implied volatility minus realized volatility

• 03/24/2022 at 12:45 AM #190371
  ullle73

  Hi

   

  Does anyone know where i can find a chart showing this below? Its implied volatility minus realized volatility. Or if anyone could help me build an excel doc? 🙂

  

  ullle73

  Participant

  Topics: 51

  Replies: 178

  Been thanked: 7 times
  03/24/2022 at 4:14 PM #190425
  ullle73

  sorry, formula should be implied volatility / realized volatility and a standard deviation from average

  

  ullle73

  Participant

  Topics: 51

  Replies: 178

  Been thanked: 7 times
  03/24/2022 at 5:29 PM #190427
  robertogozzi

  I have coded this indicator, but it seems it’s not the one you are looking for.
  If you know how the average and the STD are applied to the result of the division, I could change it:

  // Implied Volatility (Vix Fix) pd = 22 //22 LookBack Periods wvf = ((highest[pd](close)-low)/(highest[pd](close)))*100 //Vix Fix // // Realized Volatility Periods = 10 IF BarIndex > 0 THEN R = Log(close) - Log(close[1]) //or Log(close / close[1]) VolReal = Sqrt(summation[Periods](Square(R))) * 100 ENDIF // AvgP = 20 //average Periods StdP = 10 //STD periods MyVol = wvf / VolReal // // Standard Deviation on average Avg = average[AvgP,0](MyVol) AvgSTD = STD[StdP](Avg) RETURN AvgSTD AS "STD of Implied Vol / Realized Vol"

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19

  // Implied Volatility (Vix Fix) pd          = 22     //22   LookBack Periods wvf         = ((highest[pd](close)-low)/(highest[pd](close)))*100   //Vix Fix // // Realized Volatility Periods     = 10 IF BarIndex > 0 THEN    R        = Log(close) - Log(close[1])                  //or   Log(close / close[1])    VolReal  = Sqrt(summation[Periods](Square(R))) * 100 ENDIF // AvgP        = 20     //average Periods StdP        = 10     //STD periods MyVol       = wvf / VolReal // // Standard Deviation on average Avg         = average[AvgP,0](MyVol) AvgSTD      = STD[StdP](Avg) RETURN AvgSTD AS "STD of Implied Vol / Realized Vol"

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 17087

  Been thanked: 4005 times
  03/24/2022 at 10:42 PM #190441
  ullle73

  really really appreciate your help roberto!! 😀

   

  I think the indicator is made frome this: http://www.diva-portal.org/smash/get/diva2:697293/FULLTEXT01

  If you go to the end of the document there are alot of calculations.

  There seems to be a pretty big edge

   

  Results should look something like this when adding it to sp500/omxs30 chart

   

   

  

  ullle73

  Participant

  Topics: 51

  Replies: 178

  Been thanked: 7 times
  03/24/2022 at 10:45 PM #190443
  ullle73

  i also found this when googled for volatility ratio calculations:

   

  How is Volatility Ratio Calculated?

  One of the most commonly used methods for calculating volatility is the standard deviation. However, calculations of volatility and volatility ratiox may vary across the industry. In his book, “Technical Analysis,” Jack Schwager introduced the concept of volatility ratio. Another common method of identifying rice ranges and patterns that can lead to trading signals is plotting historical volatility.

  1. The formula by Jack Schwager is as follows:

  VR = TTR/ATR

  Here, VR stands for Volatility Ratio.

  TTR stands for Today’s True Range, which is calculated by subtracting the maximum price from the minimum price. The maximum price is the highest price of the current trading day minus the closing price of the previous trading day. The minimum price is the lowest price of the current trading day minus the closing price of the previous trading day.

  

  ullle73

  Participant

  Topics: 51

  Replies: 178

  Been thanked: 7 times
  03/25/2022 at 6:22 PM #190499
  robertogozzi

  Yes, you can find a version at https://www.prorealcode.com/prorealtime-indicators/volatility-ratio-schwager/.

   

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 17087

  Been thanked: 4005 times
  03/26/2022 at 8:24 PM #190530
  ullle73

  robertogozzi wrote:

  Yes, you can find a version at https://www.prorealcode.com/prorealtime-indicators/volatility-ratio-schwager/.

  thanks!

  is it possible to have it shown as a deviation -4 to 4 from std/average? like the original picture i showed? 😀

  

  ullle73

  Participant

  Topics: 51

  Replies: 178

  Been thanked: 7 times
  03/28/2022 at 11:00 AM #190639
  robertogozzi

  I am attaching a modified version with STD +- 4 (which you can change).

