Volatility & Range Projection

The expected size of the session

The study forecasts how much the next session is likely to move: its size, not its direction. Use it to place targets and stops at realistic distances, to judge whether a level is within normal reach today, to size positions to the expected volatility, and to know before the open whether a calm or an active session is expected.

During the session it shows how much of the expected range is already used and updates the forecast for the rest of the day. Everything is in one small tile on the chart, with a full preparation view one setting away.

Tested against the options market

The options market's daily volatility indices, such as VIX1D, are the most direct public forecast of the next session. Both our models, BYC Forecast and BYC Update, are built on more than six years of sessions in six markets (2020–2026) and were tested against these indices by scientific standards, on the most recent sessions, kept aside for this test.

• BYC Update ranks the rest of the session better than the options market's forecast from the prior close, in all six markets: ES, NQ, YM, RTY, CL and GC (pre-registered test).
• BYC Forecast ranks the coming session better than the index alone on the index futures, with the adjustment at the open: size match 0.61 vs 0.59 on ES, 0.57 vs 0.47 on NQ, 0.48 vs 0.43 on YM (1 = big and small sessions ranked perfectly).
• Bands sized to what actually happens. The raw index band is too wide for daily trading: on the ES chart shown below it held 76% of closes inside ±1σ where a correct band holds 68%. The BYC Forecast held 70%. The study runs this check on every chart you use it on.

The tile

Four rows, each with a short grey description on the right. The descriptions can be switched off once the rows are familiar.

• Expected day. The day type (CALM, NORMAL, ACTIVE, WILD: today's expected size among the last sessions), the expected close-to-close move (±1σ) and the expected high-low range in points.
• Price vs prior close. Where price stands on a strip from −2.5σ to +2.5σ around the prior close, with the ±1σ and ±2σ zones, the session's low to high so far, and the BYC Update levels as orange brackets.
• Range used. The session's high-low so far as a share of the expected range. The bar changes color as it fills, and a small notch shows how much of its range a session has usually covered by this time of day.
• Overnight. The night's activity against a normal night at the same time, as a badge, and the night itself as a small chart against the prior close.

BYC Forecast and BYC Update

Two models developed and tested by boostyourcharts.

Full view

The same four rows as the tile, in depth, for the preparation before the session. When the sheet is taller than the chart it continues in a second column.

• 1 Expected day. The BYC Forecast with its ±1σ and ±2σ levels, the adjustment made at the open, and historical and implied volatility for comparison, each ranked among the last sessions.
• 2 Price vs prior close. The Reach table with the price of every level and how often it was reached, and the BYC Update levels with their rates once the update is out. Levels the session has already reached are marked.
• 3 Range used. The high-low so far in points against the expected range, and where the usual session stands at this time of day.
• 4 Overnight. The night's volume and range against past nights at the same time, and whether it touched ±1σ.
• Band back-test. Every forecast checked on the completed sessions of your own chart: how often the close finished inside ±1σ (ideal 68%) and ±2σ (ideal 95%), and how well each forecast ranks big against small sessions.

One tile per chart

The tile allows monitoring and comparing several markets at once. Each chart measures in its own market's forecast, so you see at a glance which market is calm and which one has already used its range. In the example, crude oil and gold are past their expected range while ES and NQ are not.

Levels on your own charts

The range levels sync to the intraday charts you trade from, also in other chartbooks of the same Sierra Chart instance. Add the companion study Levels on Intraday Chart to any intraday chart of your own and it picks up the sigma levels and the BYC Update levels from the daily chart by itself: no levels to copy, no settings to match. The defaults work out of the box, so the study fits into an existing workspace in a few clicks.

Supported markets and requirements

• Calibrated for ES, NQ, YM, RTY, CL and GC, including the micro contracts MES, MNQ, MYM, M2K, MCL and MGC. Other symbols get the realized-volatility part only and are marked as uncalibrated on the panel and the tile.
• A daily chart of the market. The study opens the hidden intraday charts it needs by itself and downloads the volatility index history.
• CME Group futures data with intraday history. Used for the overnight session, the BYC Update and the time-of-day comparison.
• Sierra Chart version 2955 or newer. An older version does not load the study and names the required version in the Message Log.

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