Volatility Bands

[balha76202]

Hi All,

I have found this interesting and wish to share the link to find someone who could program it.

What are Volatility Bands ?
Volatility Bands (VBands) are price ranges (or "channels") where you could expect the price to remain "today", based on information from "yesterday." VBands are calculated as Standard Deviations.

Applying Volatility Bands
calculator uses the Implied Volatility Index for "yesterday's" option puts and calls (from IVolatility.com) to calculate the Standard Deviation, which is applied to "yesterday's" closing price to predict price ranges or channels for "today." As the Implied Volatility values for puts and calls get further apart, the price ranges increase. When the Implied Volatility values are closer to the same value (indicating that buyers and sellers of options are in closer agreement as to the future value), the price ranges decrease. The VBand calculator determines price ranges based on this volatility.

How do you use VBand values?
As published by Kevin Haggerty and others, the Volatility Bands provide a price at which you might expect support or resistance. For example, you could expect that 68% of the time (over MANY samples) that the price would stay within the 1.0 Standard Deviation range (from Standard Deviation -1.0 to 1.0). You could expect that the price would stay within the 2.0 Standard Deviation range 95% of the time. Just like Fibonacci Retrace levels, the VBand price values provide a slightly more likely place where the price of the stock will reverse to stay within the VBand. These values should NOT be treated as absolute brick-wall price barriers. However, the VBands will provide a price range in which statistically the price will remain.

When trading stocks, you may find several price points at which you think that the stock will likely be supported or provide resistance - that is, price points where the price is too far extended from where you think it should be, and where it will likely reverse to get back to more of a "reasonable" value. You might calculate these price points using Pivots, Fibonacci retrace values, VBands, trend lines, moving averages, previous support and resistance levels, or any of many other techniques. As with any of these other price point calculations, you should always look to other indicators for confirmation. Just because a price is approaching a VBand doesn't necessarily mean that it WILL reverse. However, if it's also approaching a moving average, or a previous support or resistance level, then your confidence level will increase.

Complete explanations at http://www.hamfon.com/daytrade/vband.htm

Maybe that someone could program it if not yet done by The Rumpled One or Michal ?

Olivier

[balha76202]

Here is the picture.

[TheRumpledOne]

I wrote 4 Volatility SLOT MACHINE indicators for TS.

There are 3 volatility indicators that come with TS.

[balha76202]

Hi TRO,

Is there one especially in which I can choose between
1.00 / 1.28 / 1.50 / 2.00 / 3.00 Standard Deviation ?

Does it work both on Charts and in RadarScreen.

Thanks.

Olivier

[Ali Son]

This Haggerty version would be great indeed balha, especially for options trading! Too bad TRO is not interested. Let us know if you are able to get it developed elsewhere!

-OS

[TheRumpledOne]

balha76202

You posted the screenshot... don't you have the indicator?

[balha76202]

Hi TRO,

No, sorry. I don't have the EL code of this indicator.

Quite complete explanations at http://www.hamfon.com/daytrade/vband.htm and from IVolatility.com

I hope it will help you to code it.

Have a nice day.

See you soon in Belgium.


Olivier
Belgiuml

[balha76202]

Hi again TRO,

On the Hamfon WebSite, you can freely enter Ticker Symbols to get what follows (Example with JNPR) :

Volatility Band
Calculator - HamFon
Web browser to www.ivolatility.com

Ticker
User ID
27.65 Call...Put 28.49
Close 22.31
VBand + Value - Value
1.00 22.64 21.98
1.28 22.73 21.89
1.50 22.80 21.82
2.00 22.97 21.65
3.00 23.29 21.33

Maybe the compared numbers on 2 or 3 symbols would help find the way it is calculated. The coding would be easier then.

Olivier

[balha76202]

On IVolatility.com, there is somme added explanation.

Olivier

[Ali Son]

Here is some background info (first link) and partially completed code (second link) on TS that need only a MASTER'S touch to finish the code:

https://www.tradestation.com/Discussion ... c_ID=15101

https://www.tradestation.com/Discussion ... r_ID=27704

Balha76202, if by now you already have the Haggerty Bands coded, please post or send me a PM.

-OS