This Implied range Is derived by the VIX(1 sd annual +/- Implied move.)
This Indicator plots the daily Implied range, A lot of quantitative trading firms/ MM firms hedge their delta & gamma exposure around the Implied range(prop calc). I have added retracement levels as well, so you have more pivot levels.
Shows the roll yield of the VX futures, which is the ratio of a continuously weighted average of the front two months to the VIX. The VX (VIX futures) contract expires on the third Tuesday of each month. On the next trading day, the front month will have full weighting, and the second month will have no weight. On the expiration day, the back month will have full...
I am going to start taking requests to open source my indicators and they will also be updated to Version 4 of Pinescript.
I added some features to the original code such the ability to smooth the oscillator and select the look back periods for the historical volatility.
Link to original:
"The idea for this started here: www.tradingview.com...
This looks at he VIX and trades SVXY. Load SVXY and run the script on SVXY.
Entry - You set this number to how high you want the VIX to go before SVXY will be bought. Keep in mind it buys the bar after a trigger, results may be confusing
Exit - You set this number to how low you want the VIX to go before SVXY will be sold.
Year - This as stated, It...
Works best as an intraday indicator
Background black & line green = Long VIX
Background black & red line = No trade
Background orange & line green = Consider selling
Background orange & line red = Short VIX