VocsOng Intraday Support Resistance

24 sty 2022

Overview

This indicator is meant for intraday trading, mainly designed for SPX. The main purpose of this indicator is to mark out the key levels of support and resistance for intraday.

There are 9 main support and resistance that forms this intraday support resistance indicator.

1. Today's Open

Today's open is often a neglected area because by default change percentage is always based on yesterday close. So having a line drawn for today's open is the very starting point.

2. Yesterday Close
3. Yesterday High
4. Yesterday Low

Yesterday Close, High, Low are important intraday trading areas, it is very common that price action resist at this area.

5. Past 4 Days Calculated Estimated High (YesterdayClose + (EstimatedRange/2) :: EstimatedRange = Nearest day x0.4, followed by 0.3, 0.2, 0.1)
6. Past 4 Days Calculated Estimated Low (YesterdayClose - (EstimatedRange/2) :: EstimatedRange = Nearest day x0.4, followed by 0.3, 0.2, 0.1)

This is a calculated estimated high/low range based on past 4 days range. Weighing the nearest day heaviest of 40%, followed by 30%, 20%, 10%.
This calculated high/low area apparently also act as good support and resistance area sometimes.

7. Expected Move High (YesterdayClose + VIX/100 * SquareRoot(1/365))
8. Expected Move Low (YesterdayClose - VIX/100 * SquareRoot(1/365))

This is the formula used to calculate expected move LIVE based on current VIX. This is based from today's open.

9. 1.5% to 2% from SPX Open today

This marks out a zone where SPX is 1.5% to 2% away from today's open. This gives a general guide on a fix percentage change based on today's open.
Statistically, SPX close within 1.5% change from today's open 93.18% of the time in the past 10 years.

How I use them?

First to note, this indicator works best on 1 minute chart. Other timeframe might not be that accurate.
All these are intraday support and resistance. They can be simply use as support and resistance by default.
In addition to that, 7,8,9 are also used as overbought/oversold indicator because they are centered to today's open.
As SPX move towards 7,8,9, it shows how overbought or oversold it is.

I use this indicator with SPX 0 dte options trading.
So as SPX approaches the oversold area, and near any of the support, I will sell a 30 wide put credit spread at 5 delta away or $1 target credit.
This trade entry goes together with a bracket take profit (80%) and stop loss (200%) OCO order.

24 sty 2022

Informacje o Wersji

Update chart.

24 sty 2022

Informacje o Wersji

Update Chart.

28 sty 2022

Informacje o Wersji

Added 1% above/below SPX orange line.
This line acts as the first trigger area to enter a trade to sell credit spread that is even further away.
E.g. If it's already 1% away, sell at 2% away strike. That gives u a 3% away strike from open, which is about more than 97% chance of the time SPX won't close so far out.

29 sty 2022

Informacje o Wersji

Removed red line SPX calculated expected move as it doesn't really contribute much.

Changed 1% SPX change to blue to differentiate from SPX Change Percentile enhancement.

Enhanced the SPX change % to SPX Change 80-90 Percentile range.
This SPX Change is calculated based on 10 years historical SPX and VIX data.
And it's different for above SPX open and below SPX open.
In layman, it means at today's VIX open value, 80 to 90 percent of the time SPX will close between the SPX Open and orange shade.

Example of use:
If you sell SPX option at a PUT strike below the further orange line from SPX open, it means statistically SPX will close between SPX Open and orange line 90% of the time.
The further orange line from SPX Open is 90%
The nearer orange line from SPX Open is 80%
Same applies for CALL side.

4 lut 2022

Informacje o Wersji

Changed the blue line to be dynamic portion of historical SPX 80-90 percentile
Added flag label as trigger point for Put/Call credit spread entry suggestion (Trial)
e.g. When you see a P label, it suggest a good timing to enter a put credit spread.

8 lut 2022

Informacje o Wersji

Enhanced the blue line to be dynamic according to time and VIX.
Blue line is meant to act as a guiding line for entry, so I design it to simulate options time decay and added in VIX change throughout the day.
Usage example is, when SPX moves near/beyond the blue line. It acts as one of the indicator for entry.
e.g. if SPX moves up and touches the blue line, with other indicators supporting, is a potential entry for selling bear call spread.

8 lut 2022

Informacje o Wersji

Removed Yellow Line which is my own calculated formula, doesn't really have enough data to support this.
Some slight tweaks to further refine the orange zone and blue line.

10 lut 2022

Informacje o Wersji

Fix the RSI length in cross over condition
Fix VIX ticker to use CBOE:VIX instead of VIX

11 lut 2022

Informacje o Wersji

Increase the max labels to 500 (from default 50)
Fix the timing filter of the labels
Added blue fill zone for better visual

11 lut 2022

Informacje o Wersji

Further enhance the granularity of the blue line with regards to VIX