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FRESH Volatility Regime & Range
FRESH Volatility Regime & Range
A single dashboard that answers two questions I ask before every session: is the market coiled or stretched right now, and where is price relative to the move the options market expects today?
Why I built it
Most range tools are static — a fixed ATR band, yesterday's range, a round-number grid. But volatility isn't static. Some sessions open compressed and need to expand; others open already stretched and tend to revert. And a "big" move on a calm day is a normal move on a high-VIX day. I kept switching between three things to read this — opening-range expansion, an ATR sense of "normal," and the VIX-implied expected move — so I combined them into one overlay with a plain-language regime read.
It does two things together:
Plus Midnight Open and Settlement reference lines, and a summary dashboard.
What it plots
How to read it
How to use it (scenarios)
This is a context / framing tool, not a buy‑sell signal generator. It tells you what kind of day you're likely in so your own setups are taken in the right regime.
The VIX setting
The bands are sized by the expected move: EM = sessionOpen × (VIX / 100) ÷ √252. That's the "rule of 16" — VIX is annualized implied volatility, and dividing by √252 converts it to a one‑day, one‑standard‑deviation move. At VIX 16 the ±1x band is roughly ±1% from the open; at VIX 32, ~±2%. So the envelope auto‑widens when implied vol is high and tightens when it's low — a volatility‑scaled "fair range for today," not a fixed ATR.
VIX at anchor (default) vs Use live VIX:
I recommend leaving it on anchor for clean levels; turn on live VIX only if you specifically want the envelope to track current volatility through the session. (Note: VIX only updates during cash hours, so if you anchor at the Globex/overnight open, the anchor value is effectively the prior cash‑session VIX; anchoring at the regular‑session open uses a fresh value.)
Inputs worth knowing
Notes
by oxkit (kitar.co/fresh)
A single dashboard that answers two questions I ask before every session: is the market coiled or stretched right now, and where is price relative to the move the options market expects today?
Why I built it
Most range tools are static — a fixed ATR band, yesterday's range, a round-number grid. But volatility isn't static. Some sessions open compressed and need to expand; others open already stretched and tend to revert. And a "big" move on a calm day is a normal move on a high-VIX day. I kept switching between three things to read this — opening-range expansion, an ATR sense of "normal," and the VIX-implied expected move — so I combined them into one overlay with a plain-language regime read.
It does two things together:
- Regime classification — it measures the realized Initial Balance (IB) range for three windows (Weekly, Daily, Pre‑NY) and compares each to ATR, bucketing the session as COMPRESSED → BALANCED → EXPANDED → STRETCHED. It also reads a VIX state (VOL CRUSH / STABLE / RISING / SHOCK) and rolls everything into a composite regime (e.g. MULTI‑TF COILED, BALANCED AUCTION, LATE EXPANSION, STRETCHED RISK).
- Volatility Range — a VIX‑implied expected‑move envelope anchored at the session open: a midline plus bands at ±0.25, ±0.9, and ±1.0× the day's expected move, with the prior session's ±1x shown faintly for reference.
Plus Midnight Open and Settlement reference lines, and a summary dashboard.
What it plots
- IB High/Low lines — Daily IB (09:30–10:30), Pre‑NY IB (04:00–09:30), Weekly IB (optional). The boundaries of each opening range; classic support/resistance and breakout levels. Each line is labeled.
- Volatility Range bands — MID (session open) and ±0.25 / ±0.9 / ±1.0× the VIX‑implied expected move, above and below, each labeled.
- Midnight Open & Settlement reference lines.
- Dashboard — Weekly / Daily / Pre‑NY regime, VIX state, Volatility Range state, and the composite regime at a glance.
How to read it
- Compressed / coiled → the market hasn't used its expected range; favor expansion / breakout scenarios. Stretched → it has run hot; favor mean‑reversion / exhaustion.
- Volatility Range zones: Inside ±0.25 (INNER) — price near fair value; rotational / mean‑reversion bias. Between 0.25 and 1.0× (INSIDE 1x) — a normal day's travel. At / beyond ±1.0× (BEYOND 1x) price has used a full expected move; these edges often act as inflection points (reversal on quiet days, or a continuation shelf on trend days — read the context).
- IB High/Low — break and hold beyond an IB edge often flips it to support/resistance in the breakout direction; rejection there is a fade.
- Composite regime (dashboard) is the one‑line summary to frame everything else.
