Edge Levels (ES/NQ) - ArchReactor

15 sept.

Credit: I got the idea from here

Edge Levels provides a smart, pre-calculated volatility map for the E-mini S&P 500 — based on the previous session’s close and the closing value of the VIX.

How It Works

It is based on the Expected move formula:
EM = (ES/NQ PrevClose) × (Vol. Idx/100) × √(1/N)

Where:

• ES/NQ PrevClose = Prior daily close on ES/NQ
  
• Vol. Idx = Prior daily close of CBOE Volatility Index (For ES we use VIX and for NQ we use VXN)
  
• N = Number of days (default: 252 or 365)
  - 365 = Calendar-based normalization
  - 252 = Trading day normalization (used by many institutional models)
  

Then this plots 8 support and 8 resistance levels based on Standard Deviation multipliers.

Inputs:
Asset Type: ES/NQ
Manual Override: If this is selected then we can manually enter the close of ES/NQ and VIXVXN
Normalization: 252/365 Days

For Manual Input:

Manual Input – Official Sources
ES Daily Settlement:
👉 cmegroup.com/markets/equities/sp/e-mini-sandp500.settlements.html

NQ Daily Settlement:
👉 cmegroup.com/markets/equities/nasdaq/e-mini-nasdaq-100.settlements.html

VIX Close Value:
👉 cboe.com/us/indices/dashboard/vix/

VXN Close Value:
👉 cboe.com/us/indices/dashboard/vxn/

How to use
Combine it with various confirmations:

• RSI/Stochastic or MFI Divergences.
  
• Higher TF Levels or Supply and Demand Zones.
  
• VWAP /200 ema
  
• Failed breakout setup.
  

15 sept.

Notes de version

Added ability to change Table Location and Table Size.

15 sept.

Notes de version

Fixed small bugs

17 sept.

Notes de version

Prev Close was displaying wrongly , I have fixed that display logic .

18 sept.

Notes de version

Added Additional Symbols ,
QQQ | SPY | SPX | NDX

Note: It needs a volatility correlation , so Nasdaq and S&P have volatility correlation, hence it works best on those indices.

19 sept.

Notes de version

Fixed a bug for closed value at for SPY and other symbols that dont trade ON

26 sept.

Notes de version

Added CL and GC to the mix of assets .

16 oct.

Notes de version

Added RTY, RUT and YM

17 oct.

Notes de version

Some users noticed that the levels moved intraday, I noticed the value of Vix wasnt correctly taking previous day's close. It was taking current intraday value. Changed that.

17 oct.

Notes de version

Updated the title of script

il y a 5 jours

Notes de version

- Added an option to use VX Futures instead of VXN/VIX for NQ/ES
- Updated label from Prev Close to Prev Settlement as that closely represents the levels.