Indicator
Indicator
Indicator
Indicator
Indicator
Indicator
Volatility Risk Premium GOLD & SILVER 1.0ENGLISH
This indicator (V-R-P) calculates the (one month) Volatility Risk Premium for GOLD and SILVER.
V-R-P is the premium hedgers pay for over Realized Volatility for GOLD and SILVER options.
The premium stems from hedgers paying to insure their portfolios, and manifests itself in the differential between the price at which options are sold (Implied Volatility) and the volatility GOLD and SILVER ultimately realize (Realized Volatility).
I am using 30-day Implied Volatility (IV) and 21-day Realized Volatility (HV) as the basis for my calculation, as one month of IV is based on 30 calendaristic days and one month of HV is based on 21 trading days.
At first, the indicator appears blank and a label instructs you to choose which index you want the V-R-P to plot on the chart. Use the indicator settings (the sprocket) to choose one of the precious metals (or both).
Together with the V-R-P line, the indicator will show its one year moving average within a range of +/- 15% (which you can change) for benchmarking purposes. We should consider this range the “normalized” V-R-P for the actual period.
The Zero Line is also marked on the indicator.
Interpretation
When V-R-P is within the “normalized” range, … well... volatility and uncertainty, as it’s seen by the option market, is “normal”. We have a “premium” of volatility which should be considered normal.
When V-R-P is above the “normalized” range, the volatility premium is high. This means that investors are willing to pay more for options because they see an increasing uncertainty in markets.
When V-R-P is below the “normalized” range but positive (above the Zero line), the premium investors are willing to pay for risk is low, meaning they see decreasing uncertainty and risks in the market, but not by much.
When V-R-P is negative (below the Zero line), we have COMPLACENCY. This means investors see upcoming risk as being lower than what happened in the market in the recent past (within the last 30 days).
CONCEPTS :
Volatility Risk Premium
The volatility risk premium (V-R-P) is the notion that implied volatility (IV) tends to be higher than realized volatility (HV) as market participants tend to overestimate the likelihood of a significant market crash.
This overestimation may account for an increase in demand for options as protection against an equity portfolio. Basically, this heightened perception of risk may lead to a higher willingness to pay for these options to hedge a portfolio.
In other words, investors are willing to pay a premium for options to have protection against significant market crashes even if statistically the probability of these crashes is lesser or even negligible.
Therefore, the tendency of implied volatility is to be higher than realized volatility, thus V-R-P being positive.
Realized/Historical Volatility
Historical Volatility (HV) is the statistical measure of the dispersion of returns for an index over a given period of time.
Historical volatility is a well-known concept in finance, but there is confusion in how exactly it is calculated. Different sources may use slightly different historical volatility formulas.
For calculating Historical Volatility I am using the most common approach: annualized standard deviation of logarithmic returns, based on daily closing prices.
Implied Volatility
Implied Volatility (IV) is the market's forecast of a likely movement in the price of the index and it is expressed annualized, using percentages and standard deviations over a specified time horizon (usually 30 days).
IV is used to price options contracts where high implied volatility results in options with higher premiums and vice versa. Also, options supply and demand and time value are major determining factors for calculating Implied Volatility.
Implied Volatility usually increases in bearish markets and decreases when the market is bullish.
For determining GOLD and SILVER implied volatility I used their volatility indices: GVZ and VXSLV (30-day IV) provided by CBOE.
Warning
Please be aware that because CBOE doesn’t provide real-time data in Tradingview, my V-R-P calculation is also delayed, so you shouldn’t use it in the first 15 minutes after the opening.
This indicator is calibrated for a daily time frame.
----------------------------------------------------------------------
ESPAŇOL
Este indicador (V-R-P) calcula la Prima de Riesgo de Volatilidad (de un mes) para GOLD y SILVER.
V-R-P es la prima que pagan los hedgers sobre la Volatilidad Realizada para las opciones de GOLD y SILVER.
La prima proviene de los hedgers que pagan para asegurar sus carteras y se manifiesta en el diferencial entre el precio al que se venden las opciones (Volatilidad Implícita) y la volatilidad que finalmente se realiza en el ORO y la PLATA (Volatilidad Realizada).
