This indicator plots the "expected move" of SPX for today's trading session. Expected move is the amount that SPX is predicted to increase or decrease from its current price, based on the current level of implied volatility. The implied volatility in this indicator is computed from the current value of the VIX (or one of several volatility symbols available on Trading view). The computation is done using standard formula. The resulting plots are labeled as 1 and 2 standard deviations. The default values are to use VIX as well as 252 trading days in the years. Use the square root of (days to expiration, or in this case a fraction of the day remaining) divided but the square root of (252, or number of trading days in a year). timeRemaining = math.sqrt(DTE) / math.sqrt(252) Standard deviation move = SPX bar closing price * (VIX/100) * timeRemaining
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This indicator plots the "expected move" of SPX for today's trading session. Expected move is the amount that SPX is predicted to increase or decrease from its current price, based on the current level of implied volatility . The implied volatility in this indicator is computed from the current value of the VIX (or one of several volatility symbols available on Trading view). The computation is done using standard formula. The resulting plots are labeled as 1 and 2 standard deviations. The default values are to use VOLI and 365 days in the year. Use the square root of (days to expiration, or in this case a fraction of the day remaining) divided but the square root of (252, or number of trading days in a year). timeRemaining = math.sqrt( DTE ) / math.sqrt(252) Standard deviation move = SPX bar closing price * ( VIX /100) * time remaining
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Added VIX1D to the list of volatility indexes.
Informacje o Wersji
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This indicator plots the "expected move" of SPX for today's trading session. Expected move is the amount that SPX is predicted to increase or decrease from its current price, based on the current level of implied volatility. The implied volatility in this indicator is computed from the current value of the VIX (or one of several volatility symbols available on Trading view). The computation is done using standard formula. The resulting plots are labeled as 1 and 1/2 standard deviations. The default values are to use VIX as well as 252 trading days in the years. Use the square root of (days to expiration, or in this case a fraction of the day remaining) divided but the square root of (252, or number of trading days in a year). timeRemaining = math.sqrt(DTE) / math.sqrt(252) Standard deviation move = SPX bar closing price * (VIX/100) * timeRemaining
Informacje o Wersji
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This indicator plots the "expected move" of SPX for today's trading session. Expected move is the amount that SPX is predicted to increase or decrease from its current price, based on the current level of implied volatility. The implied volatility in this indicator is computed from the current value of the VIX (or one of several volatility symbols available on Trading view). The computation is done using standard formula. The resulting plots are labeled as 1 and 1/2 standard deviations. The default values are to use VIX as well as 252 trading days in the years. Use the square root of (days to expiration, or in this case a fraction of the day remaining) divided but the square root of (252, or number of trading days in a year). timeRemaining = math.sqrt(DTE) / math.sqrt(252) Standard deviation move = SPX bar closing price * (VIX/100) * timeRemaining
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Added a plot of the day's True Range vs Expected Move at the start of the day. When the true range is below the expected move the plot displays red below the previous day's close dotted line. When the true range exceeds the expected move it displays green above the previous day's close dotted line.
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Added the ability to mark with vertical lines up to 5 times during the trading day.
Is this indicator no longer working? All I see is a blue line when I put it on my chart at 1 min.
robertsullivan1956
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@FREESTOCKPICK, It is working for me every day. I use the default settings.
jmartinez38kpg
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Thanks for the indicator, can you explain me how to sue it correctly?, Does it telling me that the price of SPX in the day will not get to the green part or the red part? Sorry for my English
ltambasco
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what is the indicator in the lower section with your MACD?
Hey Robert, could you help me understand something about VIX1D? If I want to know the expected move or 1std for SPX the next day. Should I be using VIX1D of the previous close? Thanks! New to all of this.
robertsullivan1956
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@warrior5715, Hi. A list of volatility indexes is provided just for variety. If you want to compare results use 0dtespx.com which does it the right way by summing the premiums of the closest to at-the-money SPX 0-DTE calls and puts. This indicator attempts to comes as close as possible to that result but it depends on which volatility index you choose on any particular day as well as the number of days to use. I usually use the VIX9D with 365 days.
warrior5715
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@robertsullivan1956, thanks for the response. I'll checkout 0dtespx.com. Btw for 1 std how did you get the formula for 0DTE?
spx_close * vix /200 * sqrt(1/252)? I understand it is basically the standard formula from tasty but I haven't seen the /200 before and it works really well. I was trying to calculate historical 0dte spx moves without using options and this formula that u are using seems to work great. Could you explain it? thanks!
robertsullivan1956
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@warrior5715, Actually the formula is spx_close * vix /100 * sqrt(1/252). The 252 represents the number of trading days in a year. You could use 265 if you like. I got the formula from a presentation given by Jim Bittman. financeoholic.com/side-income/the-bittman-algorithm/
warrior5715
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@robertsullivan1956, why do u divide by 100 and then by 2 later on for 1 std. That's where I got the /200 from for 1 std. sd1Above = close + (sd/2) I read the link but didn't see the explanation for this part. Thanks in advance Robert.