PROTECTED SOURCE SCRIPT

VWAP Implied Volatility Bands

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.
Bands and ChannelsCrude Oil Futures WTI (CL1!)S&P 500 E-Mini FuturesimpliedvolatilityNASDAQ 100 E-MINI FUTURESreversaltrendVolatilityVolume Weighted Average Price (VWAP)

Protected script

This script is published closed-source and you may privately use it freely.

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