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AlgoXOR

SPY Expected Move by VIX

AlgoXOR Updated   
Historical Volatility Standard Deviation Volume Weighted Average Price (VWAP) SPDR S&P 500 ETF (SPY) VIX CBOE Volatility Index impliedvolatility expectedmove
2288
48
historicalvolatility standarddeviation vwap spy vix impliedvolatility expectedmove
This indicator shows 1 and 2 standard deviation price move from the VWAP based on VIX. Implied Volatility (IV) is being used extensively in the Option world to project the Expected Move for the underlying instrument. VIX is used as a proxy for SPY's IV for 30 days.

This indicator is meaningful only for SPY but can be used in any other instrument which has a strong correlation to SPY.
Release Notes:
Added AAPL, AMZN, GOOG & IBM to use the corresponding VIX.

Added Ability to disable the bands if the VIX is not available.

Minot UI changes.
Release Notes:
Using VIX instead of VIX9D as Tradingview's VIX9D data is delayed
Release Notes:
Simple color tone change.
Release Notes:
Requested by @Jansuperv to have VXX instead of VIX. Now you can configure that from the input panel.
Release Notes:
Added alert on price crossing 3 SD as requested by @acogwell11
Release Notes:
Added weekly option for VWAP as requested by @MacPeroni
Open-source script

In true TradingView spirit, the author of this script has published it open-source, so traders can understand and verify it. Cheers to the author! You may use it for free, but reuse of this code in a publication is governed by House Rules. You can favorite it to use it on a chart.

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.

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