Combo Z ScoreObjective:
Can we use both VIX and MOVE relationships to indicate movement in the SPY? VIX (forward contract on SPY options) correlations are quite common as forward indicators however MOVE (forward contract on bonds) also provides a slightly different level of insight
Using the Z-Score of VIX vs VVIX and MOVE vs inverted VIX (there is no M of Move so we use inverted Vix as a proxy) we get some helpful indications of potential future moves. Added %B to give us some exposure to momentum. Toggle VIX or MOVE.
If anyone has a better idea of inverted Vix to proxy forward interest in MOVE let me know.
VIX CBOE Volatility Index
VIX: Backwardation Vs ContangoVIX: Backwardation Vs Contango
Quickly visualize Contango vs Backwardation in the S&P 500 Volatility Index by plotting the prices of the futures contracts over the next 9 months
Note: indicator does not map to time axis in the same way as price; it simply plots the progression of contract months out into the future; left to right; so timeframe DOESN'T MATTER for this plot
TO UPDATE(every few months recommended): in REQUEST CONTRACTS section, delete old contracts (top) and add new ones (bottom). Then in PLOTTING section, Delete old contract labels (bottom); add new contract labels (top); adjust the X in 'bar_index-(X+_historical)' numbers accordingly
This is one of several similar indicators: Meats | Metals | Grains | VIX
Tips:
-Right click and reset chart if you can't see the plot; or if you have trouble with the scaling.
-Right click and pin to Scale A to plot on the same scale as price
--Added historical input: input days back in time; to see the historical shape of the Futures curve via selecting 'days back' snapshot
updated 15th June 2022
© twingall
(JS) Checklist SignalsWhat if I told you that you could use over 10 indicators at once without having a single one of them on you chart? Enter the Checklist Signals. This is probably the most complex yet simple indicator I've ever done.
What you get is 6 rows (if you want them all) of labels that hover at the top of your screen with a ton of extremely useful information. I will go down the list of options in the indicator settings and explain how it all works.
So the label placement is based on ATR. You choose your X Axis and Y Axis starting point then adjust the lookback period. Default lookback is 600 bars. What that means is, the indicator finds the highest high in the last 600 bars, then begins to place the labels above that zone based on the ATR of the chart. Different timeframes require very different combinations so it's all customizable. Sometimes if labels overlap you need to adjust the X Axis starting point, or the spread on either axis.
The next set of options allows you to decide what you'd prefer to be set on or off. Let's start with ATR and VWAP. I have added bands for both of these. When price is below the mean (which is the 21 ema by default), then the labels show you the next 5 standard deviations of ATR going down. When under one of these levels the label turns red. The opposite is true when above the mean and in those instances the labels will be green. It is the same with the VWAP, though instead of using the mean we use the daily VWAP as the starting point. If you choose to have levels switched on then you can see the actual values of each standard deviation level. Down lower in the options you can change the resolution and source used for VWAP.
The next option is "Trending". This creates a moving average using the length of the Trending Lookback Period (default is 5) and then tells you using arrows in the label which direction the trend of the indicator is going.
The next area let's you specify the information you receive in the Squeeze labels. By default all options are one - and this tells you if there's a Squeeze, what type of Squeeze there is, and how many bars the Squeeze has been building up or since it fired. These labels are color coded to correspond with the Squeeze type as well.
Then we get to another one of my indicators, the Ballista. One of the main signals is the "Inverted Squeeze" where the short term momentum inverts against the long term momentum. Here I have the distance between the two oscillators in the first label, and then the second label tells you if there's an Inverted Squeeze signal, if there's potential entry, confirmed entry, or how many bars its been since the last entry signal.
The next feature is off by default, but it will add arrows to your chart based on a simple lower highs and higher lows signals. Turning arrows on will place them right on your chart above or below each bar.
The rest of it is customizable settings of all the other indicators that are shown. Now looking at the labels themselves, starting in the top left corner:
First Row-
ADX + DMI: These labels show the ADX, DI+, & DI- values in each label. Whenever the DI+ or DI- is above the other then their respective label will light up. Also, when the ADX is above 20 (confirming the trend) it lights up in the same color as well.
