USed the DMI Oscillator created by LARK "https://www.tradingview.com/v/T79b6F5n/" to create this DMI Stochastic Extreme. You can also use the DMI Stochastic by Lark
Updated Version -
This indicator used to calculate the statistical volatility, sometime
called historical volatility, based on the Extreme Value Method.
Please use this link to get more information about Volatility.