PROTECTED SOURCE SCRIPT
Mis à jour BF_VolVol
Generally VVIX, VIX of VIX is called as a volatility of volatility. Here we will calculate the ratio of VVIX over VIX and then smooth it out with 5 days SMA and it will be called as VolVol indicator.
By monitoring VolVol indicator, we can peek in the trend of S&P50 market volatility as well as investor's sentiment.
When VolVol indicator is increasing, the market volatility is decreasing and bullish sentiment,
When VolVol indicator is decreasing, the market volatility is increasing and bearish sentiment.
In addition to the 5 days SMA, 20 days look back Bollinger band is added. Note that VIX or VVIX is an expected volatility of 30-day forward price of S&P 500 or VIX respectively, and the 20 days look back period represent last 20 trading days which is equivalent to the last 30 days (approximately 20 trading days during last 30 calendar days) of realized historical price.
When 5 days SMA of VolVol is golden crossing the mid line of the Bollinger band, it is considered as a strong bullish signal and market volatility is decreasing,
When 5 days SMA of VolVol is dead crossing the mid line of the Bollinger band, it is considered as a strong bearish signal and market volatility is increasing.
Consider VolVol indicator as a psychology expression of market participants behavior and sentiment.
By monitoring VolVol indicator, we can peek in the trend of S&P50 market volatility as well as investor's sentiment.
When VolVol indicator is increasing, the market volatility is decreasing and bullish sentiment,
When VolVol indicator is decreasing, the market volatility is increasing and bearish sentiment.
In addition to the 5 days SMA, 20 days look back Bollinger band is added. Note that VIX or VVIX is an expected volatility of 30-day forward price of S&P 500 or VIX respectively, and the 20 days look back period represent last 20 trading days which is equivalent to the last 30 days (approximately 20 trading days during last 30 calendar days) of realized historical price.
When 5 days SMA of VolVol is golden crossing the mid line of the Bollinger band, it is considered as a strong bullish signal and market volatility is decreasing,
When 5 days SMA of VolVol is dead crossing the mid line of the Bollinger band, it is considered as a strong bearish signal and market volatility is increasing.
Consider VolVol indicator as a psychology expression of market participants behavior and sentiment.
Notes de version
updated to version=5Script protégé
Ce script est publié en source fermée. Toutefois, vous pouvez l'utiliser librement et sans aucune restriction - en savoir plus ici.
Clause de non-responsabilité
Les informations et les publications ne sont pas destinées à être, et ne constituent pas, des conseils ou des recommandations en matière de finance, d'investissement, de trading ou d'autres types de conseils fournis ou approuvés par TradingView. Pour en savoir plus, consultez les Conditions d'utilisation.
Script protégé
Ce script est publié en source fermée. Toutefois, vous pouvez l'utiliser librement et sans aucune restriction - en savoir plus ici.
Clause de non-responsabilité
Les informations et les publications ne sont pas destinées à être, et ne constituent pas, des conseils ou des recommandations en matière de finance, d'investissement, de trading ou d'autres types de conseils fournis ou approuvés par TradingView. Pour en savoir plus, consultez les Conditions d'utilisation.