Squeeze: I described how this worked above, the labels tell you if there's a Squeeze, how long there's been one, and how long since it fired, all while also changing to color of the associated Squeeze type.
Second Row -
Stacked EMAs: The top label looks at the EMA values using the numbers of the Fibonacci sequence. It looks at the EMA 8, 21, 34, 55, 89, & 233 and tells you if they're all stacked in the same direction (Stacked Bear meaning they're all crossed down in order, Stacked Bull meaning they're all crossed up in order). If the EMAs are all stacked but 1 or 2 it will say Stacked -1 or Stacked -2. When they're all over the place it will say they aren't stacked at all.
BB%: This tells you the value of the Bollinger Band %. If this is negative then you know that price is currently below the lower Bollinger Band, and if it is above 100% it is above the upper Bollinger Band.
RSI: This tells you the value of the RSI and the label changes colors based on the value.
Stoch: This tells you the Stochastic value and changes colors based on the value, same as the RSI.
Third Row -
The Mean: This tells you the numerical value of whatever you have the mean set as (21 ema by default). The label changes colors based on price being above or below the mean.
One ATR: This was something I added for those looking to plan their trades out. This tells you the value of one ATR so you can have a better idea of how to plan your trades based on this distance.
VIX: This tells you the current value of the VIX, and color changes based on being green or red on the day.
Ballista: I explained this above, it tells you the distance between the two oscillators and changes colors based on the trend being above or below 0. When there's an Inverted Squeeze this label is gray.
Inverted Squeeze: This label tells you if there's an inverted squeeze as well as if it is showing an entry or how many bars since the last entry signal. This label turns fuchsia on a bear signal and lime on a bull signal.
Fourth Row -
ATR Bands: As I explained above, this plots each standard deviation using ATR and changes colors based on price's relationship to each one.
Fifth Row -
VWAP: The three labels here show the daily, weekly, and monthly VWAP values, and color changes based on price's relationship to each one.
Sixth Row -
VWAP Bands: These are the standard deviation levels of the VWAP resolution of your choosing (as explained above), and just as the others, colors change based on price's relationship to each one.
I thought this was a really cool indicator that could be used for people like me who like knowing the right information, but HATE having their charts clustered with a ton of stuff. Hope you all like it, enjoy!
Index Reversal Range with Volatility Index or VIXWhat is the Indicator?
• The indicator is a visualization of maximum price in which the respective index can go up to in comparison with it's Volatility Index or VIX.
Who to use?
• Intraday
• Swing
• Position
• Long term Investors
• Futures
• Options
• Portfolio Managers
• Mutual Fund Managers
• Index Traders
• Volatility based Traders
• Long term Investors and Options Traders gets the maximum benefit
What timeframe to use?
• 1 Year: Position & Investors
• 6 Months: Position & Investors
• 3 Months: Swing & Position
• 1 Month: Swing & Position
• 1 Week: Swing
• 1 Day: Swing
• 1 Hour: Intraday & Swing
What are Upper and Lower lines?
• Upper Line: If the index price reach closer to the Upper line there is a high chance of reversal to Bearish trend.
• Lower Line: If the index price reach closer to the Lower line there is a high chance of reversal to Bullish trend.
• This need to be confirmed with multiple levels like Daily, Weekly, Monthly etc.
How to use?
• If the price reach closer to that level there is a high chance of reversal from the current trend.
• To identify the reversal zone of the index.
• To identify the trend.
• Option Traders can Sell a Call or Put Option from that level.
• Long term Investors, Position or Swing traders can plan for a Long entry.
• Intraday traders can use lower timeframes to do the same.
Indicator Menu
• Input VIX: Identify the VIX Symbol of your Index and type it in the box.
• For example for NIFTY Index chart type INDIAVIX in the box.
• Choose multiple timeframes according to your convenience.
How to turn on indicator Name and Value labels?
• Right side of the screen >
• Right click on the Price scale >
• Labels > Indicators and financial name labels, Indicators and financial value labels
Further Reading:
• Various videos and reading materials are available about this method.
HLC True Strength Indicator (with Vix)HLC True Strength Indicator Volume Weighted with Vix Line by SpreadEagle71
This indicator is a True Strength Indicator with Close, High and Low used together, along with the TSI of the Vix.
