Variance Risk Premium OscillatorVariance Risk Premium Oscillator
What it does
The Variance Risk Premium Oscillator measures the gap between implied volatility (a volatility index such as India VIX) and realized volatility, scaled in standard-deviation (σ) units. That gap — the variance risk premium (VRP) — tells you whether option protection is currently rich (expensive, complacent) or cheap (underpriced, stressed). A vol-of-vol read is shown alongside as an instability gauge.
Why this is different (and original)
Most volatility tools on charts forecast or display realized volatility (ATR, standard-deviation bands, historical-vol plots). This one reads something different: the price of volatility insurance. Decades of research show implied volatility systematically exceeds the volatility that is subsequently realized, so the premium is, on average, positive — investors pay up for protection. When that premium stretches unusually high, protection is expensive and the crowd is complacent; when it collapses or turns negative, fear is being paid for and volatility is cheap. Presenting this premium as a clean, self-normalizing mean-reversion oscillator with a built-in edge test is what makes it original — it is not a realized-vol band and not a VIX plot.
How it works
Realized volatility = annualized standard deviation of log-returns over the chosen window.
Implied volatility = the volatility index you point it at.
VRP = Implied − Realized.
The VRP series is z-scored over the normalization window into the σ oscillator. Vol-of-vol (the standard deviation of the implied index) is tracked separately as an instability read in the dashboard.
How to use it
Above the upper (red) band = vol RICH / complacency — protection expensive.
Below the lower (green) band = vol CHEAP / stress — protection underpriced.
Turns out of an extreme (triangles) are the mean-reversion events: a turn up from the cheap zone often coincides with stress easing; a turn down from the rich zone with complacency ending.
Read the EDGE row. The harness checks whether, after a cheap-zone turn, price actually rallied (and after a rich-zone turn, faded) by ≥ k×ATR within the horizon, versus the unconditional Base %. EDGE = Hit − Base. If it is near zero on your market, the mean-reversion read is not paying there.
Settings guide
01 · Data & Volatility — implied-vol symbol, realized-vol length, annualization (252 for daily; bars-per-year for intraday), vol-of-vol length, universal price source.
02 · Normalization — z-score window, output smoothing.
03 · Calibration — horizon, favourable-move threshold (×ATR), base-rate window.
04 · Bands — stretch and extreme σ bands; divergence pivot.
05 · Display & Theme — visual style, regime tint, dashboard, colors.
Non-repaint
The implied-vol index is requested with lookahead_off and settles on its bar's close — no future leak.
Concept credit
Variance risk premium and its return predictability — Bakshi & Kapadia (2003); Carr & Wu (2009); Bollerslev, Tauchen & Zhou (2009); Coval & Shumway (2001).
Disclaimer
For research and education only. Not financial advice, not a recommendation, and not a guarantee of future results. A stretched premium does not guarantee reversion — regimes can stay rich or cheap for long stretches. All statistics are in-sample, close-to-close, and exclude costs. Do your own research and manage your own risk. Indicator
Smart Volume Profile VPVR POC, Value Area, SR [LunqFX]Smart Volume Profile VPVR is a modern, professional-grade volume profile indicator for PulseWire that turns raw traded volume into the cleanest possible map of where the market actually did business. It plots the Point of Control (POC), the full 70% Value Area (VAH / VAL), and every High and Low Volume Node (HVN / LVN) as glowing, easy-to-read horizontal support and resistance levels — on any symbol and any timeframe: forex, crypto, stocks, indices, futures, gold (XAUUSD), Bitcoin (BTCUSD), NASDAQ, S&P 500, oil and more. Unlike a plain histogram, this VPVR (Volume Profile Visible Range) tool layers a live order-flow dashboard on top that reads the market in real time and tells you whether price is accepting value, rejecting value, rotating back to fair value, or breaking out — the exact context that separates profitable volume-profile trading from guessing. Built entirely in Pine Script v6 with neon gradient candles and a fully readable, gradient-coloured profile, it is designed to be both beautiful and genuinely useful for day trading, scalping, swing trading and intraday analysis.
