OPEN-SOURCE SCRIPT
Volatility Skew
This indicator measure the historical skew of actual volatility for an individual security. It measure the volatility of up moves versus down moves over the period and gives a ratio. When the indicator is greater than one, it indicators that volatility is greater to the upside, when it is below 1 it indicates that volatility is skewed to the downside.
This is not comparable to the SKEW index, since that measures the implied volatility across option strikes, rather than using historical volatility.
This is not comparable to the SKEW index, since that measures the implied volatility across option strikes, rather than using historical volatility.
Open-source script
In true TradingView spirit, the author of this script has published it open-source, so traders can understand and verify it. Cheers to the author! You may use it for free, but reuse of this code in publication is governed by House rules. You can favorite it to use it on a chart.
Software Engineer and FX, Options, Crypto Trader. Previously worked at large options market maker. If you like my scripts and would like to donate:
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