The white line is the close. The red line is the lows and the blue is the highs. These are also volume-weighted.
How to Interpret:
1. zero line crosses. If SPY/SPX500 crosses the zero line, then its bullish. If the purple Vix line crosses up, watch out because this is bearish.
2. white/blue/red lines cross purple (Vix). If they cross upwards, this is bullish. If downward, this is bearish. Basically, SPX, ES1!, SPY or even DIA can be used. The security and the Vix should travel in opposite directions and cross the zero-line at the same time. But this is not always the case.
3. Black area infills. These are used between the close and the highs (blue) and the lows(red). Close should not be between these in order to have momentum.
4. Close (white line) leads. Close is the last price so it tends to show where the others (highs and lows) are going. If the close is sagging below a high where the blue lines are on top, this could mean that there is a reversal coming. Same holds true for a white line above a "valley" formed by the blue and red lines; it could mean a reversal to the upside soon.
5. The Black Infill areas as a squeeze or contraction/expansion area. The thinner the black infill areas, the more of a momentum "squeeze" could be present. Wide black infill areas mean increased volatility and what may come next is a reversion to the mean for volatility. See TTM Squeeze Indicator or the Squeeze Momentum Indicator (kudos LazyBear).
Lastly, just remember indicators indicate; they are not magic. :)
SpreadEagle71
VIX Volatility Trend Analysis With Signals - Stocks OnlyVIX VOLATILITY TREND ANALYSIS CLOUD WITH BULLISH & BEARISH SIGNALS - STOCKS ONLY
This indicator is a visual aid that shows you the bullish or bearish trend of VIX market volatility so you can see the VIX trend without switching charts. When volatility goes up, most stocks go down and vice versa. When the cloud turns green, it is a bullish sign. When the cloud turns red, it is a bearish sign.
This indicator is meant for stocks with a lot of price action and volatility, so for best results, use it on charts that move similar to the S&P 500 or other similar charts.
This indicator uses real time data from the stock market overall, so it should only be used on stocks and will only give a few signals during after hours. It does work ok for crypto, but will not give signals when the US stock market is closed.
**HOW TO USE**
When the VIX Volatility Index trend changes direction, it will give a green or red line on the chart depending on which way the VIX is now trending. The cloud will also change color depending on which way the VIX is trending. Use this to determine overall market volatility and place trades in the direction that the indicator is showing. Do not use this by itself as sometimes markets won’t react perfectly to the overall market volatility. It should only be used as a secondary confirmation in your trading/trend analysis.
For more signals with earlier entries, go into settings and reduce the number. 10-100 is best for scalping. For less signals with later entries, change the number to a higher value. Use 100-500 for swing trades. Can go higher for long swing trades. Our favorite settings are 20, 60, 100, 500 and 1000.
***MARKETS***
This indicator should only be used on the US stock markets as signals are given based on the VIX volatility index which measures volatility of the US Stock Markets.
***TIMEFRAMES***
This indicator works on all time frames, but after hours will not change much at all due to the markets being closed.
**INVERSE CHARTS**
If you are using this on an inverse ETF and the signals are showing backwards, please comment with what chart it is and I will configure the indicator to give the correct signals. I have included over 50 inverse ETFs into the code to show the correct signals on inverse charts, but I'm sure there are some that I have missed so feel free to let me know and I will update the script with the requested tickers.
***TIPS***
Try using numerous indicators of ours on your chart so you can instantly see the bullish or bearish trend of multiple indicators in real time without having to analyze the data. Some of our favorites are our Auto Fibonacci, Directional Movement Index, Volume Profile with buy & sell pressure, Auto Support And Resistance, Vix Scalper and Money Flow Index in combination with this Vix Trend Analysis. They all have real time Bullish and Bearish labels as well so you can immediately understand each indicator's trend.
Session LevelsThis indicator plots important session (intraday) levels for the day. It plots high and low of previous day, week, month, 52 week and all time. Also plots the vix range which shows the daily expected trading range of the instrument. These levels acts as important support/resistance for the day.
