SPY Daily Expected Move • Manual VIX

SPY Daily Expected Move • Manual VIX — Description 📈🔥

This indicator calculates the daily expected move (EM) for SPY using a manual VIX input, then draws the projected high and low boundaries for the trading session.
It automatically retrieves the previous day’s closing price (or today’s open if you choose), then applies a volatility-based formula to estimate the range SPY is statistically likely to remain within. 📊

How the Expected Move Is Calculated 🧮

This indicator uses a simplified institutional volatility model:

\text{Expected % Move} = \frac{\text{VIX}}{\sqrt{252}}

This daily percentage is multiplied by your chosen baseline price:

📘 Previous Close (recommended — most accurate)

🌅 Today’s Open

✏️ Custom Price

And the script automatically plots:

🔼 Expected High

🔽 Expected Low

🏷️ Optional labels + info panel

Choosing the Correct Baseline 🎯

The baseline is one of the most important components of the expected move calculation.

Previous Day’s Close (Strongly Recommended) ✔️

Used by:

🏦 Market makers

🎛️ Options market makers

📐 Institutional volatility models

Expected move represents full-day implied volatility, making the previous close the mathematically correct anchor for SPY.

Using the VIX Input 🌡️

Enter the current VIX, taken from /VX futures or the ^VIX index.

⬆️ Higher VIX = larger expected move

⬇️ Lower VIX = tighter expected move

This lets you align SPY’s session range with real-time volatility conditions.

Recommended VIX-Based Multiplier Adjustments 🔧

The multiplier input allows you to fine-tune the expected move in different volatility regimes.

VIX Level Market Condition Recommended Multiplier
🟦 < 13 Very low volatility 0.9 — tight EM
🟩 13–18 Normal conditions 1.0 (default)
🟨 18–25 Elevated volatility 1.05 – 1.1
🟧 25–35 High volatility 1.2 – 1.3
🟥 > 35 Extreme volatility 1.4 – 1.6

These adjustments reflect how SPY’s actual intraday range stretches during higher volatility periods.

Why This Indicator Matters for SPY Traders 🚀

SPY is the most heavily traded ETF in the world, and market makers heavily rely on expected move to price options.

Because of that:

🧲 EM levels often act as dynamic support/resistance

📛 Breaks above/below EM can trigger gamma-driven trend days

🔄 Sweeps around EM frequently produce high-probability reversal zones

This indicator provides a statistically grounded framework that helps traders anticipate where SPY is most likely to:

move

stall

reverse

expand beyond expected range

All with clean, auto-updating levels that adjust daily based on your input of previous close price and the current VIX opening price.⚡📘