OPEN-SOURCE SCRIPT
The dispersion of volatility indices
The script is my implementation of "Forecasting a Volatility Tsunami" by Andrew Thrasher (Thrasher Analytics). You can find the paper here: researchgate.net/publication/317999480_Forecasting_a_Volatility_Tsunami
I've changed a bit the approach - instead of two volatility indices (VIX & VVIX), I used two more: VXN and VXD. Additionally, I average the percentiles, but there is an option to swtich it to the original approach.
I've changed a bit the approach - instead of two volatility indices (VIX & VVIX), I used two more: VXN and VXD. Additionally, I average the percentiles, but there is an option to swtich it to the original approach.
Open-source script
In true TradingView spirit, the author of this script has published it open-source, so traders can understand and verify it. Cheers to the author! You may use it for free, but reuse of this code in publication is governed by House rules. You can favorite it to use it on a chart.
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