For example, if price closes above previous day, week, or month high/low it indicates bullish sentiment and vice versa for bearish.
Vix Range plots top, center, bottom line for expected trading range for the day. It is calculated based on the volatility index selected (NSE:India VIX is used by default).
Artharjan INDIA VIX v/s Nifty Volatility DashboardHi,
I have created Artharjan INDIA VIX v/s Nifty Volatility Dashboard to forecast the Annual, Quarterly, Monthly, Weekly, Daily and Hourly Volatility of NIFTY Benchmark Index based on current value of INDIA VIX. This will help Index Options Sellers to decide the range of Nifty for the given period based on current level of volatility indicated by INDIA VIX.
Options Sellers may make use of the Min Range and Max Range values for the Strike Price Selection.
Regards
Rahul Desai
@Artharjan
TICK strategy for SPY optionsImportant notes:
1. This strategy is designed for same day SPY option scalping. All profit shown in back testing report is based on Profit/Loss (P/L) estimates from trading options with approximately 6 months of data. By default, it is set to 10 option contracts. By default the initial capital is set to $5000. Pyramiding is set to 3.
2. This strategy works better with non-extended market data.
3. This strategy is mainly developed for SPY trading on 5 min chart, it probably will not be very profitable with other tickers or time frame without tweaking all the parameters first.
4. This strategy will work with QQQ as well, but please adjust the profit multiplier to match the P/L of QQQ options.
How it works:
When trading the indices, many rely on the TICK for market directions. This strategy is a trend following strategy that uses a combination of conditions using the following indicators:
- TICK
- RSI
- VIX volatility index
- EMA
For entries, the conditions are:
1. TICK moving average crossover with a delayed signal line
2. Bullish or bearish RSI signal, RSI > 50 for bullish, < 50 for bearish
3. VIX must be above a certain threshold to take advantage of high market volatility
4. Price must be on top of EMA line for long, and below for short
For exits, there are 3 scenarios:
1. Stop loss set by a percentage of the daily ATR value
2. Trend changes on the TICK and the RSI
3. Bearish or bullish divergence on price with TICK
This strategy automatically signal to close all trades at 3:50 pm EST at the end of the day.
Extras:
- There is an option to show P/L for reinvesting profits
Enjoy~!!! Let's all make $$$
VIX Reversal Scalper by Trend Friend - Stocks OnlyVIX REVERSAL SCALPER BY TREND FRIEND - STOCKS ONLY
This indicator is built for scalping, but can be used for swing trades by adjusting the signal settings to a higher number.
This indicator is meant for stocks with a lot of price action and volatility, so for best results, use it on charts that move similar to the S&P 500 or other similar charts.
This indicator uses real time data from the stock market overall, so it should only be used on stocks and will only give a few signals during after hours. It does work ok for crypto, but will not give signals when the US stock market is closed.
**HOW TO USE**
When the VIX Volatility Index trend changes direction, it will give a bull or bear signal on the chart depending on which way the VIX is now trending. Follow these when price is near support/resistance or fibonacci levels.
For more signals with earlier entries, go into settings and reduce the number. 10-100 is best for scalping. For less signals with later entries, change the number to a higher value. Use 100-500 for swing trades. Can go higher for long swing trades.
***MARKETS***
This indicator should only be used on the US stock markets as signals are given based on the VIX volatility index which measures volatility of the US Stock Markets.
***TIMEFRAMES***
This indicator works on all time frames.
**NOTE**
Repainting does happen but it is seldom. If I get enough requests to remove repainting I will, but since it is built for early entries, preventing it from repainting will make the signals show up later than normal.
Due to various factors, this indicator might not give exit signals every time it should, so be sure to watch the price action for entries/exits and don't rely solely on this indicator.
**INVERSE CHARTS**
If you are using this on an inverse ETF and the signals are showing backwards, please comment with what chart it is and I will configure the indicator to give the correct signals. I have included over 50 inverse ETFs into the code to show the correct signals on inverse charts, but I'm sure there are some that I have missed so feel free to let me know and I will update the script with the requested tickers.
