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CBOE

vol_boxA simple script to draw a realized volatility forecast, in the form of a box. The script calculates realized volatility using the EWMA method, using a number of periods of your choosing. Using the "periods per year", you can adjust the script to work on any time frame. For example, if you are using an hourly chart with bitcoin, there are 24 periods * 365 = 8760 periods per year. This setting is essential for the realized volatility figure to be accurate as an annualized figure, like VIX. By default, the settings are set to mimic CBOE volatility indices. That is, 252 days per year, and 20 period window on the daily timeframe (simulating a 30 trading day period). Inside the box are three figures: 1. The current realized volatility. 2. The rank. E.g. "10%" means the current realized volatility is less than 90% of realized volatility measures. 3. The "accuracy": how often price has closed within the box, historically. Inputs: stdevs: the number of standard deviations for the box periods to project: the number of periods to forecast window: the number of periods for calculating realized volatility periods per year: the number of periods in one year (e.g. 252 for the "D" timeframe)
Indicatore Pine Script™
di taylor_o
8
rv_iv_vrpThis script provides realized volatility (rv), implied volatility (iv), and volatility risk premium (vrp) information for each of CBOE's volatility indices. The individual outputs are: - Blue/red line: the realized volatility. This is an annualized, 20-period moving average estimate of realized volatility--in other words, the variability in the instrument's actual returns. The line is blue when realized volatility is below implied volatility, red otherwise. - Fuchsia line (opaque): the median of realized volatility. The median is based on all data between the "start" and "end" dates. - Gray line (transparent): the implied volatility (iv). According to CBOE's volatility methodology, this is similar to a weighted average of out-of-the-money ivs for options with approximately 30 calendar days to expiration. Notice that we compare rv20 to iv30 because there are about twenty trading periods in thirty calendar days. - Fuchsia line (transparent): the median of implied volatility. - Lightly shaded gray background: the background between "start" and "end" is shaded a very light gray. - Table: the table shows the current, percentile, and median values for iv, rv, and vrp. Percentile means the value is greater than "N" percent of all values for that measure. ----- Volatility risk premium (vrp) is simply the difference between implied and realized volatility. Along with implied and realized volatility, traders interpret this measure in various ways. Some prefer to be buying options when there volatility, implied or realized, reaches absolute levels, or low risk premium, whereas others have the opposite opinion. However, all volatility traders like to look at these measures in relation to their past values, which this script assists with. By the way, this script is similar to my "vol premia," which provides the vrp data for all of these instruments on one page. However, this script loads faster and lets you see historical data. I recommend viewing the indicator and the corresponding instrument at the same time, to see how volatility reacts to changes in the underlying price.
Indicatore Pine Script™
di taylor_o
2
Velocity To Inverse Correlation to VIX/Bonds Strategy (2020)This strategy measures and creates a signal when an asset is moving out of a correlation with high yield bonds or the CBOE VIX into an inverse correlation, as well as when an asset is losing correlation with a top corporate bonds ETF. When this signal is triggered, the simulation has the portfolio asset go long. Additionally, exits are based on a 2% stop loss and a 2% take profit for simplicity sake to indicate whether the direct next move in the asset is up or down. This was originally tested as a descent indicator for Ethereum's 2020 moves as institutional investors moved into the market.
Strategia Pine Script™
di givingdesk
1
Call / All Ratio ( C / A ) - NoldoFirst of all this script inspired by MagicEins' Put/Call-Ratio-Buschi script . What is the Put-Call Ratio The put-call ratio is an indicator ratio that provides information about relative trading volumes of an underlying security's put options to its call options. The put-call ratio has long been viewed as an indicator of investor sentiment in the markets, where a large proportion of puts to calls indicates bearish sentiment, and vice versa. Technical traders use the put-call ratio as an indicator of performance and as a barometer of overall market sentiment. Put-call ratios on broader indexes such as the S&P 500 are also used as more general gauges of market climate. Put-Call Ratio Interpretation One way to interpret the put-call ratio is to say that a higher ratio means it's time to sell and a lower ratio means it's time to buy, because when the ratio is high it suggests that people are either expecting or protecting more readily against a future decline in the price of the underlying. A Put-Call ratio between 0.5 and 1 is considered a sideways trend in the markets. Some also view the Put-Call ratio as a contrarian indicator. Traders know that derivatives are used to do more than place bets; they are used as hedges and insurance. If there's a lot of insurance being placed to the sell side, it means traders are worried about prices falling. Some traders buy when the put-call ratio is above 1, meaning the market is out of balance to the sell side, and sell when the put-call ratio is below 1, meaning the market is out of balance to the buy side. These traders are looking to make money on the correction. The interpretation of the ratio is left to the analyst's or trader's investment philosophy. Reference : Investopedia (www.investopedia.com) Let' s start. In short, calls represent "bulls" and puts represent "bears". Some analysts do the opposite,for trend reversals the choice is up to you. I usually look at the opposite comments in commercial positions because I look at this flow angle neutral. If you want to do the opposite, you must create Put / All Ratio. So i created this ratio to observe easily movements under or over 0.50 area . Or you can take the point close to 0.50 as a horizontal trend. Many more comments can be made.I have a few ideas about this, and I'm going to publish them soon . My best suggestion is that it covers a single bar and is very volatile, so you can look for averages and strong accelerations. This code is open source under the MIT license. If you have any improvements or corrections to suggest, please send me a pull request via the github repository github.com Stay tuned , best regards.
