vix tool (idea)

Orios

New member
i have no idea how to use/do think script, but here's some trade logic i use day to day. if someone can translate that into code.. it could help clear a lot of mud as far as when to get bullish and when to get bearish.

vix operates in 3 modes. its flat, inverted, and normal
-roughly 80% of the time vix stays in its normal state
-roughly 15% goes into an inverted/backwardated state
-roughly 5% it goes into a flat state.
- when vix goes inverted, its showing that the near term demand for protection is elevated
- this is why when markets tends to jump out the window down, but the escalator up

idea:
so there's 3 components that matter here, vix cash (vix index), vix futures month 1, vix futures month 2

the challenge:
vix normal : vix cash below vix month 1 futures but month 1 is less than month 2 (color green)

vix flat: vix cash slightly below or equal to vix month 1 but less than month 2 (color yellow)

vix backward: vix cash above vix futures month 1 (orange) but less than month 2. vix cash above vix futures month 1 and month 2 (color red)
 

Orios

New member
@BenTen well real time if you want to watch whats happening in the market

vix cash is the dashed line -------------
m1 is month 1.
m2 is month 2.
its how most futures markets operate. i only say month 1 month 2 because thats what retail etp's focus on in their holdings/swaps

That brings up a new challenge. These Futures roll every month
 

horserider

Well-known member
VIP
@Orios Not even sure what you want. Just playing around but does this look like anything. Supposed to be VIX and Month VIX.
2020-01-31-TOS-CHARTS.png
 

Orios

New member
@Orios Not even sure what you want. Just playing around but does this look like anything. Supposed to be VIX and Month VIX.
2020-01-31-TOS-CHARTS.png


sorta kinda. its not based on price action, the relation between futures months and actual demand market abroad. i use that site to watch it maybe i just need to invest in another monitor? lol
80% of the time things are orderly/spx drift up. but 15-20% of the time spy takes a major dump based on demand for protection. usually the curve will flatten before inverting in vix.
so when it flattens you have a preemptive warning the market is about to turn bearish
 

Orios

New member
@BenTen so real time vix futures curve is flat but still slightly inverted. so from a trading stand point this is where bearish momentum has a extremely likely chance to strike. im short the market based on the vix term structure still showing protection in the near term is in demand.
 

amalia

New member
Gonna have to hardcode the /VX month structure to view this strat historically but you can get away with using VIX/VIX9D/VIX3M unless someone else knows otherwise.
 

amalia

New member
Code:
declare lower;

#Orios
#so there's 3 components that matter here, vix cash (vix index), vix futures month 1, vix futures month 2
#amalia note: I'm using VIX9D for "VIX", VIX(30days out) for month1, and VIX3M(3months out) as month2 as a proxy idea

def V = If(IsNaN(Close("VIX9D")), V[1], Close("VIX9D"));#ShortTerm
def m1 = If(IsNaN(Close("VIX")), m1[1], Close("VIX"));#MediumTerm
def m2 = If(IsNaN(Close("VIX3M")), m2[1], Close("VIX3M"));#LongTerm
def NaN = Double.NaN;

#the challenge:
#vix normal : vix cash below vix month 1 futures but month 1 is less than month 2 (color green)
plot green = If(V<m1 && m1<m2, 0, NaN);
green.SetDefaultColor(Color.GREEN);
green.SetPaintingStrategy(PaintingStrategy.HORIZONTAL);

#vix flat: vix cash slightly below or equal to vix month 1 but less than month 2 (color yellow)
plot yellow = If(V<=m1 && V<m2, 1, NaN);
yellow.SetDefaultColor(Color.YELLOW);
yellow.SetPaintingStrategy(PaintingStrategy.HORIZONTAL);

#vix backward: vix cash above vix futures month 1 (orange) but less than month 2.
plot orange = If(V>m1 && V<m2, 2, NaN);
orange.SetDefaultColor(Color.DARK_ORANGE);
orange.SetPaintingStrategy(PaintingStrategy.HORIZONTAL);

#vix cash above vix futures month 1 and month 2 (color red)
plot red = If(V>m1 && V>m2, 3, NaN);
red.SetDefaultColor(Color.RED);
red.SetPaintingStrategy(PaintingStrategy.HORIZONTAL);
 

Thomas

Active member
VIP
hello, thank you, question your chart says LOOK for BUYS is that referring to something like SPY when it says Trigger new buys now?
I think I changed the "SPY," to "QQQ," as it's the leading indicator of Tech, but should be one or the other.....and yes, it's a timing tool.....
 

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