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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
Mã nguồn mở
Theo đúng tinh thần TradingView, tác giả của tập lệnh này đã công bố nó dưới dạng mã nguồn mở, để các nhà giao dịch có thể xem xét và xác minh chức năng. Chúc mừng tác giả! Mặc dù bạn có thể sử dụng miễn phí, hãy nhớ rằng việc công bố lại mã phải tuân theo Nội quy.
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/
Thông báo miễn trừ trách nhiệm
Thông tin và các ấn phẩm này không nhằm mục đích, và không cấu thành, lời khuyên hoặc khuyến nghị về tài chính, đầu tư, giao dịch hay các loại khác do TradingView cung cấp hoặc xác nhận. Đọc thêm tại Điều khoản Sử dụng.
Mã nguồn mở
Theo đúng tinh thần TradingView, tác giả của tập lệnh này đã công bố nó dưới dạng mã nguồn mở, để các nhà giao dịch có thể xem xét và xác minh chức năng. Chúc mừng tác giả! Mặc dù bạn có thể sử dụng miễn phí, hãy nhớ rằng việc công bố lại mã phải tuân theo Nội quy.
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/
Thông báo miễn trừ trách nhiệm
Thông tin và các ấn phẩm này không nhằm mục đích, và không cấu thành, lời khuyên hoặc khuyến nghị về tài chính, đầu tư, giao dịch hay các loại khác do TradingView cung cấp hoặc xác nhận. Đọc thêm tại Điều khoản Sử dụng.