PROTECTED SOURCE SCRIPT
Aktualisiert BF_VolVol
Generally VVIX, VIX of VIX is called as a volatility of volatility. Here we will calculate the ratio of VVIX over VIX and then smooth it out with 5 days SMA and it will be called as VolVol indicator.
By monitoring VolVol indicator, we can peek in the trend of S&P50 market volatility as well as investor's sentiment.
When VolVol indicator is increasing, the market volatility is decreasing and bullish sentiment,
When VolVol indicator is decreasing, the market volatility is increasing and bearish sentiment.
In addition to the 5 days SMA, 20 days look back Bollinger band is added. Note that VIX or VVIX is an expected volatility of 30-day forward price of S&P 500 or VIX respectively, and the 20 days look back period represent last 20 trading days which is equivalent to the last 30 days (approximately 20 trading days during last 30 calendar days) of realized historical price.
When 5 days SMA of VolVol is golden crossing the mid line of the Bollinger band, it is considered as a strong bullish signal and market volatility is decreasing,
When 5 days SMA of VolVol is dead crossing the mid line of the Bollinger band, it is considered as a strong bearish signal and market volatility is increasing.
Consider VolVol indicator as a psychology expression of market participants behavior and sentiment.
By monitoring VolVol indicator, we can peek in the trend of S&P50 market volatility as well as investor's sentiment.
When VolVol indicator is increasing, the market volatility is decreasing and bullish sentiment,
When VolVol indicator is decreasing, the market volatility is increasing and bearish sentiment.
In addition to the 5 days SMA, 20 days look back Bollinger band is added. Note that VIX or VVIX is an expected volatility of 30-day forward price of S&P 500 or VIX respectively, and the 20 days look back period represent last 20 trading days which is equivalent to the last 30 days (approximately 20 trading days during last 30 calendar days) of realized historical price.
When 5 days SMA of VolVol is golden crossing the mid line of the Bollinger band, it is considered as a strong bullish signal and market volatility is decreasing,
When 5 days SMA of VolVol is dead crossing the mid line of the Bollinger band, it is considered as a strong bearish signal and market volatility is increasing.
Consider VolVol indicator as a psychology expression of market participants behavior and sentiment.
Versionshinweise
updated to version=5Geschütztes Skript
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Geschütztes Skript
Dieses Script ist als Closed-Source veröffentlicht. Sie können es kostenlos und ohne Einschränkungen verwenden – erfahren Sie hier mehr.
Haftungsausschluss
Die Informationen und Veröffentlichungen sind nicht als Finanz-, Anlage-, Handels- oder andere Arten von Ratschlägen oder Empfehlungen gedacht, die von TradingView bereitgestellt oder gebilligt werden, und stellen diese nicht dar. Lesen Sie mehr in den Nutzungsbedingungen.