Pseudo VIX -Intraday -.beta — Indicator by gb50k

For Educational Purpose -

Intraday VIX estimation using yesterdays VIX, previous overnight roll , and intraday values for the VXX etf (scaled up to VIX)

Works in all intraday time frames.
First attempt...feedback welcome.

Open-source script

In true TradingView spirit, the author of this script has published it open-source, so traders can understand and verify it. Cheers to the author! You may use it for free, but reuse of this code in a publication is governed by House Rules. You can favorite it to use it on a chart.

Disclaimer

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Want to use this script on a chart?

//@version=2
study("Pseudo VIX 0.beta")
// by gb50k
//find current ratio of vxx to vix
vix4=security("VIX" ,"D"  , close)
vxx4=security("Vxx" ,"D"  , close)
//smooth
m0= ema(sma(vxx4/vix4,3),2)
m=m0

v1=security("cboe:vi1!" ,"D"  , ohlc4)
v2=security("cboe:vi2!" ,"D"  , ohlc4)
roll0=ema(sma(v1/v2-1,3),2)/30
roll=roll0


vixo=((1+roll)*security("vxx" ,period  , open))/m
vixh=((1+roll)*security("vxx" ,period  , high))/m
vixl=((1+roll)*security("vxx", period  , low))/m
vixc=((1+roll)*security("vxx", period  , close))/m


plotcandle(vixo, vixh, vixl, vixc, title='ceand', color = vixo < vixc ? green : red, wickcolor=black)