Mark to Market

Mark to Market

A price-referencing, settlement-aware, volatility-scaled risk framing overlay for valuation discipline and process consistency.

1) Purpose and operating premise

“Mark to Market” is intended as a measurement and reference layer rather than a directional signal engine. It organizes a chart around a set of time-based price references that can be helpful for:

maintaining consistent “marks” across time boundaries (day/week/month/year),

contextualizing price relative to time-weighted and volume-weighted baselines,

framing moves in volatility-scaled units (sigma ladders) for more standardized discussion.

This should be understood as a framework for structuring observation, not a claim of predictive power.

2) Reference architecture: a hierarchy of marks

The indicator builds a layered reference stack. Each layer corresponds to a different horizon and serves as a potential anchor for consistency in how price is discussed.

2.1 Previous Day: PDH/PDL

The previous day’s high and low are tracked from the completed daily period and carried forward. These references can be used to frame whether current trade is occurring inside or outside the prior day’s realized range, which some practitioners may find useful when assessing range expansion, acceptance, or mean-reverting behavior.

2.2 Weekly: PWH/PWL, Weekly Open, Weekly VWAP

Weekly references shift attention from the immediate session to the week-to-date context:

Prior week high/low as longer-horizon realized boundaries

Optional weekly open as a week-to-date reference

Weekly VWAP as a cumulative, volume-weighted benchmark for the ongoing week

The VWAP here is calculated directly from chart volume (cumulative price*volume / cumulative volume), so interpretation should be scaled to the reliability of the volume feed for the instrument being studied.

2.3 Monthly: PMH/PML, Monthly Open, Monthly VWAP

Monthly references can serve a similar function at a broader cadence, offering:

prior month high/low,

optional monthly open,

optional monthly VWAP.

These are not inherently “support/resistance” claims; they are period-defined reference values that may or may not matter depending on market conditions and the user’s approach.

2.4 Quarterly: Quarterly Open / Quarterly VWAP (optional)

Quarterly references are optional and may be useful for those who prefer longer-cycle anchors. Their relevance will vary by product and by the user’s time horizon.

2.5 Yearly: Yearly Open / Yearly VWAP

Yearly anchors can provide macro-context references. As with other VWAP-based measures, the extent to which this is meaningful depends on the underlying data quality and the user’s specific interpretation rules.

3) Display modes: Extend, Float, Lock

A design feature of the indicator is that references can be displayed with different persistence behaviors:

Extend: projects the level forward as an ongoing reference line.

Lock: plots the reference for a fixed one-hour window from its anchor timestamp, functioning more like a stamped mark than a permanent level.

Float: shows labels without extended lines, prioritizing visibility of the value over chart structure.

These modes are best viewed as presentation controls rather than analytical claims.

4) Settlement engine: cross-session reference marks and anchored VWAP bands

The settlement subsystem defines three time-based reference events (timezone-aware):

Japan at 01:30

London at 11:30

New York at 16:00

4.1 Settlement reference construction (exchange-referenced window)

For the New York settlement reference in particular, the indicator includes a short pre-settlement anchoring window (the 30 seconds preceding the timestamp) consistent with the methodology described in CME documentation. The goal is to approximate a stable, repeatable chart-based reference rather than relying on a single last print. (Users should consult the relevant CME documentation for the precise exchange definitions and any product-specific nuances.)

Where the anchoring window cannot be formed as intended from available data, the script falls back to a reasonable chart-derived value (for example, a close), which should be treated as an approximation.

4.2 Anchored VWAP from settlement (AVWAP)

Following each settlement event, the indicator can track an anchored VWAP forward from that mark. Conceptually, this provides a running, volume-weighted reference for post-settlement trade, which some users may find helpful when framing whether the market is trading above or below a recent marking point.

4.3 Dispersion bands around AVWAP (σ1, σ2)

Optional bands are computed as rolling standard deviation around the anchored VWAP, using volume-weighted variance. These bands are best interpreted as descriptive dispersion envelopes around the post-mark distribution, not as guaranteed reversal zones or probabilistic promises.

