VIX Edge Levels โ Volatility-Based S/R for ES
๐ฎ VIX Edge Levels
VIX Edge Levels provides a smart, pre-calculated volatility map for the E-mini S&P 500 โ based on the previous sessionโs close and the closing value of the VIX.
โ ๏ธ This study doesnโt repaint or update in real time โ itโs designed to project fixed support and resistance zones for todayโs session, using institutional-grade Expected Move (EM) logic.
๐ Why VIX Edge Levels Matter
When ES is trading at all-time highs and thereโs no historical price structure, most traders rely on guesswork.
This tool delivers objective levels derived from actual market volatility, calculated from the prior close โ not arbitrary zones or subjective hindsight levels.
These levels are:
- ๐ฏ Ideal as pre-session reference points
- ๐งฒ Act as intraday magnets, targets, and reversal zones
- ๐ Provide a quantitative framework to plan your session before the open
๐ How It Works
At the core is the Expected Move (EM) formula:
EM = ES PrevClose ร VIX ร โ(1/N)
Where:
- ES PrevClose = Prior daily close on ES
- VIX = Prior daily close of CBOE Volatility Index
-
N = Number of days (default: 252 or 365)
-
365
= Calendar-based normalization -
252
= Trading day normalization (used by many institutional models)
-
The study then plots:
- 8 Resistance Levels
- 8 Support Levels
โ These are fixed levels for the current trading session โ no recalculation during the day.
โ๏ธ Inputs & Customization
- Optional Manual Inputs for ES and VIX closes
- Auto-pull values from linked Daily Charts (ES + VIX)
- Switch between 252 or 365 days
- Fully customizable appearance to match your chart layout
๐ For auto-pull to work correctly, make sure to enter the correct Chart Numbers.
For example, if your Daily Chart for ES is chart #3, enter 3 in the input. If your VIX Daily Chart is #5, enter 5. These chart numbers must correspond to active charts in your Sierra Chart workspace.
๐ก In my setup, ES is on chart #2 and VIX is on chart #10 โ adjust based on your layout.
๐ If you're using separate Daily charts for ES and VIX, you can leave the โManual Prev Closeโ input at 0 and let the study auto-detect the values from those charts.
๐ง I personally recommend leaving the 252 vs 365 setting on NO.
๐ If you prefer full manual input instead of auto-pull, use official sources for accurate values:
Manual Input โ Official Sources
ES Daily Settlement:
๐ https://www.cmegroup.com/markets/equities/sp/e-mini-sandp500.settlements.html
VIX Close Value:
๐ https://www.cboe.com/tradable_products/vix/
๐ Ideal Use Cases
- ๐ง Combine with VWAP, DVA, Market/Volume Profile, or higher time frame S/R zones
- ๐ Especially powerful when ES is trading in uncharted territory (ATH)
- ๐งญ Useful for pre-market planning, structured execution, and post-trade review
๐ FREE Download
This tool is widely used by discretionary and quant traders alike to prepare with intent โ not react impulsively.
๐ Installation Instructions
Youโll receive the file:VIXSmartLevels_64.dll
To install:
- Copy the file into your SierraChart/Data folder
- Open Sierra Chart โ Analysis โ Studies
- Click Add Custom Study
- Select VIX Edge Levels and add it to your chart
๐ Volatility-based structure โ know your levels before the bell.