CBOE Implied Volatility Indicator for ThinkorSwim

[rlohmeyer]

I coded 3 CBOE Implied Volatility Indicators that I watch on SPY,QQQ,DIA, which I swing trade on the daily. The IWM I like to day trade on the 1 minute time frame as a result of it's higher daily bar ranges. Each are coded as an inverse indicator on a 0-100 normalized scale, so that near 0 is HIGHER VOLATILITY and generally a down move on the indices. I watch for divergences with price action and the other indicators I have posted. Image of the 3 below. I have these loaded in the same lower window as another set of Normalized Scale Indicators. Code for the VIX is below the image. The way to get the other 2 is to substitute either VXN or VXD in the code at the appropriate place. May interest someone for the bigger time frame. PS: I am out of a swing trade since 3/5. Suspicious of the divergence. It may break higher, but rather be safe after a nice swing.

declare lower;
script normalizePlot {
    input normalize_data = close;
    input MinRng = -1;
    input MaxRng = 1;
    def HH = HighestAll( normalize_data );
    def LL = LowestAll( normalize_data );
    plot NR = ((( MaxRng - MinRng ) * ( normalize_data - LL )) / ( HH - LL )) + MinRng;
}

input MaxRng = 100;
input MinRng = 0;

def ind = (close("vix") * -1);
plot vix = normalizePlot(ind, MinRng, MaxRng );
vix.setDefaultColor(color.white);
vix.setlineWeight(2);
vix.hidebubble();

plot mid = (maxrng+minrng)/2;
mid.setdefaultColor(color.white);
mid.hidebubble();
mid.hidetitle();

 

[RDX17]

I coded 3 CBOE Implied Volatility Indicators that I watch on SPY,QQQ,DIA, which I swing trade on the daily. The IWM I like to day trade on the 1 minute time frame as a result of it's higher daily bar ranges. Each are coded as an inverse indicator on a 0-100 normalized scale, so that near 0 is HIGHER VOLATILITY and generally a down move on the indices. I watch for divergences with price action and the other indicators I have posted. Image of the 3 below. I have these loaded in the same lower window as another set of Normalized Scale Indicators. Code for the VIX is below the image. The way to get the other 2 is to substitute either VXN or VXD in the code at the appropriate place. May interest someone for the bigger time frame. PS: I am out of a swing trade since 3/5. Suspicious of the divergence. It may break higher, but rather be safe after a nice swing.

declare lower;
script normalizePlot {
    input normalize_data = close;
    input MinRng = -1;
    input MaxRng = 1;
    def HH = HighestAll( normalize_data );
    def LL = LowestAll( normalize_data );
    plot NR = ((( MaxRng - MinRng ) * ( normalize_data - LL )) / ( HH - LL )) + MinRng;
}

input MaxRng = 100;
input MinRng = 0;

def ind = (close("vix") * -1);
plot vix = normalizePlot(ind, MinRng, MaxRng );
vix.setDefaultColor(color.white);
vix.setlineWeight(2);
vix.hidebubble();

plot mid = (maxrng+minrng)/2;
mid.setdefaultColor(color.white);
mid.hidebubble();
mid.hidetitle();

Hi, would you mind sharing a link to the code. I am not sure if this is the full code to the lower indicator as is represented in the pic

 

[RDX17]

Hi, would you mind sharing a link to the code. I am not sure if this is the full code to the lower indicator as is represented in the pic

I trade NQ futures and would like to see how this indicator can be of use..appreciate ur help

 

[rlohmeyer]

@RDX17 Here is the one I presently use. It is not normalized, so you can see if the indicator moves above or below previous extremes.

http://tos.mx/IgnbmQa

 

[hectorgasm]

I coded 3 CBOE Implied Volatility Indicators that I watch on SPY,QQQ,DIA, which I swing trade on the daily. The IWM I like to day trade on the 1 minute time frame as a result of it's higher daily bar ranges. Each are coded as an inverse indicator on a 0-100 normalized scale, so that near 0 is HIGHER VOLATILITY and generally a down move on the indices. I watch for divergences with price action and the other indicators I have posted. Image of the 3 below. I have these loaded in the same lower window as another set of Normalized Scale Indicators. Code for the VIX is below the image. The way to get the other 2 is to substitute either VXN or VXD in the code at the appropriate place. May interest someone for the bigger time frame. PS: I am out of a swing trade since 3/5. Suspicious of the divergence. It may break higher, but rather be safe after a nice swing.

declare lower;
script normalizePlot {
    input normalize_data = close;
    input MinRng = -1;
    input MaxRng = 1;
    def HH = HighestAll( normalize_data );
    def LL = LowestAll( normalize_data );
    plot NR = ((( MaxRng - MinRng ) * ( normalize_data - LL )) / ( HH - LL )) + MinRng;
}

input MaxRng = 100;
input MinRng = 0;

def ind = (close("vix") * -1);
plot vix = normalizePlot(ind, MinRng, MaxRng );
vix.setDefaultColor(color.white);
vix.setlineWeight(2);
vix.hidebubble();

plot mid = (maxrng+minrng)/2;
mid.setdefaultColor(color.white);
mid.hidebubble();
mid.hidetitle();

THIS IS a nice indicator man, thank you, what's the logic behind it?

 

[rlohmeyer]

@hectorgasm

Hi,
The logic of the indicator you are looking at is the same as the logic of using the standard RSI indicator with the CBOE Volatility Indicator (VIX) thrown in. You can lookup up the RSI indicator on any site that explains indicators, Investopedia, Stock Charts, etc. The same with the VIX indicator, The indicator you are looking at allows you to see 2 versions of the RSI plus the Vix within the same frame of reference.

I am presently using just the Volatility indicator to swing trade the Index ETF's, See below for the image of the setup on SPY. As you can see, we are presently looking at the possibility of a pullback on the Spy supported by the Volatility Indicator. This indicator was coded without a normalized scale so that you could see historical information better, with the addition of setting it up as a candlestick bar, which gives additional information that can be useful in making a judgement. Below the image is the code for this indicator.

#@rlohmeyer Volatility Indicator for SP500, Nasdaq100, Dow, or Russell 2000
declare lower;

def na = double.NaN;
input whichInd = {default "SP500", "Nasdaq100", "Russell2000", "DOW"};
input MaxRng = 100;
input MinRng = 0;
def V;
switch (whichInd) {
case Russell2000:
    V =(close("rvx") * -1);
case Nasdaq100:
    V = (close("vxn") * -1);
case DOW:
    V = (close("vxd") * -1);
default:
    V =(close("vix") * -1);
}

#Plot Chart
def ind = v;
def h = Max(ind, ind[1]);
def l = Min(ind, ind[1]);
def c = ind;
def op = c[1];
AddChart(high = h, low = l, open = op, close = c, type = ChartType.CANDLE, Color.white);

 

[rlohmeyer]

@RDX17

Hi,
Sorry for the delay in response. You can easily just copy the code that is posted and create the indicator yourself by
1. clicking on the Indicator symbol at the top of a chart,
2. then click on "edit studies"
3. then click on "create" at the bottom left
4. then paste the code to replace the code that is already there
5 and lastly, at the top name your indicator and click the OK button at the bottom right