  1 user thanked author for this post.

  ullle73

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 17087

  Been thanked: 4005 times
  03/28/2022 at 11:00 AM #190640
  ullle73

  the indicator i posted in the original post. Its applied to the optionsmarket, if that helps ^^

  

  ullle73

  Participant

  Topics: 51

  Replies: 178

  Been thanked: 7 times
  03/28/2022 at 11:00 AM #190642
  ullle73

  thanks roberto 😀

  

  ullle73

  Participant

  Topics: 51

  Replies: 178

  Been thanked: 7 times
  03/28/2022 at 11:01 AM #190643
  robertogozzi

  I had forgotten the ITF file, now it’s there.

   

  1 user thanked author for this post.

  ullle73

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 17087

  Been thanked: 4005 times
  03/29/2022 at 10:45 PM #190761
  ullle73

  thanks roberto!

   

  But is it possible to have the indicator appear like the original picture below? Using it like overbough/oversold areas?

  

  ullle73

  Participant

  Topics: 51

  Replies: 178

  Been thanked: 7 times
  03/31/2022 at 11:41 PM #190888
  robertogozzi

  There’s no fixed limit, it ranges from 0 up to…..

  It’s not easy to code something that should look like something else which is unknown.

  You should try to find the formula of that indicator.

   

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 17087

  Been thanked: 4005 times
  04/05/2022 at 10:29 PM #191286
  ullle73

  i found this code nicolas posted in an indicator. Is it possible to combine this code to the one you created for me to have it shown similar to my original post?

  link to nicolas indicator: https://www.prorealcode.com/prorealtime-indicators/z-score-distance-from-vwap/

   

  z-score

  //PRC_VWAP Z-score //08.01.2019 //Nicolas @ www.prorealcode.com //Sharing ProRealTime knowledge // --- settings SDminPeriod = 100 //minimal period to compute the Standard Deviation smoothZscore = 0 //smooth the curve? (0=false ; 1=true) // --- end of settings d = max(2,intradaybarindex)//max(1, intradaybarindex) if intradaybarindex=0 then vwap = (volume*customclose)/(volume) else VWAP = SUMMATION[d](volume*customclose)/SUMMATION[d](volume) endif sd = SUMMATION[max(SDminPeriod,d)](max(abs(high-vwap),abs(vwap-low)))/max(SDminPeriod,d) if smoothZscore then zscore=average[3]((close-vwap)/sd) else zscore = (close-vwap)/sd endif if zscore>=2 then drawcandle(2,2.5,2,2.5) coloured(255,0,0,100) bordercolor(0,0,0,0) endif if zscore<=-2 then drawcandle(-2,-2.5,-2,-2.5) coloured(0,255,0,100) bordercolor(0,0,0,0) endif RETURN zscore style(line,2), 1 coloured(168,168,168) style(line,2), 2 coloured(210,210,210) style(line,2), -1 coloured(168,168,168) style(line,2), -2 coloured(210,210,210) style(line,2), 0 coloured(168,168,168) style(dottedline)

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33

  //PRC_VWAP Z-score //08.01.2019 //Nicolas @ www.prorealcode.com //Sharing ProRealTime knowledge   // --- settings SDminPeriod = 100 //minimal period to compute the Standard Deviation smoothZscore = 0 //smooth the curve? (0=false ; 1=true) // --- end of settings   d = max(2,intradaybarindex)//max(1, intradaybarindex) if intradaybarindex=0 then vwap = (volume*customclose)/(volume) else VWAP = SUMMATION[d](volume*customclose)/SUMMATION[d](volume) endif   sd = SUMMATION[max(SDminPeriod,d)](max(abs(high-vwap),abs(vwap-low)))/max(SDminPeriod,d)   if smoothZscore then zscore=average[3]((close-vwap)/sd) else zscore = (close-vwap)/sd endif   if zscore>=2 then drawcandle(2,2.5,2,2.5) coloured(255,0,0,100) bordercolor(0,0,0,0) endif if zscore<=-2 then drawcandle(-2,-2.5,-2,-2.5) coloured(0,255,0,100) bordercolor(0,0,0,0) endif   RETURN zscore style(line,2), 1 coloured(168,168,168) style(line,2), 2 coloured(210,210,210) style(line,2), -1 coloured(168,168,168) style(line,2), -2 coloured(210,210,210) style(line,2), 0 coloured(168,168,168) style(dottedline)

   

  

  ullle73

  Participant

  Topics: 51

  Replies: 178

  Been thanked: 7 times
  04/08/2022 at 3:11 PM #191436
  robertogozzi

  To make it appear like your original one, I need the rules that have made that pic appear like that (not the picture itself).

   

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 17087

  Been thanked: 4005 times
• Author
  Posts