Today I am sharing with the community a volatility indicator that can help you or your algorithms avoid black swan events. Variance is most commonly used in statistics to derive standard deviation (with its square root). It does have another practical application, and that is to identify outliers in a sample of data. Variance in statistics is defined as the...
An example of the linear regression library, showing the regression of VX futures on the VIX. The beta might help you weight VX futures when hedging SPX vega exposure. A VX future has point multiplier of 1000, whereas SPX options have a point multiplier of 100. Suppose the front month VX future has a beta of 0.6 and the front month SPX straddle has a vega of 8.5....
This script provides realized volatility (rv), implied volatility (iv), and volatility risk premium (vrp) information for each of CBOE's volatility indices. The individual outputs are: - Blue/red line: the realized volatility. This is an annualized, 20-period moving average estimate of realized volatility--in other words, the variability in the instrument's...
Shows monthly and quarterly expirations for Equities, Indexes, & VIX. OPEX, VIXEX, Vixperation.
This script shows the volatility risk premium for several instruments. The premium is simply "IV30 - RV20". Although Tradingview doesn't provide options prices, CBOE publishes 30-day implied volatilities for many instruments (most of which are VIX variations). CBOE calculates these in a standard way, weighting at- and out-of-the-money IVs for options that expire...
This indicator displays the BitMEX BTC Volatility Index ( BVOL24H ) as an indicator and it can be compared to the VIX of the cryptocurrencies. more information about how BVOL24H is calculated can be found here: www.bitmex.com Symbol can be changed in the parameters
USAGE -------- This script helps train your intuition for changes in the VX term structure. I recommend using it on the VIX chart, so you can compare changes in the terms to changes in VIX. It's also nice for calendar spread traders who want to get a feel for the same changes. 1. Select a day, month, and year using the inputs 2. Observe the data table. 3. Open...
VIX Contango 1 = 100* (VX2! - VX1!)/VX1! Show when is VIX in contango or in backwardation. I compare the first two contracts.
NSE:NIFTY Simple correlation indicator which oscillates around zero Shows default correlation with NSE:IndiaVix You can use it to check correlation with any other trading symbol or indices by simply selecting it in the settings.
Shows the roll yield of the VX futures, which is the ratio of a continuously weighted average of the front two months to the VIX. The VX (VIX futures) contract expires on the third Tuesday of each month. On the next trading day, the front month will have full weighting, and the second month will have no weight. On the expiration day, the back month will have full...
FULL README: github.com/samgozman/vix-fix-double-pleasure The idea of an oscillator is quite simple. It is based on the popular VIX Fix oscillator, the purpose of which is to find local bottoms within the scope of trend movement. But in addition to the classic VIX fix, I built an oscillator opposite to it, which serves as a potential signal of the end of local...
This script aims to identify optimal times when to write Puts for premium, for example using the SPX Weeklies model or simply buying Calls. Not perfect but provides some additional confidence when playing Puts on SPX or the Wheel on SPY. What it does: We compare current VIX with a lookback VIX for X% delta. If there is a jump of say 20% over a defined period then...
The script is my implementation of "Forecasting a Volatility Tsunami" by Andrew Thrasher (Thrasher Analytics). You can find the paper here: www.researchgate.net I've changed a bit the approach - instead of two volatility indices (VIX & VVIX), I used two more: VXN and VXD. Additionally, I average the percentiles, but there is an option to swtich it to the original approach.
The script is intended to indicate when the correlation between VIX and VVIX gets below 0, on the selecteted security chart. It makes sense to plot it on indicies. This aims to present how the chart of a security looked like when the divergance between VIX and VVIX happened.
This indicator provides a 3 day smoothed histogram expressing whether the near term VIX futures curve is in a state of contango or backwardation. The solid red/green bars express the spot vs front-month vs next month curve with the value being the cumulative point spread between them. The shaded overlay bars express the spread between the VIX spot index and...
Many know of the VIX for equity trading. Yet, many are unaware that there is the same kind of volatility measure for trading bonds, called the MOVE Index. "The Merrill Lynch Option Volatility Estimate (MOVE) Index is a yield curve weighted index of the normalized implied volatility on 1-month Treasury options which are weighted on the 2, 5, 10, and 30 year...
This script uses the close of the VIX on a daily resolution to provide the 'implied move' for the E-mini SP500 futures. While it can be applied to any equity index, it's crucial to know that the VIX is calculated using SPX options, and may not reflect the implied volatility of other indices. The user can adjust the length of the moving average used to calculate...