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VIX Edge Levels โ€“ Volatility-Based S/R for ES

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VIX Edge Levels โ€“ Volatility-Based S/R for ES

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2 ratings

๐Ÿ”ฎ 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 sessionโ€™s close and the closing value of the VIX.

โš ๏ธ This study doesnโ€™t repaint or update in real time โ€” itโ€™s designed to project fixed support and resistance zones for todayโ€™s session, using institutional-grade Expected Move (EM) logic.

๐Ÿ“Š Why VIX Edge Levels Matter

When ES is trading at all-time highs and thereโ€™s 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:

  • ๐ŸŽฏ Ideal as pre-session reference points
  • ๐Ÿงฒ Act as intraday magnets, targets, and reversal zones
  • ๐Ÿ” Provide a quantitative framework to plan your session before the open

๐Ÿ“ How It Works

At the core is the Expected Move (EM) formula:

EM = ES PrevClose ร— VIX ร— โˆš(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.

โš™๏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

๐Ÿ“Œ 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.
๐Ÿ’ก In my setup, ES is on chart #2 and VIX is on chart #10 โ€” adjust based on your layout.

๐Ÿ“Œ If you're using separate Daily charts for ES and VIX, you can leave the โ€œManual Prev Closeโ€ input at 0 and let the study auto-detect the values from those charts.

๐Ÿง  I personally recommend leaving the 252 vs 365 setting on NO.

๐Ÿ“Œ If you prefer full manual input instead of auto-pull, use official sources for accurate values:

Manual Input โ€“ Official Sources
ES Daily Settlement:
๐Ÿ‘‰ https://www.cmegroup.com/markets/equities/sp/e-mini-sandp500.settlements.html

VIX Close Value:
๐Ÿ‘‰ https://www.cboe.com/tradable_products/vix/

๐Ÿ“Œ Ideal Use Cases

  • ๐Ÿง  Combine with VWAP, DVA, Market/Volume Profile, or higher time frame S/R zones
  • ๐Ÿ” Especially powerful when ES is trading in uncharted territory (ATH)
  • ๐Ÿงญ Useful for pre-market planning, structured execution, and post-trade review

๐Ÿ”“ FREE Download

This tool is widely used by discretionary and quant traders alike to prepare with intent โ€” not react impulsively.

๐Ÿ“ Installation Instructions

Youโ€™ll receive the file:
VIXSmartLevels_64.dll

To install:

  1. Copy the file into your SierraChart/Data folder
  2. Open Sierra Chart โ†’ Analysis โ†’ Studies
  3. Click Add Custom Study
  4. Select VIX Edge Levels and add it to your chart

๐Ÿ“Š Volatility-based structure โ€” know your levels before the bell.

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