OPEN-SOURCE SCRIPT
更新済 IV Probability Ranges - Suite
IV Probability Ranges
IV Probability Ranges is a volatility-based range and market-behavior study. It uses the selected implied-volatility index to build a projected range around the opening price of each day, week, month, quarter, half-year, or year.
The script divides that range into configurable levels and tracks how price historically behaved around them.
Main features:
How the statistics work:
“Reach” shows how often price touched a level during completed historical periods.
After a level is reached, the script also records whether price moved back to the nearest inner level or continued to the nearest outer level first.
The optional first-touch section compares matching upper and lower levels and records whether the upside, downside, or neither side was reached first.
All statistics are calculated from completed periods using the available chart history and selected sample size.
How to use it
Choose a period and the volatility index most relevant to the chart symbol. Adjust the range divisions, extension levels, and sample size as needed.
The tool can be used to:
Limitations:
Originality
The script combines implied-volatility ranges, historical level-reach statistics, reversion-versus-continuation tracking, first-touch analysis, breach statistics, and prior-period VWAP references into one configurable study.
The Pine implementation and combined feature set were developed for this publication. The underlying concepts of implied volatility, standard deviations, and VWAP are established market concepts.
Version note
This script replaces an older publication with a similar title, but it is not a minor revision or repackaged version of that script.
The underlying modeling engine was substantially redesigned and expanded. The new version uses a different statistical framework and adds rolling historical samples, level-specific reach analysis, conditional reversion-versus-continuation tracking, first-touch race statistics, extended range modeling, breach and return analysis, and period-matched VWAP references.
Because the new script functions differently from the prior model, and because TradingView’s Update feature does not allow the publication title to be changed, it was released as a separate script. The older publication was marked as deprecated so users would not continue relying on the obsolete version.
Future revisions to this model will be published through the Update feature.
IV Probability Ranges is a volatility-based range and market-behavior study. It uses the selected implied-volatility index to build a projected range around the opening price of each day, week, month, quarter, half-year, or year.
The script divides that range into configurable levels and tracks how price historically behaved around them.
Main features:
- Implied-volatility range centered on the period open
- Support for VIX, VXN, RVX, VXD, GVZ, OVX, VXFXI, VXEEM, VXTYN, and VXEW
- Daily through annual range periods
- Configurable divisions inside the main range
- Additional standard-deviation and extension levels
- Historical reach rates for each upper and lower level
- Reversion-versus-continuation statistics after a level is reached
- First-touch statistics showing whether the upper or lower side was reached first
- Box breach, return-to-open, and close-back-inside statistics
- Optional prior-period VWAP and VWAP deviation references
- Adjustable rolling sample size
How the statistics work:
“Reach” shows how often price touched a level during completed historical periods.
After a level is reached, the script also records whether price moved back to the nearest inner level or continued to the nearest outer level first.
The optional first-touch section compares matching upper and lower levels and records whether the upside, downside, or neither side was reached first.
All statistics are calculated from completed periods using the available chart history and selected sample size.
How to use it
Choose a period and the volatility index most relevant to the chart symbol. Adjust the range divisions, extension levels, and sample size as needed.
The tool can be used to:
- Compare the current move with the implied range
- Identify historically common or uncommon price extensions
- Study whether price tended to revert or continue after reaching a level
- Compare upside and downside first-touch behavior
- Add volatility context to another trading method
Limitations:
- This script is a research and context tool, not a trading system.
- Historical results depend on the selected symbol, timeframe, volatility index, settings, chart history, and sample size. Implied volatility does not guarantee that price will remain inside a range or reach a specific level.
- Historical bars also do not always reveal the exact intrabar order of events, so some same-bar situations require a consistent tie-breaking assumption.
- VWAP features require usable volume data.
Originality
The script combines implied-volatility ranges, historical level-reach statistics, reversion-versus-continuation tracking, first-touch analysis, breach statistics, and prior-period VWAP references into one configurable study.
The Pine implementation and combined feature set were developed for this publication. The underlying concepts of implied volatility, standard deviations, and VWAP are established market concepts.
Version note
This script replaces an older publication with a similar title, but it is not a minor revision or repackaged version of that script.
The underlying modeling engine was substantially redesigned and expanded. The new version uses a different statistical framework and adds rolling historical samples, level-specific reach analysis, conditional reversion-versus-continuation tracking, first-touch race statistics, extended range modeling, breach and return analysis, and period-matched VWAP references.
Because the new script functions differently from the prior model, and because TradingView’s Update feature does not allow the publication title to be changed, it was released as a separate script. The older publication was marked as deprecated so users would not continue relying on the obsolete version.
Future revisions to this model will be published through the Update feature.
リリースノート
- Added a momentum mode, which allows the user some additional sets of conditional probabilities.
The following is an eli5 for its usage:
The Expected Box
Imagine the stock market draws a box on your chart at the start of every week. The top and bottom lines are the market's best guess for how far the price will wander up or down. The middle line is just where the week started.
The Ladder Steps
The script cuts this box into steps like a ladder (such as 25%, 50%, 75%, and 100% of the expected move). Then, it looks back at hundreds of past weeks to see what happened whenever the price touched those steps.
It tracks three main outcomes for each step:
- Revert: The price hits the step and turns back toward the middle.
- Continue: The price hits the step and keeps running further out.
- None: The price hits the step and just sits there until the week ends.
The Movie Matcher (The Best Part)
Normally, trading tools lump every single past week together. This script has a special switch called Momentum Override.
If the price starts this week by hitting the first step and then the second step, you can turn this switch on. The script instantly throws away all the boring, normal weeks in its database. It looks only at past weeks that started with that exact same pattern. It is like telling the chart: "I have seen the beginning of this movie before. Show me how it usually ended."
The Sample Size Catch
You can choose how many opening steps you want to match. If you try to match a long, specific sequence of five steps, you might only find two or three weeks in all of history that look like today. That is too small to trust. It is much better to match just one or two steps so you have a big, reliable group of past weeks to look at.
How to Trade With It
At the start of the week, you look at the box to see the general boundaries. As the price begins to move and leaves its first footprints, you turn on the override switch. If the history shows that weeks starting like this one usually break out instead of reversing, you know it is dangerous to bet against the trend. It does not predict the future, but it tells you the mathematical odds based on real history.
オープンソーススクリプト
TradingViewの精神に則り、このスクリプトの作者はコードをオープンソースとして公開してくれました。トレーダーが内容を確認・検証できるようにという配慮です。作者に拍手を送りましょう！無料で利用できますが、コードの再公開はハウスルールに従う必要があります。
免責事項
これらの情報および投稿は、TradingViewが提供または承認する金融、投資、取引、またはその他の種類の助言もしくは推奨であることを意図したものではなく、またこれらに該当するものでもありません。詳細は利用規約をご覧ください。
オープンソーススクリプト
TradingViewの精神に則り、このスクリプトの作者はコードをオープンソースとして公開してくれました。トレーダーが内容を確認・検証できるようにという配慮です。作者に拍手を送りましょう！無料で利用できますが、コードの再公開はハウスルールに従う必要があります。
免責事項
これらの情報および投稿は、TradingViewが提供または承認する金融、投資、取引、またはその他の種類の助言もしくは推奨であることを意図したものではなく、またこれらに該当するものでもありません。詳細は利用規約をご覧ください。