For Educational Purpose -
Intraday VIX estimation using yesterdays VIX, previous overnight roll , and intraday values for the VXX etf (scaled up to VIX)
Works in all intraday time frames.
First attempt...feedback welcome.
Intraday VIX estimation using yesterdays VIX, previous overnight roll , and intraday values for the VXX etf (scaled up to VIX)
Works in all intraday time frames.
First attempt...feedback welcome.
//@version=2 study("Pseudo VIX 0.beta") // by gb50k //find current ratio of vxx to vix vix4=security("VIX" ,"D" , close) vxx4=security("Vxx" ,"D" , close) //smooth m0= ema(sma(vxx4/vix4,3),2) m=m0 v1=security("cboe:vi1!" ,"D" , ohlc4) v2=security("cboe:vi2!" ,"D" , ohlc4) roll0=ema(sma(v1/v2-1,3),2)/30 roll=roll0 vixo=((1+roll)*security("vxx" ,period , open))/m vixh=((1+roll)*security("vxx" ,period , high))/m vixl=((1+roll)*security("vxx", period , low))/m vixc=((1+roll)*security("vxx", period , close))/m plotcandle(vixo, vixh, vixl, vixc, title='ceand', color = vixo < vixc ? green : red, wickcolor=black)