OPEN-SOURCE SCRIPT
Price Volatility Gauge
Price Volatility Gauge
A price-derived volatility indicator that measures realized price range behavior and presents it in four distinct modes. Unlike implied volatility indicators that require options data, PriceVol works on any asset by analyzing price action alone — making it universally applicable to stocks, indices, forex, crypto, and commodities.
What Makes This Original
This indicator introduces a novel approach to measuring volatility:
How It Works
PriceVol Raw:
Calculates the percentage range between the highest source price and the current low over the lookback period. This gives a raw measure of realized price range as a percentage.
PriceVol Rank:
Normalizes the raw PriceVol value against its own historical range over a longer lookback (default 252 bars). A reading of 80 means current volatility is in the upper 80th percentile of its historical range. Similar concept to IV Rank but derived entirely from price.
PriceVol Percentile:
Uses ta.percentrank() to calculate what percentage of historical readings fall below the current value. Provides a statistical percentile measure of current volatility relative to history.
Volatility Skew Index:
Computes the difference between upside-adjusted and downside-adjusted PriceVol values across three standard deviation multiples. Positive values indicate upside volatility dominance; negative values indicate downside dominance.
Color Coding
For Rank and Percentile modes:
Colors are configurable in settings.
Usage
For options traders: Use PriceVol Rank or Percentile as a proxy for implied volatility regime. Sell premium when the gauge is orange (high volatility), buy premium when aqua (low volatility).
For directional traders: The Volatility Skew Index reveals whether recent price action has been more volatile to the upside or downside, which can inform directional bias.
For risk management: PriceVol Raw provides a simple measure of recent price range that can be used to size positions or set stops relative to current market conditions.
Important Notes
Default Parameters
Recommended Lookback Lengths
A price-derived volatility indicator that measures realized price range behavior and presents it in four distinct modes. Unlike implied volatility indicators that require options data, PriceVol works on any asset by analyzing price action alone — making it universally applicable to stocks, indices, forex, crypto, and commodities.
What Makes This Original
This indicator introduces a novel approach to measuring volatility:
- Standard deviation-adjusted price range — The core PriceVol calculation measures the distance between the highest adjusted price and the lowest adjusted price over a configurable lookback, where the adjustment uses standard deviation multiples (1x, 2x, 3x) applied to both the source and the low series.
- Asymmetric skew measurement — The Volatility Skew Index mode computes the difference between upside and downside volatility by averaging the 1x, 2x, and 3x standard deviation adjustments separately for each direction. A positive skew indicates greater upside volatility; a negative skew indicates greater downside volatility.
- Four display modes in one tool — A single indicator that can show raw volatility, ranked volatility, percentile volatility, or directional skew, eliminating the need for multiple separate indicators.
How It Works
PriceVol Raw:
Calculates the percentage range between the highest source price and the current low over the lookback period. This gives a raw measure of realized price range as a percentage.
PriceVol Rank:
Normalizes the raw PriceVol value against its own historical range over a longer lookback (default 252 bars). A reading of 80 means current volatility is in the upper 80th percentile of its historical range. Similar concept to IV Rank but derived entirely from price.
PriceVol Percentile:
Uses ta.percentrank() to calculate what percentage of historical readings fall below the current value. Provides a statistical percentile measure of current volatility relative to history.
Volatility Skew Index:
Computes the difference between upside-adjusted and downside-adjusted PriceVol values across three standard deviation multiples. Positive values indicate upside volatility dominance; negative values indicate downside dominance.
Color Coding
For Rank and Percentile modes:
- Orange — Above 50 (inside high volatility regime). Markets are volatile; premiums are elevated.
- Aqua — Below 50 (outside high volatility regime). Markets are calmer; premiums are lower.
Colors are configurable in settings.
Usage
For options traders: Use PriceVol Rank or Percentile as a proxy for implied volatility regime. Sell premium when the gauge is orange (high volatility), buy premium when aqua (low volatility).
For directional traders: The Volatility Skew Index reveals whether recent price action has been more volatile to the upside or downside, which can inform directional bias.
For risk management: PriceVol Raw provides a simple measure of recent price range that can be used to size positions or set stops relative to current market conditions.
Important Notes
This indicator measures realized price volatility using standard deviation adjustments. It is not implied volatility from the options market. The terms "Rank" and "Percentile" refer to the statistical ranking of the price-derived volatility measure against its own history — not options IV Rank or IV Percentile. This distinction is important for traders who use both price and options data.
Default Parameters
- Source: Close
- Display Mode: PriceVol Rank
- PriceVol Length: 22
- Rank/Percentile Length: 252
- Inside High Volatility Color: Orange (above 50)
- Outside High Volatility Color: Aqua (below 50)
Recommended Lookback Lengths
- 9 — Short-term (roughly 2 weeks)
- 22 — Medium-term (roughly 1 month, default)
- 66 — Quarterly
- 132 — Semi-annual
- 252 — Annual
Skrypt open-source
W zgodzie z duchem TradingView twórca tego skryptu udostępnił go jako open-source, aby użytkownicy mogli przejrzeć i zweryfikować jego działanie. Ukłony dla autora. Korzystanie jest bezpłatne, jednak ponowna publikacja kodu podlega naszym Zasadom serwisu.
Wyłączenie odpowiedzialności
Informacje i publikacje nie stanowią i nie powinny być traktowane jako porady finansowe, inwestycyjne, tradingowe ani jakiekolwiek inne rekomendacje dostarczane lub zatwierdzone przez TradingView. Więcej informacji znajduje się w Warunkach użytkowania.
Skrypt open-source
W zgodzie z duchem TradingView twórca tego skryptu udostępnił go jako open-source, aby użytkownicy mogli przejrzeć i zweryfikować jego działanie. Ukłony dla autora. Korzystanie jest bezpłatne, jednak ponowna publikacja kodu podlega naszym Zasadom serwisu.
Wyłączenie odpowiedzialności
Informacje i publikacje nie stanowią i nie powinny być traktowane jako porady finansowe, inwestycyjne, tradingowe ani jakiekolwiek inne rekomendacje dostarczane lub zatwierdzone przez TradingView. Więcej informacji znajduje się w Warunkach użytkowania.