Estoy utilizando la Volatilidad Implícita (IV) de 30 días y la Volatilidad Realizada (HV) de 21 días como base para mi cálculo, ya que un mes de IV se basa en 30 días calendario y un mes de HV se basa en 21 días de negociación.
Al principio, el indicador aparece en blanco y una etiqueta le indica que elija qué índice desea que el V-R-P represente en el gráfico. Use la configuración del indicador (la rueda dentada) para elegir uno de los metales preciosos (o ambos).
Junto con la línea V-R-P, el indicador mostrará su promedio móvil de un año dentro de un rango de +/- 15% (que puede cambiar) con fines de evaluación comparativa. Deberíamos considerar este rango como el V-R-P "normalizado" para el período real.
La línea Cero también está marcada en el indicador.
Interpretación
Cuando el V-R-P está dentro del rango "normalizado",... bueno... la volatilidad y la incertidumbre, como las ve el mercado de opciones, es "normal". Tenemos una “prima” de volatilidad que debería considerarse normal.
Cuando V-R-P está por encima del rango "normalizado", la prima de volatilidad es alta. Esto significa que los inversores están dispuestos a pagar más por las opciones porque ven una creciente incertidumbre en los mercados.
Cuando el V-R-P está por debajo del rango "normalizado" pero es positivo (por encima de la línea Cero), la prima que los inversores están dispuestos a pagar por el riesgo es baja, lo que significa que ven una disminución, pero no pronunciada, de la incertidumbre y los riesgos en el mercado.
Cuando V-R-P es negativo (por debajo de la línea Cero), tenemos COMPLACENCIA. Esto significa que los inversores ven el riesgo próximo como menor que lo que sucedió en el mercado en el pasado reciente (en los últimos 30 días).
CONCEPTOS :
Prima de Riesgo de Volatilidad
La Prima de Riesgo de Volatilidad (V-R-P) es la noción de que la Volatilidad Implícita (IV) tiende a ser más alta que la Volatilidad Realizada (HV) ya que los participantes del mercado tienden a sobrestimar la probabilidad de una caída significativa del mercado.
Esta sobreestimación puede explicar un aumento en la demanda de opciones como protección contra una cartera de acciones. Básicamente, esta mayor percepción de riesgo puede conducir a una mayor disposición a pagar por estas opciones para cubrir una cartera.
En otras palabras, los inversores están dispuestos a pagar una prima por las opciones para tener protección contra caídas significativas del mercado, incluso si estadísticamente la probabilidad de estas caídas es menor o insignificante.
Por lo tanto, la tendencia de la Volatilidad Implícita es de ser mayor que la Volatilidad Realizada, por lo cual el V-R-P es positivo.
Volatilidad Realizada/Histórica
La Volatilidad Histórica (HV) es la medida estadística de la dispersión de los rendimientos de un índice durante un período de tiempo determinado.
La Volatilidad Histórica es un concepto bien conocido en finanzas, pero existe confusión sobre cómo se calcula exactamente. Varias fuentes pueden usar fórmulas de Volatilidad Histórica ligeramente diferentes.
Para calcular la Volatilidad Histórica, utilicé el enfoque más común: desviación estándar anualizada de rendimientos logarítmicos, basada en los precios de cierre diarios.
Volatilidad Implícita
La Volatilidad Implícita (IV) es la previsión del mercado de un posible movimiento en el precio del índice y se expresa anualizada, utilizando porcentajes y desviaciones estándar en un horizonte de tiempo específico (generalmente 30 días).
IV se utiliza para cotizar contratos de opciones donde la alta Volatilidad Implícita da como resultado opciones con primas más altas y viceversa. Además, la oferta y la demanda de opciones y el valor temporal son factores determinantes importantes para calcular la Volatilidad Implícita.
La Volatilidad Implícita generalmente aumenta en los mercados bajistas y disminuye cuando el mercado es alcista.
Para determinar la Volatilidad Implícita de GOLD y SILVER utilicé sus índices de volatilidad: GVZ y VXSLV (30 días IV) proporcionados por CBOE.
Precaución
Tenga en cuenta que debido a que CBOE no proporciona datos en tiempo real en Tradingview, mi cálculo de V-R-P también se retrasa, y por este motivo no se recomienda usar en los primeros 15 minutos desde la apertura.
Este indicador está calibrado para un marco de tiempo diario.
