The script is intended to indicate when the correlation between VIX and VVIX gets below 0, on the selecteted security chart. It makes sense to plot it on indicies. This aims to present how the chart of a security looked like when the divergance between VIX and VVIX happened.
Versionshinweise
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Added some improvements - the main change was to detect a situation when VVIX was falling while VIX rising and exclude such cases from calc. This would cause the correlation to break but that's not the alarming market environment. It is the opposite case - when implied vol of VIX is rising (VVIX) while VIX is resting.
Nice work. I have been playing with a bottom finder ie where is the dip to buy. RSI, MACD, Stoch settings get you close. Also looked at ivRank and iv% variance. Have you looked at anything like that?
sl-wk
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@jroche1973, in terms of stock trading - no, in terms of volatility trading - sort of. Besides, vol of vol, my main tools are VIX futures and CBOE Vol indices term structures. Unfortunately, the pine script does not have the capabilities to write a script that could be plotted on the chart.
jroche1973
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@sl-wk, So the calculations are not binary ie x=123 and y = 890 then top identified if x = 321 and y = 098 then bottom identified. I have found a combination of very low fast RSI with a low slowish RSI is a good starting point but the VIX and VVIX can range a lot in that context