LazySprinter

SPY Expected Move by VIX

This 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 .
Notas de Lançamento: Added AAPL, AMZN, GOOG & IBM to use the corresponding VIX.

Added Ability to disable the bands if the VIX is not available.

Minot UI changes.
Notas de Lançamento: Using VIX instead of VIX9D as Tradingview's VIX9D data is delayed
Notas de Lançamento: Simple color tone change.
Notas de Lançamento: Requested by @Jansuperv to have VXX instead of VIX. Now you can configure that from the input panel.
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Comentários

Could you describe how you use this to evaluate trade entries and exits? I noticed that in real time, the VIX VWAP is a couple of candlesticks behind.
Resposta
LazySprinter MisterBurkes
@MisterBurkes, I didn't realize TV's VIX9D data is delayed by 15 minutes. That's why it wasn't showing up the lines. I changed it to VIX. Now there shouldn't be any problems relates to that.

You can use these lines as support and resistance as you can see in the chart. Theoretically, I mean based on the 30 days option price the price move is calculated in terms of Standard Deviation which is VIX. Here I tried to come up with 1 day move from that calculation and show the standard deviations by lines around VWAP.
+2 Resposta
This publication will be featured in our "Best Scripts of The Month" selection. Thank you for your valuable contribution to the TradingView community, and congrats!
+5 Resposta
LazySprinter PineCoders
@PineCoders, That's very nice to know that you thought this will be helpful for the TV users. TV is amazing. Thanks for your attention!
+4 Resposta
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