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VIX Implied Move Bands for ES/Emini futures

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.
开源脚本

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评论

This has really helped me. If you have any recommendations for reading around these concepts, let me know. Thank you again
200 代币
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CSC1 mundomedicina
@mundomedicina, Hey thanks for the coins! Honestly don't have too many resources on this, I would read up on the current methodology used to calculate VIX, and googling around can give some more information on how implied volatility can be used to derive an 'expected move' over a specific time horizon.
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I have recently started using these principles on my charting platform and have been having a very high success rate. I personally find a 15 MA with 0.01 multiplier works very well on 5 minute. I also through up a 1.5 and 2 Standard deviation which works great in high volatility environments. I use this in confluence with VWAP vol bands based on IV.
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