How to use it (scenarios)
- Reversion: price pushes into a lower band / IB low and stalls — look for absorption or your own confirmation for a fade back toward the mid.
- Breakout: price clears an IB high or the +1x band with conviction; on the retest that level can flip to support for a continuation.
- Expected‑move context: in a high‑VIX session the ±1x bands sit far apart — give moves room; in a VOL‑CRUSH session they're tight — expect smaller, choppier travel.
This is a context / framing tool, not a buy‑sell signal generator. It tells you what kind of day you're likely in so your own setups are taken in the right regime.
The VIX setting
The bands are sized by the expected move: EM = sessionOpen × (VIX / 100) ÷ √252. That's the "rule of 16" — VIX is annualized implied volatility, and dividing by √252 converts it to a one‑day, one‑standard‑deviation move. At VIX 16 the ±1x band is roughly ±1% from the open; at VIX 32, ~±2%. So the envelope auto‑widens when implied vol is high and tightens when it's low — a volatility‑scaled "fair range for today," not a fixed ATR.
VIX at anchor (default) vs Use live VIX:
- VIX at anchor (default) — the VIX value is sampled once, at the session‑open anchor, and frozen for the whole session. The expected move (and the bands) are computed once and stay put. This is intentional: the day's expected move is what's priced in at the open, like a settlement‑based expectation, and freezing it gives you stable, non‑repainting reference levels and a clean "how much of the expected move is used" ratio.
- Use live VIX (optional) — recomputes the expected move every bar from the current VIX, so the bands drift intraday as vol changes. More "current," but the levels move around (effectively repaint), which makes them less reliable as fixed targets.
I recommend leaving it on anchor for clean levels; turn on live VIX only if you specifically want the envelope to track current volatility through the session. (Note: VIX only updates during cash hours, so if you anchor at the Globex/overnight open, the anchor value is effectively the prior cash‑session VIX; anchoring at the regular‑session open uses a fresh value.)
Inputs worth knowing
- Anchor mode — Globex Open or Pit (RTH) Open for the Volatility Range midline.
- VIX source — auto (live VIX symbol) or a manual value, plus the anchor/live toggle above.
- IB sessions — the Daily / Pre‑NY / Weekly windows are configurable.
- Display — toggle each component (IB lines, Volatility Range, Midnight/Settlement, dashboard, labels) and set the Line Label Size (Tiny → Huge).
Notes
- Designed for the 30‑minute chart. I run it on 30m — the IB windows and snapshot timing are calibrated for it (the Daily‑IB read confirms on the 10:30–11:00 bar close, the RTH‑close read on the 16:00–16:30 bar close). It will draw on other timeframes, but 30m is the intended view.
- Built for ES / index futures (and instruments where a VIX‑style implied‑vol input makes sense). A VIX (or equivalent) series is required for the Volatility Range.
- Levels are anchored per session and reset at the session boundary.
- For education / market context only — not financial advice. Test it on your instrument and timeframe before relying on it.
by oxkit (kitar.co/fresh)
Open-source Skript
Ganz im Sinne von TradingView hat dieser Autor sein/ihr Script als Open-Source veröffentlicht. Auf diese Weise können nun auch andere Trader das Script rezensieren und die Funktionalität überprüfen. Vielen Dank an den Autor! Sie können das Script kostenlos verwenden, aber eine Wiederveröffentlichung des Codes unterliegt unseren Hausregeln.
Haftungsausschluss
Die Informationen und Veröffentlichungen sind nicht als Finanz-, Anlage-, Handels- oder andere Arten von Ratschlägen oder Empfehlungen gedacht, die von TradingView bereitgestellt oder gebilligt werden, und stellen diese nicht dar. Lesen Sie mehr in den Nutzungsbedingungen.
Open-source Skript
Ganz im Sinne von TradingView hat dieser Autor sein/ihr Script als Open-Source veröffentlicht. Auf diese Weise können nun auch andere Trader das Script rezensieren und die Funktionalität überprüfen. Vielen Dank an den Autor! Sie können das Script kostenlos verwenden, aber eine Wiederveröffentlichung des Codes unterliegt unseren Hausregeln.
Haftungsausschluss
Die Informationen und Veröffentlichungen sind nicht als Finanz-, Anlage-, Handels- oder andere Arten von Ratschlägen oder Empfehlungen gedacht, die von TradingView bereitgestellt oder gebilligt werden, und stellen diese nicht dar. Lesen Sie mehr in den Nutzungsbedingungen.