• Translates HV % values from Sierra Chart’s built-in “Volatility – Historical” study into projected price ranges
• Manually accepts IV % input to overlay sigma-level forecasts based on externally sourced Implied Volatility
• Applies standard volatility projection logic to calculate price range boundaries
• Alerts when price breaches ±1σ levels (HV and IV-based), signaling movement outside statistically typical ranges
• Tracks how often price closes inside the ±1σ HV range – useful for historical containment analysis

The following sigma projection formula is applied independently for both HV and IV:

±σ range = Previous Close ± (Volatility × sqrt(ForecastBars / BarsPerYear)) × Price

Where:

• Volatility is either HV or IV
• ForecastBars is the user-defined horizon (e.g., 1 bar = 1-day projection)
• BarsPerYear reflects the trading calendar (e.g., 252 for daily charts)
• PreviousClose is the close of the previous bar

This yields statistically scaled ±1σ, ±2σ, and ±3σ price boundaries around the previous close.

• ±1 Sigma = ~68–70% Containment Probability
  Statistically, under normal distribution assumptions, ~68% of price closes will stay within ±1σ.
• Crossing ±1σ Is NOT a Mean Reversion Signal
  Traders should not assume price will revert just because it touches or exceeds a 1-sigma level. This is not a reversion indicator. Instead:
  • Think of these boundaries as probabilistic guardrails. Crossing them stacks the odds against further expansion unless confirmed by additional context.
  • Use sigma levels to scale out, manage risk, or confirm potential exhaustion, especially in the absence of high-impact catalysts.
• Use in Combination with Market Context
  These levels work best in confluence with other tools: order flow, volume clusters, market structure, or known catalysts (news, reports).
• Analytics for Backtesting
  The study includes an automated analytics summary, calculating how often price closed inside ±1σ historically, perfect for backtesting and probability modeling.

• References Sierra Chart’s built-in “Volatility – Historical” study
• Projects price ranges based on annualized HV
• Supports alerts on HV ±1σ breaches
• Tracks % of bars historically closing inside HV ±1σ (analytics output)

• Manual IV % input (useful for traders pulling IV data externally from options chains)
• Uses the same sigma logic for projecting IV-based ranges
• Plots separate overlays for IV projections
• Alerting support for IV ±1σ crossings