SPY/SPX Expected Move + Session Levels

📊 Expected Move + Session Levels (SPY / SPX)
Plots the day's expected move band plus the key session levels — automatic, refreshed daily before the open, nothing to enter or maintain.

🔹 Draws: Expected Move High/Low (the one-standard-deviation daily range implied by options pricing, anchored at the prior close), Prior Day High/Low, and Overnight High/Low (from the ES futures overnight session, rescaled to your chart). Optional shaded band and info table.

⚙️ Settings: every level toggles on/off individually; colors, line width, and label size are adjustable. The overnight source, session window, and IV index can be changed, and setting Horizon to 5 with VIX approximates the weekly move. Best on intraday timeframes.

⚠️ Note: the expected move is a statistical estimate, not a boundary — price is expected to close inside the band roughly two days out of three, and beyond it roughly one in three. Treat the edges as context, not walls; the market will go where it chooses. All levels are built from CBOE volatility indices, daily session data, and CME ES futures. Informational only, not trading advice.

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update chart to daily

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no code changes - Reminder that on the expected move: it's a probability range, not a promise. Options pricing implies price closes inside the band about two days out of three — which means it breaks roughly one day in three, and that's completely normal. Use it as context for your trades, not as a wall to lean on. Your plan, your levels, your risk rules always come first.

Not financial advice. Trade your own plan and manage your own risk.

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Update: Overnight High/Low now hold steady through the session — the futures-to-chart conversion locks in at the cash open instead of adjusting tick by tick

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Updates

Expected move now locks at the cash open — one fixed band per session (tracks live IV premarket, so pre-open data releases are reflected)
Overnight High/Low hold steady through the session — the futures-to-chart conversion locks at the open instead of adjusting tick by tick

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Updates:
*Expected move lock improved — the band now reliably freezes once per session
*Info table timestamp confirms live refresh
*Timestamp updated with refresh

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Added "Band Update Mode" setting to script

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Expected move now locks for the full session using the prior close of the volatility index — one fixed, consistent band per day across all charts and timeframes.

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regular update

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"As of" timestamp switched to CT; overnight ONH/ONL now latch at the cash open (no more intraday repaint) and are hidden by default as ES-derived estimates

오픈 소스 스크립트

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janicetrades

Janice Trades — free daily ES + NQ market reads. Substack + Discord. @janicetrades · janicetrades.substack.com/

면책사항

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오픈 소스 스크립트

janicetrades

Janice Trades — free daily ES + NQ market reads. Substack + Discord. @janicetrades · janicetrades.substack.com/