Edge Levels (ES/NQ) - ArchReactor

Sep 15

Credit: I got the idea from here

Edge Levels provides a smart, pre-calculated volatility map for the E-mini S&P 500 — based on the previous session’s close and the closing value of the VIX.

How It Works

It is based on the Expected move formula:
EM = (ES/NQ PrevClose) × (Vol. Idx/100) × √(1/N)

Where:

• ES/NQ PrevClose = Prior daily close on ES/NQ
  
• Vol. Idx = Prior daily close of CBOE Volatility Index (For ES we use VIX and for NQ we use VXN)
  
• N = Number of days (default: 252 or 365)
  - 365 = Calendar-based normalization
  - 252 = Trading day normalization (used by many institutional models)
  

Then this plots 8 support and 8 resistance levels based on Standard Deviation multipliers.

Inputs:
Asset Type: ES/NQ
Manual Override: If this is selected then we can manually enter the close of ES/NQ and VIXVXN
Normalization: 252/365 Days

For Manual Input:

Manual Input – Official Sources
ES Daily Settlement:
👉 cmegroup.com/markets/equities/sp/e-mini-sandp500.settlements.html

NQ Daily Settlement:
👉 cmegroup.com/markets/equities/nasdaq/e-mini-nasdaq-100.settlements.html

VIX Close Value:
👉 cboe.com/us/indices/dashboard/vix/

VXN Close Value:
👉 cboe.com/us/indices/dashboard/vxn/

How to use
Combine it with various confirmations:

• RSI/Stochastic or MFI Divergences.
  
• Higher TF Levels or Supply and Demand Zones.
  
• VWAP /200 ema
  
• Failed breakout setup.
  

Sep 15

Release Notes

Added ability to change Table Location and Table Size.

Sep 15

Release Notes

Fixed small bugs

Sep 17

Release Notes

Prev Close was displaying wrongly , I have fixed that display logic .

Sep 18

Release Notes

Added Additional Symbols ,
QQQ | SPY | SPX | NDX

Note: It needs a volatility correlation , so Nasdaq and S&P have volatility correlation, hence it works best on those indices.

Sep 19

Release Notes

Fixed a bug for closed value at for SPY and other symbols that dont trade ON

Sep 26

Release Notes

Added CL and GC to the mix of assets .

Oct 16

Release Notes

Added RTY, RUT and YM

Oct 17

Release Notes

Some users noticed that the levels moved intraday, I noticed the value of Vix wasnt correctly taking previous day's close. It was taking current intraday value. Changed that.

Oct 17

Release Notes

Updated the title of script

4 days ago

Release Notes

- Added an option to use VX Futures instead of VXN/VIX for NQ/ES
- Updated label from Prev Close to Prev Settlement as that closely represents the levels.