***TIPS***
Try using numerous indicators of ours on your chart so you can instantly see the bullish or bearish trend of multiple indicators in real time without having to analyze the data. Some of our favorites are our Auto Fibonacci, Directional Movement Index, Volume Profile, Auto Support And Resistance and Money Flow Index in combination with this Vix Reversal Scalper. They all have real time Bullish and Bearish labels as well so you can immediately understand each indicator's trend.
VIX Cheat SheetHello!
This indicator - "VIX Cheat Sheet" - performs several calculations for $VIX against the asset on your chart. However, using $VIX as a risk proxy or volatility metric often fails beyond large-cap U.S equities. To remedy this, the VixFix indicator is included in the script; you can select whether the script performs calculations for an asset against $VIX or against VixFix (i.e. Forex, Crypto)
Measured are: $VIX correlation to an asset's price fluctuations, the average close-to-close gain/loss subsequent a $VIX/VixFix close above the upper Bollinger Band, the average 5-session gain/loss following the same occurrence in addition to the average 10-session gain/loss, all close-to-close, 5 session, and 10-session gains/losses are stored as tooltips for labels on the chart. The current close-to-close percentage gain/loss for $VIX and VixFix are displayed on the chart.
Displayed in the example image is a box incorporating $VIX price data alongside an upper Bollinger Band and lower Bollinger Band. The data isn't cast to its own price scale but is helpful for quick interpretation of $VIX fluctuations. You can select to plot VixFix data in the box in the user inputs table.
Displayed in the second example image is a semi-transparent blue box encompassing all price moves that occurred when $VIX measured above $40 for at least ten consecutive sessions. The largest percentage close-to-close loss is displayed below the box.
Also illustrated is a red label that appears when $VIX or VixFix closes above the upper Bollinger Band. The indicator will calculate and display the performance of the asset for the subsequent 10 sessions, to which the red label will disappear and all data stored as a tooltip in the blue labels stating "VIX Closed Above Upper Band" or "VixFix Closed Above Upper Band".
To reduce chart clutter, a label and line combination marking all $VIX closes above the upper Bollinger Band was not included. Instead, bar color changes were added. When "$VIX" is selected in the user inputs table the indicator will mark all sessions in which $VIX closed above the upper band as blue, in addition to plotting $VIX price data in the dynamic black box. When "VixFix" is selected, the indicator will mark all sessions where VixFix closed above the upper band as purple; the VixFix indicator will be plotted in the black box.
Be sure to hover over labels to access tooltip information; try the indicator with bar replay!
VIX RangeThis indicator shows the daily expected trading range of the instrument.
An upper and lower line denotes the range. It is calulated based on the volatility index selected (NSE:India VIX is used by default). Also it shows developing upper and lower line for the next trading day.
Non-directional option strategies (like straddle, strangle) can be performed based on the expected trading range.
JPM VIX Signal - Non OverlayJPMorgan Chase & Co . strategists have identified what they say is a near bulletproof indicator to strengthen their argument that stock markets are poised to rally.
The buy signal is triggered when the Cboe Volatility Index ( VIX ) rises by more than 50% of its 1-month (30 day) moving average, which it last did on January 25th 2022, according to the strategists led by Mislav Matejka. The indicator has proven 100% accurate outside of recessions over the last three decades.
Instructions:
Symbol - SPY
Timeframe - Daily
Signal - Indicator exceeds horizontal line of 1.5
JPMorgan VIX Buy SignalJPMorgan Chase & Co. strategists have identified what they say is a near bulletproof indicator to strengthen their argument that stock markets are poised to rally.
The buy signal is triggered when the Cboe Volatility Index (VIX) rises by more than 50% of its 1-month (30 day) moving average, which it last did on January 25th 2022, according to the strategists led by Mislav Matejka. The indicator has proven 100% accurate outside of recessions over the last three decades.
Instructions:
Symbol - VIX
Timeframe - Daily
Red Triangle - Close / 30 Day SMA >= 1.5
TASC 2022.03 Relative Strength Volatility-Adjusted EMA█ OVERVIEW
TASC's March 2022 edition of Traders' Tips includes the "Relative Strength Moving Averages - Part 3: The Relative Strength Volatility-Adjusted Exponential Moving Average" article authored by Vitali Apirine. This is the code that implements the "RS VolatAdj EMA" from the article.
