OPEN-SOURCE SCRIPT

VRP IV vs Realised Vol

**Indicator name:** VRP — IV vs Realised Vol

---

**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.

---

**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.

---

**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 |

---

**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.

오픈 소스 스크립트

트레이딩뷰의 진정한 정신에 따라, 이 스크립트의 작성자는 이를 오픈소스로 공개하여 트레이더들이 기능을 검토하고 검증할 수 있도록 했습니다. 작성자에게 찬사를 보냅니다! 이 코드는 무료로 사용할 수 있지만, 코드를 재게시하는 경우 하우스 룰이 적용된다는 점을 기억하세요.

distinctSeahor20287

면책사항

해당 정보와 게시물은 금융, 투자, 트레이딩 또는 기타 유형의 조언이나 권장 사항으로 간주되지 않으며, 트레이딩뷰에서 제공하거나 보증하는 것이 아닙니다. 자세한 내용은 이용 약관을 참조하세요.

오픈 소스 스크립트

distinctSeahor20287