OPEN-SOURCE SCRIPT
VRP IV vs Realised Vol
**Indicator name:** VRP — IV vs Realised Vol
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**What it calculates:**
**Line 1 — India VIX (IV)**
It pulls the daily closing value of India VIX directly from TradingView using `request.security("INDIAVIX", "D", close)`. This is your implied volatility — what the market expects NIFTY to move annually.
**Line 2 — 20-day Realised Volatility (RV)**
It calculates the actual movement of NIFTY over the past 20 trading days using log returns. The formula is: standard deviation of daily log returns × √252 × 100. This converts daily movement into an annualised percentage — same unit as VIX so you can compare them directly.
**Line 3 — VRP**
It subtracts RV from IV. The result is plotted as a histogram.
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**What you see on screen:**
- **Green bar** — VIX is above 20-day RV. IV is overpricing actual movement. Selling has structural edge. Enter trades.
- **Red bar** — VIX is below 20-day RV. IV is underpricing actual movement. No edge. Skip the week.
- **Zero line** — the crossover point. Green above, red below.
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**How to read it practically:**
| Bar colour | What it means | Action |
|---|---|---|
| Green and tall | High VRP — IV significantly above RV | Strong edge — full size |
| Green and small | Low positive VRP — IV slightly above RV | Weak edge — half size |
| Red | Negative VRP — IV below RV | No edge — sit out |
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**One important limitation:**
VIX is a 30-day forward looking measure. RV is a 20-day backward looking measure. They are not perfectly matched in time horizon — but this is the most practical comparison available on TradingView without complex calculations. The signal is directionally correct even if not perfectly precise.
开源脚本
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免责声明
这些信息和出版物并非旨在提供，也不构成TradingView提供或认可的任何形式的财务、投资、交易或其他类型的建议或推荐。请阅读使用条款了解更多信息。
开源脚本
秉承TradingView的精神，该脚本的作者将其开源，以便交易者可以查看和验证其功能。向作者致敬！您可以免费使用该脚本，但请记住，重新发布代码须遵守我们的网站规则。
免责声明
这些信息和出版物并非旨在提供，也不构成TradingView提供或认可的任何形式的财务、投资、交易或其他类型的建议或推荐。请阅读使用条款了解更多信息。