implied volatility minus realized volatility

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  • #190371 Report

    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? 🙂

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    #190425 Report

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

    #190427 Report

    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:

    #190441 Report

    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

     

     

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    #190443 Report

    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.

    #190499 Report
    #190530 Report

    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? 😀

    #190639 Report

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

    Attachments:
    1. Volatility-Ratio-Schwager-DEV.itf
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    #190640 Report

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

    #190642 Report

    thanks roberto 😀

    #190643 Report

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

     

    1 user thanked author for this post.
    #190761 Report

    thanks roberto!

     

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

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    #190888 Report

    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.

     

    #191286 Report

    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/

     

     

    #191436 Report

    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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