OPEN-SOURCE SCRIPT
SPX Expected Move
Atualizado
This indicator plots the "expected move" of SPX for today's trading session. Expected move is the amount that SPX is predicted to increase or decrease from its current price, based on the current level of implied volatility. The implied volatility in this indicator is computed from the current value of the VIX (or one of several volatility symbols available on Trading view). The computation is done using standard formula. The resulting plots are labeled as 1 and 2 standard deviations. The default values are to use VIX as well as 252 trading days in the years.
Use the square root of (days to expiration, or in this case a fraction of the day remaining) divided but the square root of (252, or number of trading days in a year).
timeRemaining = math.sqrt(DTE) / math.sqrt(252)
Standard deviation move = SPX bar closing price * (VIX/100) * timeRemaining
Use the square root of (days to expiration, or in this case a fraction of the day remaining) divided but the square root of (252, or number of trading days in a year).
timeRemaining = math.sqrt(DTE) / math.sqrt(252)
Standard deviation move = SPX bar closing price * (VIX/100) * timeRemaining
Notas de Lançamento
This indicator plots the "expected move" of SPX for today's trading session. Expected move is the amount that SPX is predicted to increase or decrease from its current price, based on the current level of implied volatility . The implied volatility in this indicator is computed from the current value of the VIX (or one of several volatility symbols available on Trading view). The computation is done using standard formula. The resulting plots are labeled as 1 and 2 standard deviations. The default values are to use VOLI and 365 days in the year.Use the square root of (days to expiration, or in this case a fraction of the day remaining) divided but the square root of (252, or number of trading days in a year).
timeRemaining = math.sqrt( DTE ) / math.sqrt(252)
Standard deviation move = SPX bar closing price * ( VIX /100) * time remaining
Notas de Lançamento
Added VIX1D to the list of volatility indexes.Notas de Lançamento
This indicator plots the "expected move" of SPX for today's trading session. Expected move is the amount that SPX is predicted to increase or decrease from its current price, based on the current level of implied volatility. The implied volatility in this indicator is computed from the current value of the VIX (or one of several volatility symbols available on Trading view). The computation is done using standard formula. The resulting plots are labeled as 1 and 1/2 standard deviations. The default values are to use VIX as well as 252 trading days in the years.Use the square root of (days to expiration, or in this case a fraction of the day remaining) divided but the square root of (252, or number of trading days in a year).
timeRemaining = math.sqrt(DTE) / math.sqrt(252)
Standard deviation move = SPX bar closing price * (VIX/100) * timeRemaining
Notas de Lançamento
This indicator plots the "expected move" of SPX for today's trading session. Expected move is the amount that SPX is predicted to increase or decrease from its current price, based on the current level of implied volatility. The implied volatility in this indicator is computed from the current value of the VIX (or one of several volatility symbols available on Trading view). The computation is done using standard formula. The resulting plots are labeled as 1 and 1/2 standard deviations. The default values are to use VIX as well as 252 trading days in the years.Use the square root of (days to expiration, or in this case a fraction of the day remaining) divided but the square root of (252, or number of trading days in a year).
timeRemaining = math.sqrt(DTE) / math.sqrt(252)
Standard deviation move = SPX bar closing price * (VIX/100) * timeRemaining
Notas de Lançamento
Added a plot of the day's True Range vs Expected Move at the start of the day. When the true range is below the expected move the plot displays red below the previous day's close dotted line. When the true range exceeds the expected move it displays green above the previous day's close dotted line.Notas de Lançamento
Added the ability to mark with vertical lines up to 5 times during the trading day.Script de código aberto
No verdadeiro espírito do TradingView, o autor desse script o publicou como código aberto, para que os traders possam compreendê-lo e analisá-lo. Parabéns ao autor! Você pode usá-lo gratuitamente, mas a reutilização desse código em publicações é regida pelas Regras da Casa. Você pode favoritá-lo para usá-lo em um gráfico.
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