voided

vol_premia

This script shows the volatility risk premium for several instruments. The premium is simply "IV30 - RV20". Although Tradingview doesn't provide options prices, CBOE publishes 30-day implied volatilities for many instruments (most of which are VIX variations). CBOE calculates these in a standard way, weighting at- and out-of-the-money IVs for options that expire in 30 days, on average. For realized volatility , I used the standard deviation of log returns. Since there are twenty trading periods in 30 calendar days, IV30 can be compared to RV20. The "premium" is the difference, which reflects market participants' expectation for how much upcoming volatility will over- or under-shoot recent volatility .

The script loads pretty slow since there are lots of symbols, so feel free to delete the ones you don't care about. Hopefully the code is straightforward enough. I won't list the meaning of every symbols here, since I might change them later, but you can type them into tradingview for data, and read about their volatility index on CBOE's website. Some of the more well-known ones are:

ES: S&P futures , which I prefer to the SPX index). Its implied volatility is VIX .
USO: the oil ETF representing WTI future prices. Its IV is OVX .
GDX: the gold miner's ETF , which is usually more volatile than gold . Its IV is VXGDX.
FXI: a china ETF , whose volatility is VXFXI .

And so on. In addition to the premium, the "percentile" column shows where this premium ranks among the previous 252 trading days. 100 = the highest premium, 0 = the lowest premium.
Note di rilascio: fixed the single-stock percentiles and changed a color
Note di rilascio: moved table to the middle so it doesn't interfere with other stuff on the screen
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.

Declinazione di responsabilità

Le informazioni ed i contenuti pubblicati non costituiscono in alcun modo una sollecitazione ad investire o ad operare nei mercati finanziari. Non sono inoltre fornite o supportate da TradingView. Maggiori dettagli nelle Condizioni d'uso.

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