Indicator
Indicator
Strategy
Indicator
Indicator
RedK Volume-Accelerated Directional Energy Ratio (RedK VADER)The Volume-Accelerated Directional Energy Ratio (VADER) makes use of price moves (displacement) and the associated volume (effort) to estimate the positive (buying) and negative (selling) "energy" behind the scenes, enabling traders to "read the market action" in more details and adjust their trading decisions accordingly.
How does VADER work?
------------------------------------
I have always been a fan of technical analysis concepts that are simple, and that integrate both price action and volume together - The concept behind VADER is really a simple one.
Let's walk though it as we avoid getting too technical:
Large price moves that are associated with large volume means buyers (if the move is up) or sellers (when the move is down) are serious and are "in control" of the action
On the other hand, when the price moves are small but with large volume, it means there's a fight, or more of a balance of energy, between buying and selling.
Also when large price moves are associated with relatively limited volume, there's a lack of "energy" from either buyers or sellers - and moves likes these are usually short-lived.
The analogy with VADER, is that we look at price moves (change of close between 2 bars) as the displacement (or action result) and the associated volume as the "effort" behind this action -- Combining these 2 values together, the displacement and the effort, gives us a representation or a proxy of the underlying energy (in a specific direction).
when both values (displacement and effort) are high, then the resulting energy is high - and if one of these values are low, the resulting energy is low.
we then take an average of that relative energy in each direction (positive = buying and negative = selling) and calculate the net energy.
note that we're approaching the analogy here from a trading perspective and not from physics perspective :) -- we can be forgiven if the energy calculation in physics is different ..
VADER Plots
---------------------
the blue line with crosses represents the positive energy - or the buying strength
the orange line with circles represents the negative energy - or the selling strength
the thick Green / Red main line plot represents the net energy - and generally the main signal to be looking out for is when that line crosses 0 up or down - but i find it also very valuable to keep an eye on the individual energy lines as they sometimes "tell a story" like we see in the chart above,
Volume Calculation:
----------------------------
- VADER by default is a volume-weighted indicator - it uses the volume associated with change in bar close value (Full mode) as an accelerator in the calculation of the directional energy
- VADER introduces another method of integrating volume, by considering "relative" or "differential" volume (Relative mode) - in this mode, we consider the ratio of volume above the minimum volume observed within a "lookback" length - so practically, ignoring the minimum volume. in other words, if a price move is associated with very low volume, it gets very low "volume accelerator" (close to 0) and if the move is associated with very large volume, it gets the maximum volume accelerator (1 or close to 1) - The relative mode of volume calculation magnifies volume effect and ignores the low volume values that may just act as noise. test both modes and find which one works better for you.
- VADER also has the ability to work without volume (volume calculation = None) - and will revert to that mode when used with instruments that have no volume data. In that mode, VADER will behave similar to an RSI (but not exactly like it given the underlying calculation is different)
- We can also setup VADER at a specific resolution / timeframe that is different than the chart.
Using VADER & Other Thoughts
----------------------------------------
The main signal to look out for, is when VADER's Green / Red line crosses the zero line.
Green (above zero) represents that the net energy is with the buyers and we should favor long positions
Red (below zero) reflects that the sellers have control and we should favor short positions (or consider to close longs)
*** However, VADER should be used as a *secondary indicator* - given the big influence of volume on the calculation - VADER doesn't directly track price trend or momentum - VADER needs to be used in the context of other indicators that show trend and momentum - i would suggest you combine VADER with Moving Averages or other trend tracking indicators on the price chart, MACD, RSI and / or other trend and momentum indicators you're already familiar with.
Suggested setup:
There's more to add to VADER in future versions - alerts, control level, maybe improve visuals... etc - please share your feedback as you start experimenting with VADER.. good luck! (and of course, May the Force be with you :) ) Indicator
Indicator
Strategy
Strategy
{Gunzo} Stock to Flow (Gold, Silver, Dollar, Bitcoin)This indicator displays the Stock to Flow (S2F) ratio for popular commodities (Gold, Silver, Dollar, Euro, Bitcoin, Ethereum) in order to
compare them and determine which ones could be a good Store of Value (SoV).
