VIX Rule of 16There’s an interesting aspect of VIX that has to do with the number 16. (approximately the square root of the number of trading days in a year).
In any statistical model, 68.2% of price movement falls within one standard deviation (1 SD ). The rest falls into the “tails” outside of 1 SD .
When you divide any implied volatility (IV) reading (such as VIX ) by 16, the annualized number becomes a daily number
The essence of the “rule of 16.” Once you get it, you can do all sorts of tricks with it.
If the VIX is trading at 16, then one-third of the time, the market expects the S&P 500 Index (SPX) to trade up or down by more than 1% (because 16/16=1). A VIX at 32 suggests a move up or down of more than 2% a third of the time, and so on.
• VIX of 16 – 1/3 of the time the SPX will have a daily change of at least 1%
• VIX of 32 – 1/3 of the time the SPX will have a daily change of at least 2%
• VIX of 48 – 1/3 of the time the SPX will have a daily change of at least 3%
"Implied volatility" için komut dosyalarını ara
MS VIX Bull ReversalThis script measures the rebound of the implied volatility of the S&P 500 index options from an excessive panic zone. The IV starts a reversion to the mean as soon as profit taking from the hedge begins. The assumption behind it: this rebound indicates at least the beginning of a countermovement, in uptrends the end of the correction and the trend continuation.
Daily Deviations (Self Input Version)
Plots the standard deviation resistance/support levels.
Input the previous settlement price and the implied volatility.
credit to u/UberBotMan and u/Living_Granger for the idea and formulas
(preview example is using settlement of 2420 and IV of 11)
Bionic -- Expected Weekly Levels (Public)This script will draw lines for Expected Weekly Levels based upon Previous Friday Close, Implied Volatility (EOD Friday), and the square root of Days to Expire (always 7) / 365.
Script will draw 2 high and low levels:
*1st levels are 1 standard deviation from the Previous Friday Close.
* 2nd levels are 2 standard deviation from the Previous Friday Close.
There are also a 1/2 Low and 1/2 Low 1st level. These are 1/2 a standard deviation and act more as a point of interest level. 1/2 levels have 34% probability.
Configurations:
* All lines styles are individually configurable
* All lines can individually be turned on/off
* Text for all lines can be changed
* Global config allows for the
* Lines to show the price on the label
* Lines to have text in the label
* Hide or show all labels
* Lines offset from price is configurable
* Label size is configurable
SPY Expected Move by VIXThis indicator shows 1 and 2 standard deviation price move from the VWAP based on VIX. Implied Volatility (IV) is being used extensively in the Option world to project the Expected Move for the underlying instrument. VIX is used as a proxy for SPY's IV for 30 days.
This indicator is meaningful only for SPY but can be used in any other instrument which has a strong correlation to SPY.
