EDR — Expected Daily Range

Russell Clark's proprietary indicator for daily SPX range forecasting

📚 From the SPX Mastery Series by Russell Clark

Definition

Russell Clark's custom TradingView indicator (Version 8 Build 20, ticker: SPXDCP / SPXMASTERY) that forecasts SPX's likely daily price range by blending short-term implied volatility (VIX9D) and historical volatility (HV). It generates three risk-tuned strike recommendations (High/Medium/Low) for Iron Condor placement, serving as the primary decision tool for all SPX Mastery strategies.

Formula / Rules

EDR = (VIX9D × 0.1) + (HV × 0.5) × multiplier Where: VIX9D = 9-day implied volatility | HV = Historical Volatility (20-day) | multiplier = 0.8–2.0 based on regime

How It Works

EDR runs pre-close daily to determine where Iron Condor strikes should be placed for each of the three risk tiers. The High mode (blended VIX9D + HV) produces the widest range and smallest credits ($1.30–$2.85) with 80–85% win odds — used in calm markets. The Medium mode (VIX9D-driven) produces standard range strikes ($0.75–$1.30) with 85–90% win odds. The Low mode (VIX30-driven) produces the tightest range ($0.55–$0.95) with 90–95% win odds for conservative conditions. EDR also triggers the Temporal Theta Martingale: when EDR > 0.94%, positions roll forward for vega capture; when EDR < 0.94%, positions roll back for theta harvest.

Source

Iron Condor Command (primary); used across all trading books

Related Terms

Not financial advice. This definition is educational content from the SPX Mastery book series by Russell Clark (VixShield). Past performance is not indicative of future results. Trading options involves substantial risk of loss. Always paper trade first.