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TVB - Thomas Volatility Bands v2.0
TVB – Thomas Volatility Bands v2.0
Author: Thomas Aaroon
Concept: CIV-Driven Volatility Bands with Adaptive Vomma Scaling
Overview
TVB – Thomas Volatility Bands v2.0 is an advanced volatility-adaptive band system built on two core elements:
CIV (Composite Implied Volatility) – manually provided or proxied using an external IV index
Dynamic Vomma Scaling – a higher-order volatility response factor that adjusts band width based on the convexity of implied volatility changes
Together, these components create a continuously adapting volatility envelope that reacts smoothly to market regime shifts.
Key Features
1. Flexible CIV Input
Manual CIV mode: Enter your own CIV value (decimal or %)
Proxy CIV mode: Pulls IV data from INDIA_VIX or any custom IV symbol
Weighted blending: Adjustable α-weight for proxy influence
Automatic normalization ensures stable and bounded CIV values.
2. Adaptive Volatility Engine
CIV is smoothed using EMA for intraday and SMA for higher-timeframes
Vomma coefficient dynamically adjusts based on CIV percentile and short-term CIV volatility
Produces a volatility surface that expands during stress and contracts during calm periods.
3. Time-Scaled Band Construction
Bands automatically scale their width according to:
Timeframe multiplier
Estimated bars-per-day
Annualized volatility normalization (√252 rule)
This ensures consistent volatility geometry across all chart timeframes.
4. Dual-Layer Volatility Bands
Inner Bands (±3σ): Tactical mean-reversion boundaries
Outer Bands (±4σ): Structural deviation zones for extreme price dislocations
Smooth color-coded volatility regimes (low/moderate/high CIV).
5. Re-Entry Logic (34% Rule)
A clean, rule-based mechanism inspired by distributional penetration depth:
Tracks bars that break the ±4σ outer band
Looks for 34% penetration back toward the ±3σ region
Generates optional visual markers (buy/sell re-entry)
Designed to highlight volatility compression opportunities after extreme expansions.
6. Optional CIV Diagnostic Label
Shows:
CIV and smooth CIV
Vomma coefficient
Effective band width
Useful for strategy development and volatility research.
Intended Use
TVB v2.0 is designed for:
Volatility-based trading models
Mean-reversion and re-entry systems
Volatility regime identification
Institutional-grade market structure research
This indicator does not repaint and does not generate trade signals by default (signals can be enabled via optional shapes).
Disclaimer
This tool is for educational and analytical purposes only.
It is not financial advice, and the author is not responsible for any trading outcomes.
Author: Thomas Aaroon
Concept: CIV-Driven Volatility Bands with Adaptive Vomma Scaling
Overview
TVB – Thomas Volatility Bands v2.0 is an advanced volatility-adaptive band system built on two core elements:
CIV (Composite Implied Volatility) – manually provided or proxied using an external IV index
Dynamic Vomma Scaling – a higher-order volatility response factor that adjusts band width based on the convexity of implied volatility changes
Together, these components create a continuously adapting volatility envelope that reacts smoothly to market regime shifts.
Key Features
1. Flexible CIV Input
Manual CIV mode: Enter your own CIV value (decimal or %)
Proxy CIV mode: Pulls IV data from INDIA_VIX or any custom IV symbol
Weighted blending: Adjustable α-weight for proxy influence
Automatic normalization ensures stable and bounded CIV values.
2. Adaptive Volatility Engine
CIV is smoothed using EMA for intraday and SMA for higher-timeframes
Vomma coefficient dynamically adjusts based on CIV percentile and short-term CIV volatility
Produces a volatility surface that expands during stress and contracts during calm periods.
3. Time-Scaled Band Construction
Bands automatically scale their width according to:
Timeframe multiplier
Estimated bars-per-day
Annualized volatility normalization (√252 rule)
This ensures consistent volatility geometry across all chart timeframes.
4. Dual-Layer Volatility Bands
Inner Bands (±3σ): Tactical mean-reversion boundaries
Outer Bands (±4σ): Structural deviation zones for extreme price dislocations
Smooth color-coded volatility regimes (low/moderate/high CIV).
5. Re-Entry Logic (34% Rule)
A clean, rule-based mechanism inspired by distributional penetration depth:
Tracks bars that break the ±4σ outer band
Looks for 34% penetration back toward the ±3σ region
Generates optional visual markers (buy/sell re-entry)
Designed to highlight volatility compression opportunities after extreme expansions.
6. Optional CIV Diagnostic Label
Shows:
CIV and smooth CIV
Vomma coefficient
Effective band width
Useful for strategy development and volatility research.
Intended Use
TVB v2.0 is designed for:
Volatility-based trading models
Mean-reversion and re-entry systems
Volatility regime identification
Institutional-grade market structure research
This indicator does not repaint and does not generate trade signals by default (signals can be enabled via optional shapes).
Disclaimer
This tool is for educational and analytical purposes only.
It is not financial advice, and the author is not responsible for any trading outcomes.
Protected script
This script is published as closed-source. However, you can use it freely and without any limitations – learn more here.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.
Protected script
This script is published as closed-source. However, you can use it freely and without any limitations – learn more here.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.