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ATR > VXN Alert (5m)
ATR > VXN Volatility Divergence Indicator
This custom TradingView indicator monitors real-time volatility divergence between realized volatility (via Average True Range, ATR) and implied volatility (via the CBOE NASDAQ Volatility Index, VXN). It is inspired by the GJR-GARCH (Glosten-Jagannathan-Runkle Generalized Autoregressive Conditional Heteroskedasticity) model, which captures asymmetric volatility dynamics—particularly how markets respond more sharply to negative shocks than to positive ones.
Core Logic:
Chart on NQ 5 minute timeframe
ATR (5-min) reflects realized intraday volatility of the Nasdaq 100 futures (NQ).
VXN (5-min, delayed) represents forward-looking implied volatility.
The indicator highlights regime shifts in volatility:
ATR < VXN: Volatility compression → potential energy building up (market coiling).
ATR > VXN: Volatility expansion → real movement exceeds expectations → potential breakout zone.
Visuals & Alerts:
Background turns green when ATR crosses above VXN, signaling a bullish expansion regime.
Background turns red when ATR drops below VXN, signaling compression or risk-off environment.
Custom alerts trigger on volatility regime shifts for breakout traders.
Application (Manual GJR-GARCH Strategy):
Similar to how the GJR-GARCH model captures volatility clustering and asymmetry, this indicator identifies when actual price volatility (ATR) begins to spike beyond implied forecasts (VXN), often after periods of contraction—mirroring a conditional variance shock in the GARCH framework.
Traders can align with directional bias using technical confluence (order flow, structure breaks, liquidity zones) once expansion is confirmed.
This custom TradingView indicator monitors real-time volatility divergence between realized volatility (via Average True Range, ATR) and implied volatility (via the CBOE NASDAQ Volatility Index, VXN). It is inspired by the GJR-GARCH (Glosten-Jagannathan-Runkle Generalized Autoregressive Conditional Heteroskedasticity) model, which captures asymmetric volatility dynamics—particularly how markets respond more sharply to negative shocks than to positive ones.
Core Logic:
Chart on NQ 5 minute timeframe
ATR (5-min) reflects realized intraday volatility of the Nasdaq 100 futures (NQ).
VXN (5-min, delayed) represents forward-looking implied volatility.
The indicator highlights regime shifts in volatility:
ATR < VXN: Volatility compression → potential energy building up (market coiling).
ATR > VXN: Volatility expansion → real movement exceeds expectations → potential breakout zone.
Visuals & Alerts:
Background turns green when ATR crosses above VXN, signaling a bullish expansion regime.
Background turns red when ATR drops below VXN, signaling compression or risk-off environment.
Custom alerts trigger on volatility regime shifts for breakout traders.
Application (Manual GJR-GARCH Strategy):
Similar to how the GJR-GARCH model captures volatility clustering and asymmetry, this indicator identifies when actual price volatility (ATR) begins to spike beyond implied forecasts (VXN), often after periods of contraction—mirroring a conditional variance shock in the GARCH framework.
Traders can align with directional bias using technical confluence (order flow, structure breaks, liquidity zones) once expansion is confirmed.
Skrip sumber terbuka
Dalam semangat sebenar TradingView, pencipta skrip ini telah menjadikannya sumber terbuka supaya pedagang dapat menilai dan mengesahkan kefungsiannya. Terima kasih kepada penulis! Walaupun anda boleh menggunakannya secara percuma, ingat bahawa menerbitkan semula kod ini adalah tertakluk kepada Peraturan Dalaman kami.
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 sumber terbuka
Dalam semangat sebenar TradingView, pencipta skrip ini telah menjadikannya sumber terbuka supaya pedagang dapat menilai dan mengesahkan kefungsiannya. Terima kasih kepada penulis! Walaupun anda boleh menggunakannya secara percuma, ingat bahawa menerbitkan semula kod ini adalah tertakluk kepada Peraturan Dalaman kami.
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.