Intraday Volatility Predictive Model (E-Mini SP500 / VIX)

Preditcs the volatility range for E-Mini SP500 with 86-91% accuracy

How does it works?

You will receive a daily report on the Discord Channel #SP500-Market-Regime with the statistical maximum price excursion limits—maximum drop (MAE) and maximum rally (MFE)—for the S&P 500 (ES Futures) intraday session The model is based on the VIX Index dynamics and it relies on recent VIX history (not fixed or constant numbers).

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How to use it?

  1. Read the Forecast Volatility Report.
  2. Check the Volatility Regime for today.
  3. Apply the Limits: Use the percentages shown on the report to define the key levels for the day from the opening candle. These levels are ideal for adjusting Stop Losses (using the MAE as a statistical floor) or Take Profits (using the MFE as a ceiling) and to figure out which liquidity cluster are you going to trade.

Understanding Sessions

We strongly recommend select the ‘Exchange’ TimeZone on the Chart. That way you will always know what time the market opens or closes and you do not have to worry about Daylight Saving Time and time zone changes.

🌐 Global Session (23 Hours) 🇺🇸 Regular Session (6.5h)
From 18:00 to 17:00 (the following day) From 9:30 to 16:00

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The 4 Volatility Regimes

Global (23h) Wall Street (RTH)
🟢 Low → Very contained intraday movements Max Drop 0.76% Max Rally +0.66%
🟡 Normal → Standard market behavior Max Drop 1.19% Max Rally +0.99%
🟠 High → Wide ranges, high volatility Max Drop 1.51% Max Rally +1.30%
🔴 Extreme → Panic or exceptionally high volatility; maximum range amplitude Max Drop 2.19% Max Rally +2.08%

Accuracy / Win Rates and OOS (Out-of-Sample) Audit

The model has been validated through a strict Walk-Forward backtest (simulating the passage of time day-by-day on unseen data), yielding a very high reliability rate:

🌐 Global Session (23 Hours) 🇺🇸 Regular Session (RTH - 09:30 to 16:00 EST)
Accurately predicts between 85% and 89% of the time where the price will not break the projected floor (MAE) or ceiling (MFE). Accurately predicts between 84% and 91% of the time, being especially precise during "Low" and "Normal" regimes (approaching a 91% success rate)