TVB - Thomas Volatility Bands v2.0

TVB – Thomas Volatility Bands v2.0

Author: Thomas Aaroon
Concept: CIV-Driven Volatility Bands with Adaptive Vomma Scaling

Overview

TVB – Thomas Volatility Bands v2.0 is an advanced volatility-adaptive band system built on two core elements:

CIV (Composite Implied Volatility) – manually provided or proxied using an external IV index

Dynamic Vomma Scaling – a higher-order volatility response factor that adjusts band width based on the convexity of implied volatility changes

Together, these components create a continuously adapting volatility envelope that reacts smoothly to market regime shifts.

Key Features
1. Flexible CIV Input

Manual CIV mode: Enter your own CIV value (decimal or %)

Proxy CIV mode: Pulls IV data from INDIA_VIX or any custom IV symbol

Weighted blending: Adjustable α-weight for proxy influence

Automatic normalization ensures stable and bounded CIV values.

2. Adaptive Volatility Engine

CIV is smoothed using EMA for intraday and SMA for higher-timeframes

Vomma coefficient dynamically adjusts based on CIV percentile and short-term CIV volatility

Produces a volatility surface that expands during stress and contracts during calm periods.

3. Time-Scaled Band Construction

Bands automatically scale their width according to:

Timeframe multiplier

Estimated bars-per-day

Annualized volatility normalization (√252 rule)

This ensures consistent volatility geometry across all chart timeframes.

4. Dual-Layer Volatility Bands

Inner Bands (±3σ): Tactical mean-reversion boundaries

Outer Bands (±4σ): Structural deviation zones for extreme price dislocations

Smooth color-coded volatility regimes (low/moderate/high CIV).

5. Re-Entry Logic (34% Rule)

A clean, rule-based mechanism inspired by distributional penetration depth:

Tracks bars that break the ±4σ outer band

Looks for 34% penetration back toward the ±3σ region

Generates optional visual markers (buy/sell re-entry)

Designed to highlight volatility compression opportunities after extreme expansions.

6. Optional CIV Diagnostic Label

Shows:

CIV and smooth CIV

Vomma coefficient

Effective band width

Useful for strategy development and volatility research.

Intended Use

TVB v2.0 is designed for:

Volatility-based trading models

Mean-reversion and re-entry systems

Volatility regime identification

Institutional-grade market structure research

This indicator does not repaint and does not generate trade signals by default (signals can be enabled via optional shapes).

Disclaimer

This tool is for educational and analytical purposes only.
It is not financial advice, and the author is not responsible for any trading outcomes.