◆ WHY VOLUME PROFILE MATTERS
Most indicators are based on price and time. Volume profile is based on price and volume — it answers a completely different and more important question: at which prices did the most trading actually happen? Those prices are where institutions, liquidity and "fair value" concentrate. High-volume areas act as magnets and strong support/resistance; low-volume areas are vacuums that price rips through. By making this structure obvious, Smart Volume Profile helps you trade with the auction instead of against it.
◆ WHAT IT DRAWS ON THE CHART
POC — Point of Control (gold ray): the single most-traded price in the window. This is the market's fairest value and its strongest magnet. Price returns to the POC again and again; it is the most important pivot on the chart.
VAH / VAL — Value Area High & Low (dashed rays): the top and bottom of the zone that contains 70% of all traded volume (fully configurable, 40–95%). Inside this band the market is "comfortable"; outside it the market is in discovery / imbalance.
High Volume Nodes (HVN): thick, bright rows = heavy acceptance = strong support & resistance and reaction/reversal zones.
Low Volume Nodes (LVN): thin, dim rows = rejection / fast-move zones where price tends to travel quickly and gap.
Gradient histogram: every row is colour-graded by its volume, so the profile literally glows where volume is heaviest — you read the structure at a glance instead of squinting at bars.
All levels extend as live rays with clean, high-contrast labels showing the exact price.
◆ THE LIVE DASHBOARD PANEL (this is what makes it "Smart")
A plain volume profile just draws lines. This indicator adds a compact, modern analytics panel that computes context you cannot see on the chart and condenses it into one glance:
Signal — the headline call, colour-coded: ▲ LONG revert, ▼ SHORT revert, ▲ BREAKOUT, ▼ BREAKDOWN, or ● BALANCED. This is the playbook for the current moment (logic explained below).
→ POC — the live distance from current price to the Point of Control, in %. This is your mean-reversion target and a quick read of how stretched price is from fair value.
In VA — a clean segmented meter showing where price currently sits inside the value area (from VAL on the left to VAH on the right). Instantly tells you if you're at the top, middle, or bottom of value.
Acceptance — the split of volume traded above vs below the POC (e.g. 52% ▼ / ▲ 48%). Reveals which side the market is building value on — a directional bias the chart hides.
Pressure — a segmented meter of buy volume vs sell volume across the whole window. Shows whether buyers or sellers are in control of the auction.
Footer — the lookback size and the actual % of volume captured by the value area, so you always know the context behind the numbers.
The panel is fully themeable (position, background, accent) and stays readable on dark charts.
◆ HOW IT WORKS (under the hood)
Binning: the chosen lookback window is divided into price rows ("buckets"). Resolution is adjustable for coarse or razor-sharp profiles.
True volume distribution: instead of dumping each bar's volume at its close, the indicator can spread each bar's volume across every price it actually traded through (high→low), producing a far more accurate profile than close-only methods.
POC detection: the row with the maximum accumulated volume becomes the Point of Control — by construction always the longest bar in the histogram.
Value Area expansion: starting from the POC, the algorithm steps outward toward whichever neighbouring row holds more volume, accumulating until the target (default 70%) of total volume is enclosed. The final boundaries become VAH and VAL — the same methodology used in classic Market Profile.
Order-flow analytics: the script measures volume above vs below the POC (Acceptance) and buy-bar vs sell-bar volume (Pressure) across the window.
Smart Signal engine: it blends Acceptance and Pressure into a single order-flow reading and combines it with price location relative to the value area to classify the situation as a rotation or a breakout (see below).
◆ THE SMART SIGNAL LOGIC
A naive volume-profile tool always says "revert to POC", which gets you run over in trends. This one is smarter:
Price BELOW value + order flow NOT confirming the drop → ▲ LONG revert (rotation back to POC).
Price BELOW value + order flow confirming the drop → ▼ BREAKDOWN (continuation — don't catch the knife).
