Edge Levels (ES/NQ) - ArchReactor

9月15日

Credit: I got the idea from here

Edge Levels provides a smart, pre-calculated volatility map for the E-mini S&P 500 — based on the previous session’s close and the closing value of the VIX.

How It Works

It is based on the Expected move formula:
EM = (ES/NQ PrevClose) × (Vol. Idx/100) × √(1/N)

Where:

• ES/NQ PrevClose = Prior daily close on ES/NQ
  
• Vol. Idx = Prior daily close of CBOE Volatility Index (For ES we use VIX and for NQ we use VXN)
  
• N = Number of days (default: 252 or 365)
  - 365 = Calendar-based normalization
  - 252 = Trading day normalization (used by many institutional models)
  

Then this plots 8 support and 8 resistance levels based on Standard Deviation multipliers.

Inputs:
Asset Type: ES/NQ
Manual Override: If this is selected then we can manually enter the close of ES/NQ and VIXVXN
Normalization: 252/365 Days

For Manual Input:

Manual Input – Official Sources
ES Daily Settlement:
👉 cmegroup.com/markets/equities/sp/e-mini-sandp500.settlements.html

NQ Daily Settlement:
👉 cmegroup.com/markets/equities/nasdaq/e-mini-nasdaq-100.settlements.html

VIX Close Value:
👉 cboe.com/us/indices/dashboard/vix/

VXN Close Value:
👉 cboe.com/us/indices/dashboard/vxn/

How to use
Combine it with various confirmations:

• RSI/Stochastic or MFI Divergences.
  
• Higher TF Levels or Supply and Demand Zones.
  
• VWAP /200 ema
  
• Failed breakout setup.
  

9月15日

リリースノート

Added ability to change Table Location and Table Size.

9月15日

リリースノート

Fixed small bugs

9月17日

リリースノート

Prev Close was displaying wrongly , I have fixed that display logic .

9月18日

リリースノート

Added Additional Symbols ,
QQQ | SPY | SPX | NDX

Note: It needs a volatility correlation , so Nasdaq and S&P have volatility correlation, hence it works best on those indices.

9月19日

リリースノート

Fixed a bug for closed value at for SPY and other symbols that dont trade ON

9月26日

リリースノート

Added CL and GC to the mix of assets .

10月16日

リリースノート

Added RTY, RUT and YM

10月17日

リリースノート

Some users noticed that the levels moved intraday, I noticed the value of Vix wasnt correctly taking previous day's close. It was taking current intraday value. Changed that.

10月17日

リリースノート

Updated the title of script

4 日前

リリースノート

- Added an option to use VX Futures instead of VXN/VIX for NQ/ES
- Updated label from Prev Close to Prev Settlement as that closely represents the levels.