Rolling Volatility Bands

16 Ağu

Make sure to view it from the 1D candlestick chart.

The Rolling Volatility Bands indicator provides a statistically-driven approach to visualizing expected daily price movements using true volatility calculations employed by professional options traders. Unlike traditional Bollinger Bands which use price standard deviation around a moving average, this indicator calculates actual daily volatility from log returns over customizable rolling periods (20-day and 60-day), then annualizes the volatility using the standard √252 formula before projecting forward-looking probability bands. The 1 Standard Deviation bands represent a ~68% probability zone where price is expected to trade the following day, while the 2 Standard Deviation bands capture ~95% of expected movements. This methodology mirrors how major exchanges calculate expected moves for earnings and FOMC events, making it invaluable for options strategies like iron condors during low-volatility periods (narrow bands) or directional plays when volatility expands. The indicator works on any timeframe while always utilizing daily candle data via security() calls, ensuring consistent volatility calculations regardless of your chart resolution, and includes real-time annualized volatility percentages plus daily expected range statistics for comprehensive market analysis.

19 Ağu

Sürüm Notları

Made sure the shown volatility bands actually relate from the prior candle, and not from the current candle.