OPEN-SOURCE SCRIPT
Expected Move Bands
Every options desk opens the week with the same question: how far is this thing supposed to travel by Friday? The answer is already priced. Implied vol is the market's own estimate of the coming move, and you can read it straight off the chart instead of running the math in your head.
This draws that estimate as bands around price. It anchors to the open of each week, or month, and holds the bands flat across the period, the way a desk marks its expected range on Monday morning and watches price work inside it.
The inner band is one standard deviation. If the market's vol read is right, price closes inside it about two times out of three. The wider band is two sigma, the tail. When price breaks the one-sigma band and holds out there, that is range expansion, the move getting repriced while it happens.
The bands are fed by whichever volatility index belongs to the instrument you are charting -- GVZ if it is gold, OVX for crude, VXN on the Nasdaq, DVOL on bitcoin, VIX on the S&P. The dashboard names the one it picked. That is the only case where implied vol is actually observed.
Where no such index exists, the bands are derived instead: a reference index scaled by the ratio of this instrument's realized vol to the reference's. The level and the event risk still come from a real options series and only the ratio is estimated, and the dashboard marks it DERIVED. It cannot see risk specific to one instrument, such as a single name going into its own earnings.
Where neither is possible nothing is drawn and the dashboard says why. There is no realized-vol fallback, deliberately: a backward-looking estimate diverges from traded implied vol exactly in the regimes you would open this for. Into a known event, implied rises while realized is still asleep. After a shock, realized stays elevated while implied mean-reverts. A band I cannot stand behind does not get drawn.
The dashboard shows the IV source and which tier it came from, the live IV, the expected move in points and percent, and the exact levels. Labels print the prices on the chart. Alerts fire when price closes outside one sigma or tags two.
Read the band correctly: an expected move is a probability statement, not a boundary. Price closing outside the one-sigma band roughly a third of the time is the model working, not failing. The realized-vol ratio behind derived mode is measured on daily bars, so it does not shift when you change chart timeframe.
This draws that estimate as bands around price. It anchors to the open of each week, or month, and holds the bands flat across the period, the way a desk marks its expected range on Monday morning and watches price work inside it.
The inner band is one standard deviation. If the market's vol read is right, price closes inside it about two times out of three. The wider band is two sigma, the tail. When price breaks the one-sigma band and holds out there, that is range expansion, the move getting repriced while it happens.
The bands are fed by whichever volatility index belongs to the instrument you are charting -- GVZ if it is gold, OVX for crude, VXN on the Nasdaq, DVOL on bitcoin, VIX on the S&P. The dashboard names the one it picked. That is the only case where implied vol is actually observed.
Where no such index exists, the bands are derived instead: a reference index scaled by the ratio of this instrument's realized vol to the reference's. The level and the event risk still come from a real options series and only the ratio is estimated, and the dashboard marks it DERIVED. It cannot see risk specific to one instrument, such as a single name going into its own earnings.
Where neither is possible nothing is drawn and the dashboard says why. There is no realized-vol fallback, deliberately: a backward-looking estimate diverges from traded implied vol exactly in the regimes you would open this for. Into a known event, implied rises while realized is still asleep. After a shock, realized stays elevated while implied mean-reverts. A band I cannot stand behind does not get drawn.
The dashboard shows the IV source and which tier it came from, the live IV, the expected move in points and percent, and the exact levels. Labels print the prices on the chart. Alerts fire when price closes outside one sigma or tags two.
Read the band correctly: an expected move is a probability statement, not a boundary. Price closing outside the one-sigma band roughly a third of the time is the model working, not failing. The realized-vol ratio behind derived mode is measured on daily bars, so it does not shift when you change chart timeframe.
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.
Public, timestamped track record. Free month of the desk: ivanlabrie.netlify.app
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
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.
Public, timestamped track record. Free month of the desk: ivanlabrie.netlify.app
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.