Price ABOVE value + order flow NOT confirming the push → ▼ SHORT revert (rotation back to POC).
Price ABOVE value + order flow confirming the push → ▲ BREAKOUT (continuation — trade with it).
Price INSIDE value → ● BALANCED (range conditions — fade the edges back toward POC).
This single distinction — rotation vs breakout — is the difference between fading a pullback and getting trapped against a trend.
◆ HOW TO USE IT
Mean-reversion / range trading: in BALANCED or revert states, fade moves at VAH/VAL back toward the POC. The → POC distance is your target; HVN rows are logical stop zones.
Breakout / trend trading: in BREAKOUT / BREAKDOWN states, trade in the direction of the move and target the next HVN. Avoid counter-trend fades when order flow confirms the break.
Support & resistance mapping: treat thick HVN rows as high-probability reaction zones and expect rapid, low-resistance moves through LVN gaps.
Bias & confluence: use Acceptance and Pressure for directional bias, and combine the POC/VAH/VAL levels with your own structure, liquidity, order blocks or session tools for higher-conviction entries.
Multi-timeframe: raise the Lookback for higher-timeframe value (swing context), lower it for intraday/scalping context. Increase Rows for more precise POC placement.
◆ SETTINGS
Volume Profile Engine: Lookback (bars), Rows (resolution), Value Area %, true-range volume distribution toggle.
Profile Look: width, gap from price, anchor side (right of price / classic overlay), Value-Area / outside / POC colours.
Levels: POC ray, VAH/VAL rays, optional Value-Area shading, ray extension, label size (Small → Huge).
Neon Candles: gradient candles (turquoise bullish / magenta bearish) with momentum-scaled glow halo.
Panel: show/hide, position, background and accent colour.
◆ ALERTS
Price crossed POC
Breakout above VAH
Breakdown below VAL
◆ NON-REPAINTING
The profile, levels and dashboard are single objects rendered on the last bar over a fixed rolling lookback — historical bars are never repainted. As with any live tool, the current bar is included in the calculation, so the real-time read updates tick by tick and settles on close; closed history never changes.
Smart Volume Profile VPVR is an educational analysis tool, not financial advice. Volume profile reflects historical traded volume and does not predict future prices. Always do your own research and manage risk. © LunqFX.
Indicator
rv_iv_vrpThis script provides realized volatility (rv), implied volatility (iv), and volatility risk premium (vrp) information for each of CBOE's volatility indices. The individual outputs are:
- Blue/red line: the realized volatility. This is an annualized, 20-period moving average estimate of realized volatility--in other words, the variability in the instrument's actual returns. The line is blue when realized volatility is below implied volatility, red otherwise.
- Fuchsia line (opaque): the median of realized volatility. The median is based on all data between the "start" and "end" dates.
- Gray line (transparent): the implied volatility (iv). According to CBOE's volatility methodology, this is similar to a weighted average of out-of-the-money ivs for options with approximately 30 calendar days to expiration. Notice that we compare rv20 to iv30 because there are about twenty trading periods in thirty calendar days.
- Fuchsia line (transparent): the median of implied volatility.
- Lightly shaded gray background: the background between "start" and "end" is shaded a very light gray.
- Table: the table shows the current, percentile, and median values for iv, rv, and vrp. Percentile means the value is greater than "N" percent of all values for that measure.
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Volatility risk premium (vrp) is simply the difference between implied and realized volatility. Along with implied and realized volatility, traders interpret this measure in various ways. Some prefer to be buying options when there volatility, implied or realized, reaches absolute levels, or low risk premium, whereas others have the opposite opinion. However, all volatility traders like to look at these measures in relation to their past values, which this script assists with.
By the way, this script is similar to my "vol premia," which provides the vrp data for all of these instruments on one page. However, this script loads faster and lets you see historical data. I recommend viewing the indicator and the corresponding instrument at the same time, to see how volatility reacts to changes in the underlying price. Indicator
