This script uses the close of the VIX
on a daily resolution
to provide the 'implied move' for the E-mini SP500 futures
. While it can be applied to any equity index, it's crucial to know that the VIX
is calculated using SPX
options, and may not reflect the implied volatility
of other indices. The user can adjust the length of the moving average used to calculate the bands, the window of days used to calculate the implied move, and the multiplier that effects the width of the bands.