CM Williams Vix Fix: a synthetic VIX from price alone.
wvf is how far the current low sits below the highest close of the lookback,
as a percentage: a spike means capitulation. The signal is not the level but
the breakout (wvf piercing its own Bollinger upper band, or the top
percentile of its recent range), so the histogram carries two colours and the
bands are what it is measured against.
CM Williams Vix Fix: a synthetic VIX from price alone.
wvfis how far the current low sits below the highest close of the lookback, as a percentage: a spike means capitulation. The signal is not the level but the breakout (wvfpiercing its own Bollinger upper band, or the top percentile of its recent range), so the histogram carries two colours and the bands are what it is measured against.