reddddicator

Strategy: Sell 0dte SPXcredit spreads beyond the upper and lower levels.
Time frame: 15min

Session-Anchored Volatility Expansion Bands

reddddicator is a session-aware volatility expansion framework designed to model next-session price dispersion using a multi-day realized range aggregation with custom normalization.

The indicator does not rely on ATR, ADR, standard deviation bands, or moving-average–based volatility estimators. Instead, it derives projected price boundaries from completed daily range realizations, selectively anchored to the most recent fully confirmed daily close based on session state.

Conceptual Methodology (High-Level)

• The model samples a fixed window of completed daily high-low ranges.
• These ranges are aggregated and normalized using a non-standard divisor, intentionally reducing sensitivity to single-day volatility spikes.
  
• The resulting expansion value is anchored to the last confirmed daily settlement, dynamically determined based on whether the current trading session is open or closed.
  
• Symmetric forward-projected upper and lower volatility bands are plotted and extended into the next session.
  

This approach is designed to reflect realized volatility expansion tendencies, rather than implied volatility or trend continuation.

Analytical Purpose

The projected bands function as statistical excursion boundaries, intended to identify areas where price extension risk asymmetrically increases.

The indicator is particularly suited for:

• Short-duration options frameworks (e.g., SPX 0DTE credit spreads)
  
• Mean-reversion and volatility exhaustion studies
  
• Contextual risk placement rather than directional forecasting
  

reddddicator does not generate trade signals and should be used as a volatility reference layer, in conjunction with the user’s own execution logic and risk controls.

Timeframe & Instrument Scope

• Calculations are derived from daily market data
• Display is optimized for intraday charting
• Most effective on liquid index products (e.g., SPX SPX), but adaptable to other instruments
  

This script does not reproduce ATR, ADR, Bollinger Bands, or any publicly available volatility indicator. While it uses daily range data as an input, the aggregation, normalization, and session-aware anchoring logic are custom implementations developed by the author and are not derived from open-source TradingView scripts or educational materials.

Disclaimer
This indicator is provided for educational and analytical purposes only. It does not constitute financial advice, trade recommendations, or investment guidance. Past behavior of volatility or price expansion does not guarantee future outcomes. Users are solely responsible for their trading decisions, position sizing, and risk management.