SPY Expected Move by VIX

This indicator shows 1 and 2 standard deviation price move from the VWAP based on VIX . Implied Volatility (IV) is being used extensively in the Option world to project the Expected Move for the underlying instrument. VIX is used as a proxy for SPY's IV for 30 days.

This indicator is meaningful only for SPY but can be used in any other instrument which has a strong correlation to SPY .
Phát hành các Ghi chú: Added AAPL, AMZN, GOOG & IBM to use the corresponding VIX.

Added Ability to disable the bands if the VIX is not available.

Minot UI changes.
Phát hành các Ghi chú: Using VIX instead of VIX9D as Tradingview's VIX9D data is delayed
Phát hành các Ghi chú: Simple color tone change.
Phát hành các Ghi chú: Requested by @Jansuperv to have VXX instead of VIX. Now you can configure that from the input panel.
Phát hành các Ghi chú: Added alert on price crossing 3 SD as requested by @acogwell11
Phát hành các Ghi chú: Added weekly option for VWAP as requested by @MacPeroni
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Bình luận

500 xu
Phản hồi
MarketXOR PineCoders
@PineCoders, thanks!
Phản hồi
This publication will be featured in our "Best Scripts of The Month" selection. Thank you for your valuable contribution to the TradingView community, and congrats!
+9 Phản hồi
MarketXOR PineCoders
@PineCoders, That's very nice to know that you thought this will be helpful for the TV users. TV is amazing. Thanks for your attention!
+6 Phản hồi
Probably the best indicator on here IMHO for my needs. I have years did the Connor's IV calculations discussed on TradingMarkets and I find this to match the important numbers. Combine it with OGC Don't fiddle in the middle but have the bars all show and some things become apparent. Not just for reversals but long trending breakouts above the Keltner Bands or confluence with the SD bands. I mainly focus on the 2 and 3 SD when daily vix is above 22 and daily ATR is large. Also for instance if YM is strongest market I will wait for the 3 SD and etc.. for all the markets. There is a Breadth Ratio on here that helps if that is 5 or above and stays that way and daily high or low is put in fist 5 to 10 minutes of the market don't kill your account by shorting.......If it is below and market opens somewhat in balance than I will focus more on the 1 sd ETC..
+5 Phản hồi
@maj, thanks for the feedback. Sounds interesting. I will give it a try when I get a chance.
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