█ CONCEPTS
In a three-part article series, Vitaly Apirine examines ways to filter price movements and define turning points by applying the Relative Strength concept to exponential moving averages . The resulting indicator is more responsive and is intended to account for the relative strength of volatility .
█ CALCULATIONS
The calculation process uses the following steps:
Select an appropriate volatility index (in our case it is VIX ).
Calculate up day volatility (UV) smoothed by a 10-day EMA.
Calculate down day volatility (DV) smoothed by a 10-day EMA.
Take the absolute value of the difference between UV and DV and divide by the sum of UV and DV. This is the Volatility Strength we need.
Calculate a MLTP constant - the weighting multiplier for an exponential moving average.
Combine Volatility Strength and MLTP to create an exponential moving average on current price data.
Join TradingView!
MS VIX Bull ReversalThis script measures the rebound of the implied volatility of the S&P 500 index options from an excessive panic zone. The IV starts a reversion to the mean as soon as profit taking from the hedge begins. The assumption behind it: this rebound indicates at least the beginning of a countermovement, in uptrends the end of the correction and the trend continuation.
S&P500 VIX Volatility Warning IndicatorToday I am sharing with the community a volatility indicator that can help you or your algorithms avoid black swan events. Variance is most commonly used in statistics to derive standard deviation (with its square root). It does have another practical application, and that is to identify outliers in a sample of data. Variance in statistics is defined as the squared difference between a value and its mean. Calculating that squared difference means that the farther away the value is from the mean, the more the variance will grow (exponentially). This exponential difference makes outliers in the variance data more apparent.
Why does this matter?
There are assets or indices that exist in the stock market that might make us adjust our trading strategy if they are behaving in an unusual way. In some instances, we can use variance to identify that behavior and inform our strategy.
Is that really possible?
Let’s look at the relationship between VIX and the S&P500 as an example. If you trade an S&P500 index with a mean reversion strategy or algorithm, you know that they typically do best in times of volatility. These strategies essentially attempt to “call bottom” on a pullback. Their downside is that sometimes a pullback turns into a regime change, or a black swan event. The other downside is that there is no logical tight stop that actually increases their performance, so when they lose they tend to lose big.
So that begs the question, how might one quantitatively identify if this dip could turn into a regime change or black swan event?
The CBOE Volatility Index (VIX) uses options data to identify, on a large scale, what investors overall expect the market to do in the near future. The Volatility Index spikes in times of uncertainty and when investors expect the market to go down. However, during a black swan event, the VIX spikes a lot harder. We can use variance here to identify if a spike in the VIX exceeds our threshold for a normal market pullback, and potentially avoid entering trades for a period of time (I.e. maybe we don’t buy that dip).
Does this actually work?
In backtesting, this cut the drawdown of my index reversion strategies in half. It also cuts out some good trades (because high investor fear isn’t always indicative of a regime change or black swan event). But, I’ll happily lose out on some good trades in exchange for half the drawdown. Lets look at some examples of periods of time that trades could have been avoided using this strategy/indicator:
Example 1 – With the Volatility Warning Indicator, the mean reversion strategy could have avoided repeatedly buying this pullback that led to SPXL losing over 75% of its value:
Example 2 - June 2018 to June 2019 - With the Volatility Warning Indicator, the drawdown during this period reduces from 22% to 11%, and the overall returns increase from -8% to +3%
How do you use this indicator?
This indicator determines the variance of the VIX against a long term mean. If the variance of the VIX spikes over an input threshold, the indicator goes up. The indicator will remain up for a defined period of bars/time after the variance returns below the threshold. I have included default values I’ve found to be significant for a short-term mean-reversion strategy, but your inputs might depend on your risk tolerance and strategy time-horizon. The default values are for 1hr VIX data. It will pull in variance data for the VIX regardless of which chart the indicator is applied to.
