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Termstructure

Cash VIX Term StructureLet’s first start with some definitions: VIX9D: The CBOE S&P 500 9-Day Volatility Index estimates the expected 9-day volatility of S&P 500® stock returns. www.cboe.com VIX: The CBOE Volatility Index® (VIX® ) is considered by many to be the world's premier barometer of equity market volatility. The VIX Index is based on real-time prices of options on the S&P 500® Index (SPX) and is designed to reflect investors' consensus view of future (30-day) expected stock market volatility. The VIX Index is often referred to as the market's "fear gauge". www.cboe.com VIX3M: The CBOE 3-Month Volatility Index is designed to be a constant measure of 3-month implied volatility of the S&P 500® (SPX) Index options. www.cboe.com VIX6M: The CBOE S&P 500 6-Month Volatility Index is an estimate of the expected 6-month volatility of the S&P 500® Index. www.cboe.com VIX1Y: The CBOE S&P 500 1-Year Volatility Index is an estimate of the expected 1-Yeaer volatility of the S&P 500® Index. www.cboe.com This indicator visually displays the relationship between all the above products (short term vol vs long term vol). It also displays the current value and daily percentage change. The shape of the term structure can tell us a lot about the market: When the slope of the term structure is upward sloping (longer term VIX are higher than shorter term VIX), we say the term structure is in contango. This usually means that market is stable. When the slope of the term structure is downward sloping (longer term VIX are lower than shorter term VIX), we say the term structure is in backwardation. This usually happens in periods of extreme market volatility. Sometimes VIX9D will be higher than VIX but the rest of the curve is in contango. This means that there might be some event in the next 9 days that we need to pay attention to. I also added a few ratios that I personally track like VIX9D/VIX, VIX/VIX3M and VIX/VIX6M. When trading short term, I tend to focus on the front end of the curve. When trading long term, I tend to look at VIX/VIX6M. In addition to the ratios, I added some historical parameters (lookback date can be set from the indicator’s settings) like Highest Value, Lowest Value, Percentile Rank, Average, Median and Mode. Percentile ranks are displayed for both individual products and their ratios (that’s how I like to see them). I hope you guys like this indicator. Happy trading!
อินดิเคเตอร์ Pine Script™
โดย juicySkew
2
vx_termsUSAGE -------- This script helps train your intuition for changes in the VX term structure. I recommend using it on the VIX chart, so you can compare changes in the terms to changes in VIX. It's also nice for calendar spread traders who want to get a feel for the same changes. 1. Select a day, month, and year using the inputs 2. Observe the data table. 3. Open the input again and increment or decrement the day (and month, year as necessary). 4. Click "Ok". 5. Click to deselect the indicator, which allows the chart to load new data. 6. The data table will be reloaded with the next/previous day's data. The data table has the following columns: - contract: the VX contracts, in sequence. refer to the CBOE for month codes (F for January, etc.) - close: the closing price of the contract. - ma:mb: the spread (difference) between this row and the next row. - ma:mb chg: the spread's change from prior close. For example, given the following values for the first two columns: VXQ2021, 16.5, -3.1, -0.2 VXU2021, 19.6, ..., ... The front month (Q = august) closed at 16.5, $3.1 below the s\September contract. The negative spread enlarged by $0.20 from $2.90 on the previous trading day. BUGS, ODDITIES, AND LIMITATIONS: ------------------------------------------- - The first column will be greyed out after expiration day, which is the 3rd Tuesday of that month. Unfortunately, I can't load the next month's contract due to some limitations with TV. - The active date is highlighted with a yellow background. When a non-trading date is selected, the highlight will disappear. However, the data table will sometimes fill with the nearest trading date, prematurely. No worries, just know that the data is probably for the previous Friday. - The script is clunky and slow, but this is the best I can do with TV. Hopefully they add more continuous contracts or allow true dynamic symbol loading. SPECIAL THANKS: --------------------- Thanks to HeWhoMustNotBeNamed for helping me get through some messiness. Very helpful guy. www.tradingview.com
อินดิเคเตอร์ Pine Script™
โดย taylor_o
1