron condor position or other strategies, you must be familiar in estimating the range induced by Geometric Brownian Motion (GBM), or Lognormal distribution someone may call.
The theory behind is adopted in the Black Scholes Option Pricing model, this assumes the asset price...
With the usage of ATR, applied on the close of the daily candle, I am calculated the volatility channels for the TOP and BOTTOM
Based on this logic, we can estimate, with a huge confidence factor, where the prices are going to be compressed for the trading day.
Having said that, lets take a look at the data gathered among the most important financial...
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I have no financial affiliation…They provide incredible statistical facts on
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The S&P 500 has gone 43 trading days without a 1% daily move, up or down.
which is the equivalent of two...
Volatility is the most common measure of risk.
Volatility in this sense can either be historical volatility (one observed from past data), or it could implied volatility (observed from market prices of financial instruments.)
The main objective of EWMA is to estimate the next-day (or period) volatility of a time series and closely track the volatility as it...
This indicator (V-R-P) calculates the (one month) Volatility Risk Premium for S&P500 and Nasdaq-100.
V-R-P is the premium hedgers pay for over Realized Volatility for S&P500 and Nasdaq-100 index options.
The premium stems from hedgers paying to insure their portfolios, and manifests itself in the differential between the price at which options are sold...