SPX Weekly EM

This indicator calculates and projects a fixed Weekly Expected Move (EM) range for the S&P 500 (SPX), designed specifically for intraday and 0DTE options trading.

The Expected Move is derived from implied volatility dynamics using a volatility proxy and time-weighted normalization. The weekly EM is calculated once at the start of each trading week and remains fixed across all intraday timeframes to avoid recalculation noise and repainting.

Key concepts behind the indicator:
• Volatility-based expected range estimation
• Weekly fixed-range projection
• Intraday mean reversion vs. range expansion behavior
• Identification of statistically significant boundary breaks

The indicator plots:
• Weekly EM High
• Weekly EM Low
• Weekly EM Center (reference price)

Additionally, the script highlights when price decisively breaks above or below the weekly expected range, allowing traders to distinguish between normal range behavior and abnormal volatility expansion.

This tool is intended to support risk-defined option strategies such as:
• SPX 0DTE structures
• Iron Fly
• Iron Condor
• Premium-selling strategies

The script does not provide buy or sell signals and does not predict market direction. It is designed as a volatility framework and context tool to assist traders in managing risk and understanding market behavior relative to statistically expected movement.

Access to this script is invite-only to protect proprietary implementation details and usage methodology.

For educational purposes only. Not financial advice.