PROTECTED SOURCE SCRIPT
已更新 BF_VolVol
Generally VVIX, VIX of VIX is called as a volatility of volatility. Here we will calculate the ratio of VVIX over VIX and then smooth it out with 5 days SMA and it will be called as VolVol indicator.
By monitoring VolVol indicator, we can peek in the trend of S&P50 market volatility as well as investor's sentiment.
When VolVol indicator is increasing, the market volatility is decreasing and bullish sentiment,
When VolVol indicator is decreasing, the market volatility is increasing and bearish sentiment.
In addition to the 5 days SMA, 20 days look back Bollinger band is added. Note that VIX or VVIX is an expected volatility of 30-day forward price of S&P 500 or VIX respectively, and the 20 days look back period represent last 20 trading days which is equivalent to the last 30 days (approximately 20 trading days during last 30 calendar days) of realized historical price.
When 5 days SMA of VolVol is golden crossing the mid line of the Bollinger band, it is considered as a strong bullish signal and market volatility is decreasing,
When 5 days SMA of VolVol is dead crossing the mid line of the Bollinger band, it is considered as a strong bearish signal and market volatility is increasing.
Consider VolVol indicator as a psychology expression of market participants behavior and sentiment.
By monitoring VolVol indicator, we can peek in the trend of S&P50 market volatility as well as investor's sentiment.
When VolVol indicator is increasing, the market volatility is decreasing and bullish sentiment,
When VolVol indicator is decreasing, the market volatility is increasing and bearish sentiment.
In addition to the 5 days SMA, 20 days look back Bollinger band is added. Note that VIX or VVIX is an expected volatility of 30-day forward price of S&P 500 or VIX respectively, and the 20 days look back period represent last 20 trading days which is equivalent to the last 30 days (approximately 20 trading days during last 30 calendar days) of realized historical price.
When 5 days SMA of VolVol is golden crossing the mid line of the Bollinger band, it is considered as a strong bullish signal and market volatility is decreasing,
When 5 days SMA of VolVol is dead crossing the mid line of the Bollinger band, it is considered as a strong bearish signal and market volatility is increasing.
Consider VolVol indicator as a psychology expression of market participants behavior and sentiment.
發行說明
updated to version=5受保護腳本
此腳本以閉源形式發佈。 不過，您可以自由且不受任何限制地使用它 — 在此處了解更多資訊。
免責聲明
這些資訊和出版物並不意味著也不構成TradingView提供或認可的金融、投資、交易或其他類型的意見或建議。請在使用條款閱讀更多資訊。
免責聲明
這些資訊和出版物並不意味著也不構成TradingView提供或認可的金融、投資、交易或其他類型的意見或建議。請在使用條款閱讀更多資訊。