Intraday Volatility Map (Bajrang Bali Indicator)

Indicator Name
Bollinger Bands on Historical Volatility (BB-HV) – Intraday Volatility Map


Concept
This indicator applies Bollinger Bands directly on Historical Volatility (HV) instead of price.

• HV tells you the “energy” behind the move
  
• Bollinger Bands on HV tell you when volatility is compressing or expanding
  
• Works on all intraday timeframes for indices and stocks
  

You are not watching price alone — you are watching the strength behind price movement.

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Core Logic

• Historical Volatility is calculated using log returns, annualized
  
• Bollinger Bands are plotted on the HV line (separate pane)
  
• Upper/Lower bands show volatility expansion or contraction
  
• User inputs: HV length, BB length, BB multiplier
  

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What This Indicator Shows

• Volatility Squeeze (Low HV) – HV stays below lower BB → quiet market, breakout coming
  
• Volatility Expansion (High HV) – HV breaches upper BB → trend day or news-driven move
  
• Normal Regime – HV oscillates between bands → balanced intraday structure
  

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How to Use – Indices (NIFTY / BankNifty)

• Trend Day Detection – Early HV breakout above upper band suggests strong directional movement
  
• Range Day Identification – HV hugging lower band implies consolidation and mean reversion
  
• Event Risk Mapping – Sudden HV spikes warn of macro data, gaps, policy events
  

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How to Use – Stocks

• Stock Selection – Choose stocks where HV is rising above mid-band → active, tradable
  
• Entry Confirmation – Breakouts with rising HV have stronger follow-through
  
• Risk Management – High HV → wide stops, low size; Low HV → tight stops, fakeouts possible
  

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Signals Generated (For Alerts)

• Squeeze Signal – HV < lower band for a set number of bars
  
• Expansion Signal – HV crossing above upper band
  
• Reversion Signal – HV falls back inside bands after a volatility spike
  

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Best Timeframes

• 1m, 3m, 5m, 15m intraday
  
• Works best on indices and liquid stocks
  

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Suggested Inputs

• HV Length: 20
  
• BB Length: 20
  
• BB Multiplier: 2.0
  
• Squeeze Bars: 5–10
  
• Expansion Filter: HV closing above upper band
  

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Who Should Use This Indicator?

• Scalpers – Identify high-energy zones
  
• Day Traders – Ride trend days via volatility regime shifts
  
• Option Traders – Read intraday realized volatility patterns
  

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Trading Notes

• This is a volatility-regime tool, not a buy/sell signal generator
  
• Works best when combined with VWAP, structure, volume, or trend indicators
  
• Always use personal judgment and risk management
  

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Disclaimer
This script is for educational and research use only. It does not provide investment advice or guaranteed trading outcomes. Use at your own risk.