5) Volatility-index sigma framing: VIX vs VXN as instrument-aware scaling

The volatility module ties the New York settlement reference to an expected daily move derived from a volatility index reading. Two indices are supported:

VIX as a volatility proxy commonly associated with the S&P 500 complex

VXN as a volatility proxy commonly associated with the Nasdaq-100 complex

The calculation converts annualized implied volatility into a daily volatility estimate (via √252) and maps that into price units from the settlement reference, producing a symmetric ladder:

±0.25σ, ±0.5σ, ±0.75σ, ±1σ, ±1.25σ, ±1.5σ, ±2σ

This ladder can be treated as a standardized ruler for discussing the day’s price excursion relative to an implied-volatility-derived scale. It should not be interpreted as a statement that price “should” stop at these levels.

5.1 Short historical persistence (last 5 days)

The indicator maintains up to five days of historical sigma ladders (New York settlement-based). This can support quick comparison of how the implied envelope changes day-to-day, though usefulness depends on how the user contextualizes regime changes, event risk, and volatility term structure.

6) Practical interpretation (without overclaiming)

Common ways this framework can be used, depending on user preference:

Marking consistency: keeping period boundaries and key marks visible so the same references are used throughout a session and in later review.

Benchmarking: comparing current price to weekly/monthly/yearly VWAPs as descriptive baselines.

Risk framing: describing excursions in sigma terms (implied) and in dispersion terms (realized around AVWAP) to reduce purely qualitative language.

Post-session review: replaying a day with consistent anchors to evaluate how decisions related to the day’s marks and volatility context.

None of these uses imply that the tool is “correct” in any absolute sense. They describe potential workflows users may adopt.

7) Constraints and dependency notes

Data quality dependency: VWAP/AVWAP and dispersion calculations inherit the quality of the platform’s volume and price data. Instruments with synthetic, partial, or irregular volume should be handled carefully.

Exchange vs chart methodology: where official settlement is relevant, exchange-published definitions should be treated as authoritative. This tool aims to provide an exchange-referenced approximation where feasible within chart constraints.

Not a guarantee: sigma ladders and bands provide scaling and description; they do not guarantee containment, reversal, or specific probabilities.

8) Summary

“Mark to Market” is best understood as a reference infrastructure:

time-based completed-period highs/lows,

optional opens and rolling VWAPs across multiple horizons,

settlement-time reference marks across major sessions, with an exchange-referenced pre-settlement anchoring window,

anchored VWAP and dispersion bands as descriptive post-mark measures,

VIX/VXN-based sigma ladders as implied-volatility-scaled rulers.

Its main value is in encouraging a repeatable, auditable set of references for observation and review, while leaving interpretation and decision-making to the user’s own process.

Important notice and scope

This tool is provided for informational and analytical visualization only. It is not financial, investment, legal, tax, or accounting advice, and it should not be treated as a recommendation to buy, sell, or hold any instrument. Outputs are dependent on chart settings, symbol data, and platform data quality. Any interpretations drawn from these references should be evaluated within the user’s own methodology, constraints, and risk controls.

Where this tool references “settlement,” the intent is to provide repeatable chart-based reference points that can be used for review and framing. For products where official settlement methodology applies, users should defer to the relevant exchange documentation and their own operational definitions.

Disclaimer: This tool is provided solely for informational, educational, and visualization purposes. It does not constitute financial, investment, legal, tax, or accounting advice, and it should not be relied upon as a basis for any trading, investment, or risk management decisions. All references, calculations, and visualizations are derived from chart data and platform-provided feeds, may be incomplete or approximate, and may differ from official exchange or broker methodologies. No representation is made regarding the accuracy, completeness, or suitability of any output for any particular purpose. Use of this tool is entirely at your own risk, and any decisions made based on its output are the sole responsibility of the user.