VIX/VXN Edge Levels – Volatility-Based S/R for ES & NQ - Indicator Sierra Chart

VIX Edge Levels provides a smart, pre-calculated volatility map for the E-mini S&P 500 — based on the previous session’s close and the closing value of the VIX.

⚠️ This study doesn’t repaint or update in real time — it’s designed to project fixed support and resistance zones for today’s session, using institutional-grade Expected Move (EM) logic.

📊 Why VIX Edge Levels Matter

When ES is trading at all-time highs and there’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 — not arbitrary zones or subjective hindsight levels.

These levels are:

• 🎯 Ideal as pre-session reference points
• 🧲 Act as intraday magnets, targets, and reversal zones
• 🔐 Provide a quantitative framework to plan your session before the open
  
  

📐 How It Works

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

EM = ES PrevClose × VIX × √(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

→ These are fixed levels for the current trading session — no recalculation during the day.

⚙️ Inputs & Customization

• Optional Manual Inputs for ES and VIX Settlements
• Auto-pull values from linked Daily Charts (ES + VIX)
• Switch between 252 or 365 days
• Fully customizable appearance to match your chart layout

📌 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.
💡 In my setup, ES is on chart #2 and VIX is on chart #10 — adjust based on your layout.

📌 If you're using separate Daily charts for ES and VIX, you can leave the “Manual Prev Close” input at 0 and let the study auto-detect the values from those charts.

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

📌 If you prefer full manual input instead of auto-pull, use official sources for accurate values:

Manual Input – Official Sources
ES Daily Settlement:
👉 https://www.cmegroup.com/markets/equities/sp/e-mini-sandp500.settlements.html

VIX Close Value:
👉 https://www.cboe.com/tradable_products/vix/

📌 Ideal Use Cases

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

🔓 FREE Download

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

📁 Installation Instructions

You’ll receive the file:
VIXSmartLevels_64.dll

To install:

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

📊 Volatility-based structure — know your levels before the bell.