Synthetic VX3! & VX4! continuous /VX futures

TradingView is missing continuous 3rd and 4th month VIX (/VX) futures, so I decided to try to make a synthetic one that emulates what continuous maturity futures would look like. This is useful for backtesting/historical purposes as it enables traders to see how their further out VX contracts would've performed vs the front month contract.

The indicator pulls actual realtime data (if you subscribe to the CBOE data package) or 15 minute delayed data for the VIX spot (the actual non-tradeable VIX index), the continuous front month (VX1!), and the continuous second month (VX2!) continually rolled contracts. Then the indicator's script applies a formula to fairly closely estimate how 3rd and 4th month continuous contracts would've moved.

It uses an exponential mean‑reversion to a long‑run level formula using:

σ(T) = θ+(σ0−θ)e−kT

You can expect it to be off by ~5% or so (in times of backwardation it might be less accurate).