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Interval Volatility Bands [DW]This is an experimental study that utilizes Volume Weighted Average Price or Time Weighted Average Price calculations, Bollinger Bands, and Fibonacci numbers to estimate volatility over a specified interval. First, the basis is calculated by selecting: -VWAP, which has the option to be calculated using real volume or tick volume -TWAP, which has the option to be calculated using the standard method or exponential method Next, standard deviation from the basis is calculated and multiplied by a specified expansion coefficient. The result is then added to and subtracted from the basis to calculate the high and low bands. There are three band calculation methods to chosse from in this script: -Standard, which uses the default calculations -Average, which takes a cumulative average of standard deviation -Hybrid, which takes the maximum of the standard and average standard deviation methods Lastly, the high and low band ranges are multiplied by Fibonacci Percentages 23.6 - 78.6. A custom color scheme with eight default presets to choose from is included.
Indicador Pine Script®
por DonovanWall
8
Compression Bar - alphatradingdotin Volatility trading is the term used to describe trading the volatility of the price of an underlying instrument rather than the price itself. Volatility trading is simply buying and selling the expected future volatility of the instrument. There are many ways or rather innumerable ways to measure volatility one of the easiest is - a range of the price bars. Volatility is often thought of as measuring risk or uncertainty. We are never sure where an asset is going to be at some point in the future, but a more volatile asset or underlying will have a wider spread of likely ending values, compared to a less volatile asset for the same time period.
Indicador Pine Script®
por chintanchheda
Vol ROC Indicator [ASM]Volatility crush indy TL;DR: Vol Crush = market up. Fundamental theory: 1) Vol must rise to be crushed. Why does it rise? Big guys expect “risk event” and buy insurance (put options). They are smart ok, they may see risk that we don’t. Then supply / demand law (or just put-seller rises prices) –> puts get expensive -> VIX go up = SPY usually down because of that risk event looming. 2) If risk event doesn’t happen (off the table)… Insurance no longer needed right? AMEX:SPY bravely goes up = puts cheap again = VIX go down. Technicals: Option market makers’ (MM’s) mechanical flows. Gamm, GEX,VEX, etc. When investor buys puts = VIX goes up -> MM shorts $SPY. Then if Vol crushes, puts decrease in value -> MM buys back AMEX:SPY that he shorted earlier. Specifics: In this example instead of VIX, we use Nations taildex index. It shows price crash protection put options. Green triangle. If TDEX > 20 puts expensive and market expects risk event. When TDEX falls below 20 then risk event cancelled or not so scary anymore. Green trianlge signals. Green background. Again if TDEX > 20, then falls -15% within 2 days, you get a background signal. Other variants. You can change TDEX to VIX, VOLI. Use another overbought levels or use another vol change percentages.
Indicador Pine Script®
por AnuarASM