Volatility & Range Projection

Statistically expected price ranges.

This custom Sierra Chart study provides a volatility-based framework to project expected price movement using ±1σ, ±2σ and ±3σ ranges. The levels are calculated from either Historical Volatility (HV) or Implied Volatility (IV) and plotted directly on the chart, giving you a clear, quantitative reference for where price is statistically expected to remain.

It alerts when price breaches the ±1σ levels and tracks how often price closes inside the ±1σ HV range, so you carry a containment statistic for backtesting and probability modeling.

Historical or implied.

How the sigma ranges are built.

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

• Volatility is either HV or IV.
• ForecastBars is the user-defined horizon (1 bar = a 1-day projection).
• BarsPerYear reflects the trading calendar (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.

Read the guardrails.

• ±1σ ≈ 68% containment. Under normal-distribution assumptions, about 68% of closes stay within ±1σ.
• Not a mean-reversion signal. Price will not necessarily revert when it touches a sigma level. Treat the boundaries as probabilistic guardrails: crossing them stacks the odds against further expansion unless confirmed by context.
• Manage risk and exits. Use the sigma levels to scale out, manage risk, or confirm potential exhaustion, especially with no high-impact catalysts in play.
• Use with market context. Strongest in confluence with order flow, volume clusters, market structure, or known catalysts like news and reports.
• Backtesting analytics. The built-in analytics summary calculates how often price closed inside ±1σ historically, useful for backtesting and probability modeling.

FAQ.