Indicatore Pine Script™
di Noldo
2
CBOE PCR Factor Dependent Variable Odd Generator This script is the my Dependent Variable Odd Generator script : with the Put / Call Ratio ( PCR ) appended, only for CBOE and the instruments connected to it. For CBOE this script is more accurate and faster than Dependent Variable Odd Generator. And the stagnant market odds are better and more realistic. Do not use for timeframe periods less than 1 day. Because PCR data may give repaint error. My advice is to use the 1-week bars to gain insight into your analysis. This code is open source under the MIT license. If you have any improvements or corrections to suggest, please send me a pull request via the github repository github.com I hope it will help your work.Best regards!
Indicatore Pine Script™
di Noldo
26
Put/Call-Ratio-Buschi English: This script shows the Put/Call-Ratio as seen on the Cboe-Website: www.cboe.com A higher Put/Call-Ratio means a higher trading volume of puts compared to calls, which is a sign of a higher need for protection in the market. For best reflection of the Cboe's data, which is shown in 30 minutes intervals, a 30 min-chart is recommended. 30 min-data as well as end-of-day data are shown. Deutsch: Dieses Skript zeigt das Put/Call Ratio, wie es auf der Cboe-Website angegeben ist: www.cboe.com Ein höheres Put/Call Ratio bedeutet ein höheres Handelsvolumen von Puts gegenüber Calls, was ein Zeichen für Absicherungsbedarf im Markt darstellt. Um die Cboe-Daten bestmöglich wiederzugeben, die in 30 Minuten-Intervallen herausgegeben werden, wird ein 30 min-Chart empfohlen. Es werden sowohl die 30-Minuten-Daten als auch die Tagesenddaten angezeigt.
Indicatore Pine Script™
di MagicEins
12
IV/HV ratio 1.0 [dime]This script compares the implied volatility to the historic volatility as a ratio. The plot indicates how high the current implied volatility for the next 30 days is relative to the actual volatility realized over the set period. This is most useful for options traders as it may show when the premiums paid on options are over valued relative to the historic risk. The default is set to one year (252 bars) however any number of bars can be set for the lookback period for HV. The default is set to VIX for the IV on SPX or SPY but other CBOE implied volatility indexes may be used. For /CL you have OVX/HV and for /GC you have GVX/HV. Note that the CBOE data for these indexes may be delayed and updated EOD and may not be suitable for intraday information. (Future versions of this script may be developed to provide a realtime intraday study. ) There is a list of many volatility indexes from CBOE listed at: www.cboe.com (Some may not yet be available on Tradingview) RVX Russell 2000 VXN NASDAQ VXO S&P 100 VXD DJIA GVX Gold OVX OIL VIX3M 3-Month VIX6M S&P 500 6-Month VIX1Y 1-Year VXEFA Cboe EFA ETF VXEEM Cboe Emerging Markets ETF VXFXI Cboe China ETF VXEWZ Cboe Brazil ETF VXSLV Cboe Silver ETF VXGDX Cboe Gold Miners ETF VXXLE Cboe Energy Sector ETF EUVIX FX Euro JYVIX FX Yen BPVIX FX British Pound EVZ Cboe EuroCurrency ETF Volatility Index Amazon VXAZN Apple VXAPL Goldman Sachs VXGS Google VXGOG IBM VXIBM
Indicatore Pine Script™
di dime
2