OVERVIEW :
Stock to Flow is a popular indicator used to predict commodities scarcity. It evaluates the total stock of a commodity against the total amount that can be produced during a year. This model supposes that if scarcity is increasing, the price is going to increase.
This model has been used over the last years on Bitcoin to determine if the asset was undervalued or overvalued, and even make prediction models on the future price.
This script is going to focus on the Stock to Flow ratio (total stock/amount produced) to compare the following assets over time :
Mining resources (mined) for Gold and Silver
Cryptos assets (mined) for Bitcoin and Ethereum
FIAT currencies (banknotes printed) for Dollar and Euro
CALCULATION :
The calculation of the Stock to Flow ratio evaluates the total stock of a commodity produced against the production made for a specific year. The data is calculated on a yearly basis, then interpolated to get monthly or daily values.
DATA ORIGIN :
The main information needed to calculate the Stock to Flow ratio is the "yearly production" of a commodity. I tried to retrieve that information from the most reliable sources :
for Gold from research on www.gold.org
for Silver from research on www.silverinstitute.org
for Ethereum from research on etherscan.io
for Bitcoin from data source "QUANDL:BCHAIN/TOTBC" from www.quandl.com
for Dollar from research on www.federalreserve.gov
for Euro from research on www.ecb.europa.eu
SETTINGS :
Smoothing for interpolated data : Smoothing factor for assets that are calculated yearly and then interpolated (Gold, Silver, Dollar, Euro, and Ethereum)
Smoothing for non interpolated data : Smoothing factor for assets that are calculated daily and not interpolated (Bitcoin)
Display asset names : Display assets names in a colored rectangle on the right side of the chart
Display asset values : Display assets Stock to Flow ratio in a colored rectangle on the right side of the chart
Display key events for assets : Display important events for the assets at the bottom of the chart using the same color as the assets lines (for example Orange diamond is a Bitcoin halving). Please refer to the script code for the details of all events.
USAGE :
This script can be used on any asset available on PulseWire as the data used is either static or external.
However I recommend using it the Gold asset from currency.com as the depth of the chart will be bigger (since 1980s).
It is recommended to used this script on the monthly timeframe as the chart data is calculated yearly and then interpolated. Indicator
Indicator
Indicator
Indicator
Indicator
Indicator
Financial Astrology Moon LongitudeMoon energy represent the masses, crowds, public places, children and emotions. The transit of the Moon through the zodiacal signs will color the crowd emotional responses that fluctuate based on the elemental qualities of the signs: fire (energetic and impulsive), earth (rigid, static, patient), water (assimilation, transformation, humor fluctuations), air (expansion, fervent, germination).
The daily average speed of the Moon is 13 degrees, for this reason the emotional elemental energy is transforming in average every 2 days and few hours, this mood fluctuations produces the short term instinctive and emotional actions performed by traders that forget the precise mathematical / statistical approach in favor of irrational and emotional impulses.
Based on statistical buy/sell frequency analysis we discovered that for BTC-USD, the Moon is usually bullish in zodiac signs: Aries, Libra, Scorpio, Aquarius and Pisces, the most relevant bullish sign is "Aquarius", from 206 observations in all the BTC-USD price history where Moon was in this sign the 60% of those days the price increased compared to the previous day. The bearish zodiac signs for BTC-USD are: Taurus, Cancer, Leo, Sagittarius and Capricorn, the most relevant bearish sign is "Capricorn".
Interestingly this zodiac sign locations tends to fluctuate during some periods of time and from the last 10 observations of the Moon transiting through Aries we noted that 7 of the 10 observations coincide with a dip, sometimes the Moon in Aries indicate the reversal of the short term trend, this is kind of expected considering that when Moon approaches Taurus the fall becomes more likely due to the fact that Moon in Taurus is a bearish signal.
With this indicator there is unlimited possibilities to explore across different markets and complementing with Moon phases this may be the perfect financial astrology indicator for those intraday traders that keep positions only for few hours.
We encourage you to analyze the Moon zodiac sign cycles in different markets and share with us your observations, leave us a comment with your research outcomes. Happy trading!
Note: The Moon longitude indicator is based on an ephemeris array that covers years 2010 to 2030, prior or after this years the longitude is not available, this daily ephemeris are based on UTC time so in order to align properly with the price bars times you should set UTC as your chart reference timezone.
Indicator
Indicator
