Conchobhair

@WACC Volatility Weighted PUT/CALL Positions [SPX]

This indicator is based on Volatility and Market Sentiment. When volatility is high, and market sentiment is positive, the indicator is in a low or 'buy state'. When volatility is low and market sentiment is poor, the indicator is high.

The indicator uses the VIX as it's volatility input.

The indicator uses the spread between the Call Volume on SPX / SPY and the Put Volume .

This is pulled from CVSPX and PVSPX.

When volatility and put/call reaches a critical level, such as the levels present in a crisis or a sell off, the line will be green. See Sept 2015, 2008, and Feb 2018.

This level can be edited in the source code.


As the indicator is based on Put/Call, the indicator works best on larger time frames as the put/call ratio becomes a more discernible measure of sentiment over time.

Script open-source

Nello spirito di condivisione promosso da TradingView, l'autore (al quale vanno i nostri ringraziamenti) ha deciso di pubblicare questo script in modalità open-source, così che chiunque possa comprenderlo e testarlo. Puoi utilizzarlo gratuitamente, ma il riutilizzo del codice è subordinato al rispetto del Regolamento. Per aggiungerlo al grafico, mettilo tra i preferiti.

Vuoi usare questo script sui tuoi grafici?

Commenti

Thanks for sharing this! Dissecting the code now.

How did you create/find this code? What was your methodology?

Most importantly, how would I go about interpreting the current readings on the SPX? Looks fairly extreme lol.
+2 Rispondi