ATR and IV Volatility Table

The ATR and IV Volatility Table indicator provides a comprehensive view of daily price boundaries by calculating top and bottom levels based on Average True Range (ATR) and Implied Volatility (IV).

Usage

The indicator can be used to identify potential support and resistance levels for the trading day. Users can view these levels in a dashboard format or plot them directly on the chart to visualize the expected daily range.

• ATR Levels: These are calculated by adding and subtracting the daily ATR value from the previous day's closing price. These levels act as volatility-adjusted boundaries based on recent price action.
• IV Levels: These are calculated using a user-defined Implied Volatility percentage. The daily expected move is derived using the formula: IV / sqrt(252). This percentage is then applied to the closing price to determine the upper and lower bounds.
• Analysis: These levels are frequently used by day traders as areas where price may stall or reverse. It is recommended to check these values at the start of a new daily candle to set expectations for the day's movement.

Details

The script calculates daily values regardless of the chart timeframe by utilizing request.security to fetch daily data.

1. ATR Calculation: Uses a standard ATR length (default 14) calculated on the daily timeframe.
2. IV Calculation: Since Implied Volatility is often an external data point in many markets, the script allows users to manually input the current IV percentage for the asset. This is then converted to a daily standard deviation estimate.
3. Visualization: A table displays the raw ATR and IV values alongside the specific price targets (Close +/- Volatility).

Settings

Plotting

• Plot Bottom and Top Levels from ATR: Toggles the visibility of the ATR-based support and resistance lines on the chart.
• Plot Bottom and Top Levels from IV: Toggles the visibility of the IV-based support and resistance lines on the chart.

Parameters

• Length ATR: Sets the lookback period for the ATR calculation.
• IV Value: The annual Implied Volatility percentage (e.g., 25 for 25%).
• Position: Adjusts the location of the on-screen information table.

FAQ

How do I use the IV feature effectively?

Because IV is not always available as a built-in variable for every asset, you should find the current IV for your specific ticker from an external source and update the "IV Value" setting manually to get accurate levels.

Can I use this on intraday timeframes?

Yes, the script is designed to fetch daily data regardless of your current chart timeframe, making it ideal for day trading on 1-minute, 5-minute, or 15-minute charts.

How can I access the ATR and IV Volatility Table?

You can get access on the LuxAlgo Library for charting platforms like TradingView, MetaTrader (MT4/MT5), and NinjaTrader for free.