This is a recreation of the work done by Michael Rechenthin aka "Dr.Data" from Tastytrade back in 2016 (this indicator is for SP:SPX only)
You can watch the episode where "Dr.Data", Tom and Tony go over this concept on the following link:
www.tastytrade.com
The following are my personal additions:
- ability to choose between TVC:VIX and NASDAQ:VOLI as the...
We all know TVC:VIX . But what is NASDAQ:VOLI ?
VOLI is basically a measure of expectations for market volatility over the next 30 calendar days as expressed by ATM options on AMEX:SPY
nations.com
So why is this VIX /VOLI ratio important? It's because it can give an important measure of options skew.
It can show the premium of OTM options (particularly...