IV vs Realised Volatility (VIX/HV Comparator)

VIX / HV Comparator – Implied vs Realised Volatility

This indicator compares Implied Volatility (IV) from a volatility index (VIX, India VIX, etc.) with the Realised / Historical Volatility (HV) of the current chart symbol.
It helps you see whether options are pricing volatility as rich or cheap relative to what the underlying is actually doing.

What it does

1. Pulls IV from any user-selected vol index symbol (e.g. CBOE:VIX for SPX, NSEINDIA:INDIAVIX for Nifty).
   
2. Calculates realised volatility from the chart’s price data using returns over a user-defined lookback.
   
3. Annualises HV so IV and HV are displayed on the same percentage scale, on any timeframe (intraday or higher).
   
4. Optionally shows an IV/HV ratio in a separate pane to highlight when options are rich or cheap relative to realised volatility.
   

How to read it

Main panel:

1. Orange line – Implied Volatility (IV) from your chosen vol index.
   
2. Aqua line – Realised / Historical Volatility (HV) of the current chart symbol.
   
3. Fill between lines:

• Green shading -> IV > HV -> options are priced richer than what the underlying is currently realising.
  
• Red shading -> HV > IV -> realised vol is higher than the options market is implying.
  

Sub-panel (optional):

• IV / HV ratio
  - Above 1 -> IV > HV (vol rich).
  - Below 1 -> IV < HV (vol cheap).
  - Horizontal guides (for example 1.2 / 0.8) help frame “significantly rich/cheap” zones.
  

A small label on the latest bar displays the current IV, HV and their difference in vol points.

Inputs (key ones)

• IV Index Symbol – choose the volatility index that corresponds to your underlying (VIX, India VIX, etc.).
  
• Realised Vol Lookback – number of bars used to compute HV (for example 20).
  
• Trading Days per Year and Active Hours per Day – used for annualising HV so it stays consistent across timeframes.
  
• IV Scale Factor – adjust if your IV index is quoted in decimals (0.15) instead of points (15).
  

Practical uses

• Context for options trades – Quickly see if current IV is high or low relative to realised volatility when deciding on strategies (premium selling vs buying, spreads, hedges).
  
• Vol regime analysis – Track shifts where HV starts to rise above IV (real stress building) or IV spikes far above HV (fear premium / insurance bid).
  
• Cross-timeframe checks – Use on intraday charts for short-term trading context, or on daily/weekly charts for bigger picture vol regimes.
  

This tool is not a stand-alone signal generator. It is meant to be a volatility dashboard you combine with your usual price action, trend, and options strategy rules to understand how the options market is pricing risk vs what the underlying is actually delivering.