LazySprinter

SPY Expected Move by VIX

This indicator shows 1 and 2 standard deviation price move from the VWAP based on VIX . Implied Volatility (IV) is being used extensively in the Option world to project the Expected Move for the underlying instrument. VIX is used as a proxy for SPY's IV for 30 days.

This indicator is meaningful only for SPY but can be used in any other instrument which has a strong correlation to SPY .
Notas de prensa: Added AAPL, AMZN, GOOG & IBM to use the corresponding VIX.

Added Ability to disable the bands if the VIX is not available.

Minot UI changes.
Notas de prensa: Using VIX instead of VIX9D as Tradingview's VIX9D data is delayed
Notas de prensa: Simple color tone change.
Notas de prensa: Requested by @Jansuperv to have VXX instead of VIX. Now you can configure that from the input panel.
Notas de prensa: Added alert on price crossing 3 SD as requested by @acogwell11
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Comentarios

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+5 Responder
LazySprinter PineCoders
@PineCoders, That's very nice to know that you thought this will be helpful for the TV users. TV is amazing. Thanks for your attention!
+4 Responder
Probably the best indicator on here IMHO for my needs. I have years did the Connor's IV calculations discussed on TradingMarkets and I find this to match the important numbers. Combine it with OGC Don't fiddle in the middle but have the bars all show and some things become apparent. Not just for reversals but long trending breakouts above the Keltner Bands or confluence with the SD bands. I mainly focus on the 2 and 3 SD when daily vix is above 22 and daily ATR is large. Also for instance if YM is strongest market I will wait for the 3 SD and etc.. for all the markets. There is a Breadth Ratio on here that helps if that is 5 or above and stays that way and daily high or low is put in fist 5 to 10 minutes of the market don't kill your account by shorting.......If it is below and market opens somewhat in balance than I will focus more on the 1 sd ETC..
+1 Responder
@maj, thanks for the feedback. Sounds interesting. I will give it a try when I get a chance.
Responder
Looks like a great indicator. I will use it this week. I have two questions:

-Will the alert be triggered as the a 3rd standard deviation is being crossed if the alert is configured to "on bar"?

-What could be interchanged for the vix in FX major pairs? DXY?
Responder
acogwell11 acogwell11
@acogwell11, I forgot to mention is there a way to allow the indicator to work with an 8hr chart?
Responder
LazySprinter acogwell11
@acogwell11, NO alert so far but that's a good idea. I will add one in the next interaction. I am not sure if DXY is equivalent to VIX. Thanks.
Responder
acogwell11 LazySprinter
@LazySprinter, yeah I am using it right now and the alerts are working how I want it to work when it is set when price crosses -3 or +3 standard deviations. I'm using it on US futures and filtering based on 6h down to 1m with my current strategy. Works extremely well. Definitely one of the best indicators that I've found on here in awhile. I'll have to figure out what to use to interchange VIX for fx pairs. I tried using it on fx majors that are highly correlated with US indices but it doesn't work as well.
Responder
LazySprinter acogwell11
@acogwell11, Added the alert. Give it a try.
Responder
acogwell11 LazySprinter
@LazySprinter, I don't really see anything added but that's okay I was already able to configure the alerts correctly. Thanks! Maybe I don't know how to configure the new alerts?
Responder
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