VIX/VOLI Ratio

2022年11月28日

We all know VIX . But what is VOLI ?
VOLI is basically a measure of expectations for market volatility over the next 30 calendar days as expressed by ATM options on SPY
https://nations.com/wp-content/uploads/2020/01/Nations-Large-Cap-VolDex-Index.pdf

So why is this VIX /VOLI ratio important? It's because it can give an important measure of options skew.
It can show the premium of OTM options (particularly puts) over ATM.
It can show if traders are interested in owning wings in SPY

Not a lot of info can be taken by just looking at the ratio as a standalone nominal value. Plus, the ratio is noisy and spotting a clear trend can be hard.

For these reasons, I decided to code this indicator (which is best used on the Daily chart).
I added two EMA clouds, 7 and 12 and color code them with respect to their positions. If 7 > 12, cloud will be green. If 7 < 12, cloud will be red. This will give a better view of how the ratio is trending.
I then added a lookback period that can be changed from the indicator's setting (along with the fast and slow EMAs).
The lookback period will be used to get the following parameters:
- highest value
- lowest value
- 10th, 30th, 50th, 70th and 90th percentiles
- Percentile Rank
- Average, Median and Mode

Having all these values in a table will give a better idea of where the current ratio sits.