Volatility Rainbow [Nic]

25 thg 11, 2020

What is this
The volatility rainbow tracks divergences in a security and its volatility index. This can be used to identify periods of heightened implied (future) risk.

About Volatility
The volatility is calculated by looking at put / call ratios. When VIX goes up it means that puts are outpacing calls. This is a bearish signal.

About Correlation
When the security goes up while the VIX goes up, the divergence on the plot will increase and turn a color. This should be a warning.

Colors

RED - DIA
BLUE - SPX
GREEN - IWM
GOLD - GLD
YELLOW - QQQ
ORANGE - TLT
White- VVIX

Related

30 thg 1, 2021

Phát hành các Ghi chú

Added background colors

25 thg 3, 2021

Phát hành các Ghi chú

Code cleanup