OPEN-SOURCE SCRIPT
Atualizado VIX Dispersion Overlay Thrasher
VIX Dispersion Signal [Thrasher]
Identifies conditions that historically precede large volatility spikes, based on the methodology published by Andrew Thrasher CMT in Forecasting a Volatility Tsunami (Journal of Technical Analysis, Q4 2017).
Core concept
Rather than treating a low VIX as a sell signal, Thrasher found that the strongest warning comes from measuring the dispersion of the VIX itself — its 20-day standard deviation. When the VIX stops moving and trades in an unusually narrow range, volatility is coiling. The same logic applied to the VVIX (the volatility of the VIX) improves timing further. When both compress simultaneously, the historical record shows a clear edge: nearly every combined signal was followed by a 30%+ VIX spike within 15 trading days, with an average maximum move of +27.5%.
Signal states
🟢 Risk On — both readings above threshold, normal conditions
🟡 Caution — VIX dispersion compressed (≤ 0.86), tighten stops
🟡 Warning — VVIX dispersion compressed (≤ 3.16), reduce exposure
🔴 Tsunami Alert — both thresholds breached simultaneously, raise cash
🔴 Compound Danger — Tsunami Alert firing while VIX is also sub-15, highest historical risk
What's plotted
The overlay script colours your price chart background and marks signal bars with directional triangles. The companion pane script plots the two StdDev lines against their threshold levels, with a scaled VIX level in the background for low-VIX context. A live status table shows current readings for VIX SD, VVIX SD, VIX level, VVIX level, VIX term structure spread (VIX3M − VIX), and days since last signal.
Inputs
All thresholds are adjustable. Thrasher's original values (VIX SD ≤ 0.86, VVIX SD ≤ 3.16) represent the 15th percentile of each series from 2006–2016. A de-clustering filter suppresses repeat signals within a configurable lookback window.
Usage
Add both scripts to any SPX, SPY, or equity index chart on the daily timeframe. Data is sourced directly from CBOE:VIX, CBOE:VVIX, and CBOE:VIX3M via request.security regardless of chart symbol. Five alert conditions are included: combined signal, compound danger, VIX-only, VVIX-only, and the most extreme case — combined signal with simultaneous VIX term structure backwardation.
Reference
Thrasher, A. (2017). Forecasting a Volatility Tsunami. Journal of Technical Analysis, Q4 2017. Thresholds and signal definitions are implemented as described in the original paper and have not been curve-fitted to subsequent data.
Identifies conditions that historically precede large volatility spikes, based on the methodology published by Andrew Thrasher CMT in Forecasting a Volatility Tsunami (Journal of Technical Analysis, Q4 2017).
Core concept
Rather than treating a low VIX as a sell signal, Thrasher found that the strongest warning comes from measuring the dispersion of the VIX itself — its 20-day standard deviation. When the VIX stops moving and trades in an unusually narrow range, volatility is coiling. The same logic applied to the VVIX (the volatility of the VIX) improves timing further. When both compress simultaneously, the historical record shows a clear edge: nearly every combined signal was followed by a 30%+ VIX spike within 15 trading days, with an average maximum move of +27.5%.
Signal states
🟢 Risk On — both readings above threshold, normal conditions
🟡 Caution — VIX dispersion compressed (≤ 0.86), tighten stops
🟡 Warning — VVIX dispersion compressed (≤ 3.16), reduce exposure
🔴 Tsunami Alert — both thresholds breached simultaneously, raise cash
🔴 Compound Danger — Tsunami Alert firing while VIX is also sub-15, highest historical risk
What's plotted
The overlay script colours your price chart background and marks signal bars with directional triangles. The companion pane script plots the two StdDev lines against their threshold levels, with a scaled VIX level in the background for low-VIX context. A live status table shows current readings for VIX SD, VVIX SD, VIX level, VVIX level, VIX term structure spread (VIX3M − VIX), and days since last signal.
Inputs
All thresholds are adjustable. Thrasher's original values (VIX SD ≤ 0.86, VVIX SD ≤ 3.16) represent the 15th percentile of each series from 2006–2016. A de-clustering filter suppresses repeat signals within a configurable lookback window.
Usage
Add both scripts to any SPX, SPY, or equity index chart on the daily timeframe. Data is sourced directly from CBOE:VIX, CBOE:VVIX, and CBOE:VIX3M via request.security regardless of chart symbol. Five alert conditions are included: combined signal, compound danger, VIX-only, VVIX-only, and the most extreme case — combined signal with simultaneous VIX term structure backwardation.
Reference
Thrasher, A. (2017). Forecasting a Volatility Tsunami. Journal of Technical Analysis, Q4 2017. Thresholds and signal definitions are implemented as described in the original paper and have not been curve-fitted to subsequent data.
Notas de Lançamento
update 1Script de código aberto
Em verdadeiro espírito do TradingView, o criador deste script o tornou de código aberto, para que os traders possam revisar e verificar sua funcionalidade. Parabéns ao autor! Embora você possa usá-lo gratuitamente, lembre-se de que a republicação do código está sujeita às nossas Regras da Casa.
Aviso legal
As informações e publicações não se destinam a ser, e não constituem, conselhos ou recomendações financeiras, de investimento, comerciais ou de outro tipo fornecidos ou endossados pela TradingView. Leia mais nos Termos de Uso.
Script de código aberto
Em verdadeiro espírito do TradingView, o criador deste script o tornou de código aberto, para que os traders possam revisar e verificar sua funcionalidade. Parabéns ao autor! Embora você possa usá-lo gratuitamente, lembre-se de que a republicação do código está sujeita às nossas Regras da Casa.
Aviso legal
As informações e publicações não se destinam a ser, e não constituem, conselhos ou recomendações financeiras, de investimento, comerciais ou de outro tipo fornecidos ou endossados pela TradingView. Leia mais nos Termos de Uso.