SPX Expected Move

21 Kas 2022

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

22 Kas 2022

Sürüm Notları

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

26 Nis 2023

Sürüm Notları

Added VIX1D to the list of volatility indexes.

26 Tem 2023

Sürüm Notları

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

26 Tem 2023

Sürüm Notları

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

7 Ağu 2023

Sürüm Notları

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.

26 Ağu 2023

Sürüm Notları

Added the ability to mark with vertical lines up to 5 times during the trading day.