VVIX equivalent for individual securities


New member
I am interested in having script that plots the equivalent of VVIX for a specific equity. Given that VVIX plots implied volatility of the VIX and the VIX plots the volatility of the SP500 I am looking to replace the underlying SP500 index with an individual security.

Has anyone created such a script or see any flaw in my desire to produce this?

Thanks in advance.

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