voided Premium Mis à jour   
This script shows the volatility risk premium for several instruments. The premium is simply "IV30 - RV20". Although Tradingview doesn't provide options prices, CBOE publishes 30-day implied volatilities for many instruments (most of which are VIX variations). CBOE calculates these in a standard way, weighting at- and out-of-the-money IVs for options that expire in 30 days, on average. For realized volatility , I used the standard deviation of log returns. Since there are twenty trading periods in 30 calendar days, IV30 can be compared to RV20. The "premium" is the difference, which reflects market participants' expectation for how much upcoming volatility will over- or under-shoot recent volatility .

The script loads pretty slow since there are lots of symbols, so feel free to delete the ones you don't care about. Hopefully the code is straightforward enough. I won't list the meaning of every symbols here, since I might change them later, but you can type them into tradingview for data, and read about their volatility index on CBOE's website. Some of the more well-known ones are:

ES: S&P futures , which I prefer to the SPX index). Its implied volatility is VIX .
USO: the oil ETF representing WTI future prices. Its IV is OVX .
GDX: the gold miner's ETF , which is usually more volatile than gold . Its IV is VXGDX.
FXI: a china ETF , whose volatility is VXFXI .

And so on. In addition to the premium, the "percentile" column shows where this premium ranks among the previous 252 trading days. 100 = the highest premium, 0 = the lowest premium.
Notes de version: fixed the single-stock percentiles and changed a color
Notes de version: moved table to the middle so it doesn't interfere with other stuff on the screen
Script open-source

Dans le véritable esprit de TradingView, l'auteur de ce script l'a publié en open-source, afin que les traders puissent le comprendre et le vérifier. Bravo à l'auteur! Vous pouvez l'utiliser gratuitement, mais la réutilisation de ce code dans une publication est régie par le règlement. Vous pouvez le mettre en favori pour l'utiliser sur un graphique.

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