Disclaimer : Open-source scripts I publish in the community are largely meant to spark ideas or be used as building blocks for part of a more robust trade management strategy. If you would like to implement a version of any script, I would recommend making significant additions/modifications to the strategy & risk management functions. If you don’t know how to program in Pine, then hire a Pine-coder. We can help!
vix_vx_regressionAn example of the linear regression library, showing the regression of VX futures on the VIX. The beta might help you weight VX futures when hedging SPX vega exposure. A VX future has point multiplier of 1000, whereas SPX options have a point multiplier of 100. Suppose the front month VX future has a beta of 0.6 and the front month SPX straddle has a vega of 8.5. Using these approximations, the VX future will underhedge the SPX straddle, since (0.6 * 1000) < (8.5 * 100). The position will have about 2.5 ($250) vega. Use the R^2 (coefficient of determination) to check how well the model fits the relationship between VX and VIX. The further from one this value, the less useful the model.
(Note that the mini, VXM futures also have a 100 point multiplier).
rv_iv_vrpThis script provides realized volatility (rv), implied volatility (iv), and volatility risk premium (vrp) information for each of CBOE's volatility indices. The individual outputs are:
- Blue/red line: the realized volatility. This is an annualized, 20-period moving average estimate of realized volatility--in other words, the variability in the instrument's actual returns. The line is blue when realized volatility is below implied volatility, red otherwise.
- Fuchsia line (opaque): the median of realized volatility. The median is based on all data between the "start" and "end" dates.
- Gray line (transparent): the implied volatility (iv). According to CBOE's volatility methodology, this is similar to a weighted average of out-of-the-money ivs for options with approximately 30 calendar days to expiration. Notice that we compare rv20 to iv30 because there are about twenty trading periods in thirty calendar days.
- Fuchsia line (transparent): the median of implied volatility.
- Lightly shaded gray background: the background between "start" and "end" is shaded a very light gray.
- Table: the table shows the current, percentile, and median values for iv, rv, and vrp. Percentile means the value is greater than "N" percent of all values for that measure.
-----
Volatility risk premium (vrp) is simply the difference between implied and realized volatility. Along with implied and realized volatility, traders interpret this measure in various ways. Some prefer to be buying options when there volatility, implied or realized, reaches absolute levels, or low risk premium, whereas others have the opposite opinion. However, all volatility traders like to look at these measures in relation to their past values, which this script assists with.
By the way, this script is similar to my "vol premia," which provides the vrp data for all of these instruments on one page. However, this script loads faster and lets you see historical data. I recommend viewing the indicator and the corresponding instrument at the same time, to see how volatility reacts to changes in the underlying price.
Option Expirations - Equities, Indexes, VIX OPEX VIXperationShows monthly and quarterly expirations for Equities, Indexes, & VIX. OPEX, VIXEX, Vixperation.
vol_premiaThis script shows the volatility risk premium for several instruments. The premium is simply "IV30 - RV20". Although Tradingview doesn't provide options prices, CBOE publishes 30-day implied volatilities for many instruments (most of which are VIX variations). CBOE calculates these in a standard way, weighting at- and out-of-the-money IVs for options that expire in 30 days, on average. For realized volatility, I used the standard deviation of log returns. Since there are twenty trading periods in 30 calendar days, IV30 can be compared to RV20. The "premium" is the difference, which reflects market participants' expectation for how much upcoming volatility will over- or under-shoot recent volatility.
The script loads pretty slow since there are lots of symbols, so feel free to delete the ones you don't care about. Hopefully the code is straightforward enough. I won't list the meaning of every symbols here, since I might change them later, but you can type them into tradingview for data, and read about their volatility index on CBOE's website. Some of the more well-known ones are:
ES: S&P futures, which I prefer to the SPX index). Its implied volatility is VIX.
USO: the oil ETF representing WTI future prices. Its IV is OVX.
GDX: the gold miner's ETF, which is usually more volatile than gold. Its IV is VXGDX.
FXI: a china ETF, whose volatility is VXFXI.
And so on. In addition to the premium, the "percentile" column shows where this premium ranks among the previous 252 trading days. 100 = the highest premium, 0 = the lowest premium.
BitMEX BTC Volatility IndexThis indicator displays the BitMEX BTC Volatility Index ( BVOL24H ) as an indicator and it can be compared to the VIX of the cryptocurrencies.
more information about how BVOL24H is calculated can be found here: www.bitmex.com
Symbol can be changed in the parameters
