OPEN-SOURCE SCRIPT
업데이트됨 VIX Dispersion Overlay Thrasher
VIX Dispersion Signal [Thrasher]
Identifies conditions that historically precede large volatility spikes, based on the methodology published by Andrew Thrasher CMT in Forecasting a Volatility Tsunami (Journal of Technical Analysis, Q4 2017).
Core concept
Rather than treating a low VIX as a sell signal, Thrasher found that the strongest warning comes from measuring the dispersion of the VIX itself — its 20-day standard deviation. When the VIX stops moving and trades in an unusually narrow range, volatility is coiling. The same logic applied to the VVIX (the volatility of the VIX) improves timing further. When both compress simultaneously, the historical record shows a clear edge: nearly every combined signal was followed by a 30%+ VIX spike within 15 trading days, with an average maximum move of +27.5%.
Signal states
🟢 Risk On — both readings above threshold, normal conditions
🟡 Caution — VIX dispersion compressed (≤ 0.86), tighten stops
🟡 Warning — VVIX dispersion compressed (≤ 3.16), reduce exposure
🔴 Tsunami Alert — both thresholds breached simultaneously, raise cash
🔴 Compound Danger — Tsunami Alert firing while VIX is also sub-15, highest historical risk
What's plotted
The overlay script colours your price chart background and marks signal bars with directional triangles. The companion pane script plots the two StdDev lines against their threshold levels, with a scaled VIX level in the background for low-VIX context. A live status table shows current readings for VIX SD, VVIX SD, VIX level, VVIX level, VIX term structure spread (VIX3M − VIX), and days since last signal.
Inputs
All thresholds are adjustable. Thrasher's original values (VIX SD ≤ 0.86, VVIX SD ≤ 3.16) represent the 15th percentile of each series from 2006–2016. A de-clustering filter suppresses repeat signals within a configurable lookback window.
Usage
Add both scripts to any SPX, SPY, or equity index chart on the daily timeframe. Data is sourced directly from CBOE:VIX, CBOE:VVIX, and CBOE:VIX3M via request.security regardless of chart symbol. Five alert conditions are included: combined signal, compound danger, VIX-only, VVIX-only, and the most extreme case — combined signal with simultaneous VIX term structure backwardation.
Reference
Thrasher, A. (2017). Forecasting a Volatility Tsunami. Journal of Technical Analysis, Q4 2017. Thresholds and signal definitions are implemented as described in the original paper and have not been curve-fitted to subsequent data.
Identifies conditions that historically precede large volatility spikes, based on the methodology published by Andrew Thrasher CMT in Forecasting a Volatility Tsunami (Journal of Technical Analysis, Q4 2017).
Core concept
Rather than treating a low VIX as a sell signal, Thrasher found that the strongest warning comes from measuring the dispersion of the VIX itself — its 20-day standard deviation. When the VIX stops moving and trades in an unusually narrow range, volatility is coiling. The same logic applied to the VVIX (the volatility of the VIX) improves timing further. When both compress simultaneously, the historical record shows a clear edge: nearly every combined signal was followed by a 30%+ VIX spike within 15 trading days, with an average maximum move of +27.5%.
Signal states
🟢 Risk On — both readings above threshold, normal conditions
🟡 Caution — VIX dispersion compressed (≤ 0.86), tighten stops
🟡 Warning — VVIX dispersion compressed (≤ 3.16), reduce exposure
🔴 Tsunami Alert — both thresholds breached simultaneously, raise cash
🔴 Compound Danger — Tsunami Alert firing while VIX is also sub-15, highest historical risk
What's plotted
The overlay script colours your price chart background and marks signal bars with directional triangles. The companion pane script plots the two StdDev lines against their threshold levels, with a scaled VIX level in the background for low-VIX context. A live status table shows current readings for VIX SD, VVIX SD, VIX level, VVIX level, VIX term structure spread (VIX3M − VIX), and days since last signal.
Inputs
All thresholds are adjustable. Thrasher's original values (VIX SD ≤ 0.86, VVIX SD ≤ 3.16) represent the 15th percentile of each series from 2006–2016. A de-clustering filter suppresses repeat signals within a configurable lookback window.
Usage
Add both scripts to any SPX, SPY, or equity index chart on the daily timeframe. Data is sourced directly from CBOE:VIX, CBOE:VVIX, and CBOE:VIX3M via request.security regardless of chart symbol. Five alert conditions are included: combined signal, compound danger, VIX-only, VVIX-only, and the most extreme case — combined signal with simultaneous VIX term structure backwardation.
Reference
Thrasher, A. (2017). Forecasting a Volatility Tsunami. Journal of Technical Analysis, Q4 2017. Thresholds and signal definitions are implemented as described in the original paper and have not been curve-fitted to subsequent data.
릴리즈 노트
update 1오픈 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.
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.
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.