implied volatility minus realized volatility
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 This topic has 14 replies, 2 voices, and was last updated 4 months ago by robertogozzi.
Tagged: implied, implied volatility, realized, realized volatility, std, volatility


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:12345678910111213141516171819// Implied Volatility (Vix Fix)pd = 22 //22 LookBack Periodswvf = ((highest[pd](close)low)/(highest[pd](close)))*100 //Vix Fix//// Realized VolatilityPeriods = 10IF BarIndex > 0 THENR = Log(close)  Log(close[1]) //or Log(close / close[1])VolReal = Sqrt(summation[Periods](Square(R))) * 100ENDIF//AvgP = 20 //average PeriodsStdP = 10 //STD periodsMyVol = wvf / VolReal//// Standard Deviation on averageAvg = average[AvgP,0](MyVol)AvgSTD = STD[StdP](Avg)RETURN AvgSTD AS "STD of Implied Vol / Realized Vol"really really appreciate your help roberto!! 😀
I think the indicator is made frome this: http://www.divaportal.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
ullle73OfflineTopics: 45Replies: 158Been thanked: 5 timesi 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.
ullle73OfflineTopics: 45Replies: 158Been thanked: 5 timesYes, you can find a version at https://www.prorealcode.com/prorealtimeindicators/volatilityratioschwager/.
Yes, you can find a version at https://www.prorealcode.com/prorealtimeindicators/volatilityratioschwager/.
thanks!
is it possible to have it shown as a deviation 4 to 4 from std/average? like the original picture i showed? 😀
ullle73OfflineTopics: 45Replies: 158Been thanked: 5 timesThere’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.
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/prorealtimeindicators/zscoredistancefromvwap/
zscore123456789101112131415161718192021222324252627282930313233//PRC_VWAP Zscore//08.01.2019//Nicolas @ www.prorealcode.com//Sharing ProRealTime knowledge//  settingsSDminPeriod = 100 //minimal period to compute the Standard DeviationsmoothZscore = 0 //smooth the curve? (0=false ; 1=true)//  end of settingsd = max(2,intradaybarindex)//max(1, intradaybarindex)if intradaybarindex=0 thenvwap = (volume*customclose)/(volume)elseVWAP = SUMMATION[d](volume*customclose)/SUMMATION[d](volume)endifsd = SUMMATION[max(SDminPeriod,d)](max(abs(highvwap),abs(vwaplow)))/max(SDminPeriod,d)if smoothZscore thenzscore=average[3]((closevwap)/sd)elsezscore = (closevwap)/sdendifif zscore>=2 thendrawcandle(2,2.5,2,2.5) coloured(255,0,0,100) bordercolor(0,0,0,0)endifif zscore<=2 thendrawcandle(2,2.5,2,2.5) coloured(0,255,0,100) bordercolor(0,0,0,0)endifRETURN 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)ullle73OfflineTopics: 45Replies: 158Been thanked: 5 timesTo 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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