implied volatility minus realized volatility

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

    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? 🙂

    03/24/2022 at 4:14 PM #190425 quote
    ullle73
    Participant
    Senior

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

    03/24/2022 at 5:29 PM #190427 quote
    robertogozzi
    Moderator
    Master

    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"
    03/24/2022 at 10:42 PM #190441 quote
    ullle73
    Participant
    Senior

    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

    03/24/2022 at 10:45 PM #190443 quote
    ullle73
    Participant
    Senior

    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.

    03/25/2022 at 6:22 PM #190499 quote
    robertogozzi
    Moderator
    Master

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

    03/26/2022 at 8:24 PM #190530 quote
    ullle73
    Participant
    Senior
    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? 😀

    03/28/2022 at 11:00 AM #190639 quote
    robertogozzi
    Moderator
    Master

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

    ullle73 thanked this post
    03/28/2022 at 11:00 AM #190640 quote
    ullle73
    Participant
    Senior

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

    03/28/2022 at 11:00 AM #190642 quote
    ullle73
    Participant
    Senior

    thanks roberto 😀

    03/28/2022 at 11:01 AM #190643 quote
    robertogozzi
    Moderator
    Master

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

    ullle73 thanked this post
    03/29/2022 at 10:45 PM #190761 quote
    ullle73
    Participant
    Senior

    thanks roberto!

     

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

    03/31/2022 at 11:41 PM #190888 quote
    robertogozzi
    Moderator
    Master

    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.

    04/05/2022 at 10:29 PM #191286 quote
    ullle73
    Participant
    Senior

    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/

     

    //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)
    04/08/2022 at 3:11 PM #191436 quote
    robertogozzi
    Moderator
    Master

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

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implied volatility minus realized volatility


General trading discussions

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ullle73 @jonas_rydqvist Participant
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This topic contains 14 replies,
has 2 voices, and was last updated by robertogozzi
3 years, 10 months ago.

Topic Details
Forum: General trading discussions
Language: English
Started: 03/24/2022
Status: Active
Attachments: 4 files
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