This is a very powerful Williams' Vix Fix indicator. My implementation of this wonderful indicator features both up and down movements. Both up & down flavors have two versions (fields tp and tp2, each having two values). Color can be reversed as desired (rev). By default colors show continuation, reversed colors show reversion (as intended originally).
English: A significant intraday reversion (commonly used: 3 points) on a high (over 20 points) S&P 500 Volatility Index (VIX) can be a sign of a market bottom, because there is the assumption that some of the "big guys" liquidated their options / insurances because the worst is over. This indicator shows these reversions (3 points as default) when the VIX was...
English: This script shows the ratio between the VIX (implied volatility of SPX options over the next month) and the VXV (implied volatility of SPX options over the next three months). Since in normal "Contango" mode, the VXV should be higher than the VIX, the crossing under 1.0 or maybe 0.95 after a volatility spike could be a sign for a calming market or at...
Same formulation of IVR but based on Historical Volatility instead. Serves the same purpose as IV rank.
This indicator is based on Volatility and Market Sentiment. When volatility is high, and market sentiment is positive, the indicator is in a low or 'buy state'. When volatility is low and market sentiment is poor, the indicator is high. The indicator uses the VIX as it's volatility input. The indicator uses the spread between the Call Volume on SPX/SPY and the...
This script compares the implied volatility to the historic volatility as a ratio. The plot indicates how high the current implied volatility for the next 30 days is relative to the actual volatility realized over the set period. This is most useful for options traders as it may show when the premiums paid on options are over valued relative to the historic...
US 2 year and US 10 year comparison, inverted yield curve with VIX. I use this on a weekly chart with 2 moving averages, the 40 week (ma200 daily) and the 520 week (10 year median). The bottom histogram is the VIX and the plot is the yield curve. When the VIX is above a certain level (you can set it in settings) and the ýield curve is close to or at inversion the...
This script offers an SMI index of VIX, SPY, and NDX. Rather than overlaying VIX, NDX and SPY on the same chart. It's much easier to see the correlation between VIX's price and NDX / SPY price in this manner. Thanks to Buckkets & William Blau for the TSI smoothing method.
The volatility index, Williams vix fix developed by Larry Williams, is a well-known index for finding market bottoms. It describes how much the current low price statistically deviates from the maximum within a given look-back period. The inverse can be formulated by considering "how much the current high value statistically deviates from the minimum within a...
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
VXV/VIX ratio <1 is typically bullish for S&P and >1.3 is typically bearish
A useful measure of recent volatility. I use 50 day or 50 week periods, but you can experiment with other values too. Because it measures ranges as a % of current close it can be used to make good comparisons with other historic periods of low (or high) volatility. This measure reached a new 23 year low for daily S&P 500 in July 2017. Uses and historic examples: ...
The measure of idiosyncratic risk for single stock or portfolio
BARS SINCE VIX17 Median by dime (v1.0 release) 04/02/2017 (Inspired by "Bars Since the last RSI Extreme" from DRodriguezFX) This indicator is useful in tracking how many daily bars since the VIX was last at a historically 'normal' range. Currently the VIX has been in a period of low volatility for a period of 98 daily bars since the VIX was last at the 17...
My implementtion of VIX term roll Oscillator according to the articles below seekingalpha.com vixcontango.wordpress.com Hope it helps! Daniel
VIX Contango Oscillator as outlined in the following blog post vixcontango.wordpress.com By Daniel Xu