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VIX-VIXEQ Regime Detector
The VIX-VIXEQ Regime Detector is an market structure indicator that compares the CBOE Volatility Index (VIX) with the CBOE S&P 500 Equal Weight Volatility Index (VIXEQ) to identify distinct market volatility regimes.
It analyses the relationship between index-level and constituent-level volatility, and helps investors to detect regime changes that often precede major market moves.
Credits: Idea suggested by m_chromatic Thanks a lot!
What It Measures
When VIXEQ rises faster than VIX (ratio > 1.0), it indicates that constituent stocks are experiencing higher volatility than the index itself. This divergence often signals:
Five Market Regimes in the Indicator
The indicator uses adaptive thresholds based on rolling statistics to classify markets into five distinct regimes:
🔵 CONCENTRATION (Ratio < threshold): Mega-cap dominance, Low dispersion, Healthy market structure
🟢 NORMAL (Ratio near mean): Balanced volatility, Healthy market conditions, Standard risk environment
🟡 ELEVATED (Ratio moderately above mean), Early warning signal, Rising constituent stress, Watch for deterioration
🟠 DISPERSION (Ratio significantly above mean), Broad market stress, Elevated constituent volatility, Defensive positioning warranted
🔴 SYSTEMIC (Ratio > 1.5σ above mean), Crisis conditions, Extreme constituent stress, High mean reversion potential
The indicator includes z-score calculations to measure how extreme the current spread is relative to historical norms.
Recommended Timeframe
Technical Notes
It analyses the relationship between index-level and constituent-level volatility, and helps investors to detect regime changes that often precede major market moves.
Credits: Idea suggested by m_chromatic Thanks a lot!
What It Measures
- VIX measures implied volatility of S&P 500 index options (cap-weighted, dominated by mega-cap stocks)
- VIXEQ measures implied volatility of equal-weighted S&P 500 constituents (reflects broader market volatility)
- The ratio between these two metrics reveals whether volatility is concentrated in mega-caps or dispersed across the broader market.
When VIXEQ rises faster than VIX (ratio > 1.0), it indicates that constituent stocks are experiencing higher volatility than the index itself. This divergence often signals:
- Increased market stress
- Breakdown in correlation
- Potential regime transitions
- Mean reversion opportunities
Five Market Regimes in the Indicator
The indicator uses adaptive thresholds based on rolling statistics to classify markets into five distinct regimes:
🔵 CONCENTRATION (Ratio < threshold): Mega-cap dominance, Low dispersion, Healthy market structure
🟢 NORMAL (Ratio near mean): Balanced volatility, Healthy market conditions, Standard risk environment
🟡 ELEVATED (Ratio moderately above mean), Early warning signal, Rising constituent stress, Watch for deterioration
🟠 DISPERSION (Ratio significantly above mean), Broad market stress, Elevated constituent volatility, Defensive positioning warranted
🔴 SYSTEMIC (Ratio > 1.5σ above mean), Crisis conditions, Extreme constituent stress, High mean reversion potential
The indicator includes z-score calculations to measure how extreme the current spread is relative to historical norms.
Recommended Timeframe
- Daily (1D): Optimal for most use cases - balances signal quality with responsiveness
- Weekly (1W): For macro positioning and long-term regime context
- 4-Hour: Not recommended - too noisy for structural regime analysis
Technical Notes
- Uses request.security() to fetch VIX and VIXEQ data
- Ratio is scaled by (ratio - 1) × 10 for chart visibility alongside spread
- Actual ratio values are displayed in the table and labels
- Adaptive thresholds recalculate on every bar based on rolling statistics
- All regime classifications update in real-time
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Hedge Fund Manager at Maverick Capital | Wealth Educator | 20+ yrs investing | Stocks, ETFs & Crypto alerts | Join Henrique Wealth Academy for trade alerts & indicators → skool.com/be-limitless/
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開源腳本
秉持TradingView一貫精神，這個腳本的創作者將其設為開源，以便交易者檢視並驗證其功能。向作者致敬！您可以免費使用此腳本，但請注意，重新發佈代碼需遵守我們的社群規範。
Hedge Fund Manager at Maverick Capital | Wealth Educator | 20+ yrs investing | Stocks, ETFs & Crypto alerts | Join Henrique Wealth Academy for trade alerts & indicators → skool.com/be-limitless/
免責聲明
這些資訊和出版物並非旨在提供，也不構成TradingView提供或認可的任何形式的財務、投資、交易或其他類型的建議或推薦。請閱讀使用條款以了解更多資訊。