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Telah dikemas kini Daily Volatility Range (DVR) [GIF]
VIX as a Volatility Indicator:
The VIX is a measure of the market's expectation of volatility in the S&P 500 over the next 30 days, based on the prices of S&P 500 options.
The Rule of 16:
Example:
If the VIX is at 20, the rule suggests that the SPX might see daily moves of around 1.25%.
Practical Application:
The rule of 16 can be used as a quick and easy way to estimate the potential daily volatility of the S&P 500 based on the VIX.
The Daily Volatility Range:
This indicator cross references the ticker on the chart with it's own volatility index (assuming it has one). Below are the indexes and stocks that have their own volatility index:
How I use the DVR:
Historic probabilities show that you will close the day within the DVR. However, there are times when those probabilities diminish greatly. One of those times is when you open in the RTH session outside of the DVR. If you open outside the DVR, you can look for the DVR to becomes support/resistance and stay extended outside the DVR. These days can often become muted as most of the most has happened before the market open. However, if we open outside the DVR and break back into range, it is highly probable that we will not break back into those extended ranges.
Indicator Options:
There are 2x and 3x DVR levels that can be plotted. During times of extreme volatility, it will become important to have these plotted.
There is the option to plot calculated pivot points. These are fib ranges that have historically been areas of consolidation or trend reversal. These are projections based on my own research and are not as important as the DVR levels themselves.
There is also an option to color the candles a specific color if the candle closes outside the DVR. This is to highlight the fact that price action has exceeded the range and caution should be taken.
If you have suggestions how to make this indicator better, please let me know in the comments and I will look into it. Thank you!
The VIX is a measure of the market's expectation of volatility in the S&P 500 over the next 30 days, based on the prices of S&P 500 options.
The Rule of 16:
- A VIX of 16 implies that the market expects the SPX to move up or down by roughly 1% on any given day.
- If the VIX is 24, the expected daily move is around 1.5%, and with a VIX of 32, the expected move is around 2%.
- The rationale for the rule is that the square root of the number of trading days in a year (approximately 252) is roughly 16.
Example:
If the VIX is at 20, the rule suggests that the SPX might see daily moves of around 1.25%.
Practical Application:
The rule of 16 can be used as a quick and easy way to estimate the potential daily volatility of the S&P 500 based on the VIX.
The Daily Volatility Range:
This indicator cross references the ticker on the chart with it's own volatility index (assuming it has one). Below are the indexes and stocks that have their own volatility index:
- S&P 500
- Nasdaq 100
- Russell 2000
- Dow Jones
- TLT
- Bitcoin
- Gold
- Crude Oil
- Apple
- Amazon
- Google
- IBM
- Goldman Sachs
How I use the DVR:
Historic probabilities show that you will close the day within the DVR. However, there are times when those probabilities diminish greatly. One of those times is when you open in the RTH session outside of the DVR. If you open outside the DVR, you can look for the DVR to becomes support/resistance and stay extended outside the DVR. These days can often become muted as most of the most has happened before the market open. However, if we open outside the DVR and break back into range, it is highly probable that we will not break back into those extended ranges.
Indicator Options:
There are 2x and 3x DVR levels that can be plotted. During times of extreme volatility, it will become important to have these plotted.
There is the option to plot calculated pivot points. These are fib ranges that have historically been areas of consolidation or trend reversal. These are projections based on my own research and are not as important as the DVR levels themselves.
There is also an option to color the candles a specific color if the candle closes outside the DVR. This is to highlight the fact that price action has exceeded the range and caution should be taken.
If you have suggestions how to make this indicator better, please let me know in the comments and I will look into it. Thank you!
Nota Keluaran
[UPDATE]: Added up to 5x DVR levels thanks to the historic volatility we've been getting.Skrip dilindungi
Skrip ini diterbitkan sebagai sumber tertutup. Akan tetapi, anda boleh menggunakannya dengan percuma dan tanpa had – ketahui lebih lanjut di sini.
Penafian
Maklumat dan penerbitan adalah tidak dimaksudkan untuk menjadi, dan tidak membentuk, nasihat untuk kewangan, pelaburan, perdagangan dan jenis-jenis lain atau cadangan yang dibekalkan atau disahkan oleh TradingView. Baca dengan lebih lanjut di Terma Penggunaan.
Skrip dilindungi
Skrip ini diterbitkan sebagai sumber tertutup. Akan tetapi, anda boleh menggunakannya dengan percuma dan tanpa had – ketahui lebih lanjut di sini.
Penafian
Maklumat dan penerbitan adalah tidak dimaksudkan untuk menjadi, dan tidak membentuk, nasihat untuk kewangan, pelaburan, perdagangan dan jenis-jenis lain atau cadangan yang dibekalkan atau disahkan oleh TradingView. Baca dengan lebih lanjut di Terma Penggunaan.