VWAP Implied Volatility Bands

٢١ فبراير ٢٠٢٢

This script takes the built in VWAP function and creates bands using various Volatility Indexes from the CBOE. The script plots the bands at desired multiples, as well as the closing value of the prior day's first set of bands. Users can choose from the following:

VIX(ES), VXN(NQ), RVX(RTY), OVX(CL), GVX(GC), SIV(ZS), CIV(ZC), TYVIX(ZN), EUVIX(EURUSD), BPVIX(GBPUSD)

Upon selecting the desired volatility index, users must change the multiplier to fit the underlying product since the indexes are all calculated differently.

The goal with this script was to use market generated information (IV) to highlight potential trade locations.