I've changed a bit the approach - instead of two indices ( & VVIX ), I used two more: VXN and VXD . Additionally, I average the percentiles, but there is an option to swtich it to the original approach.
In true TradingView spirit, the author of this script has published it open-source, so traders can understand and verify it. Cheers to the author! You may use it for free, but reuse of this code in a publication is governed by House Rules. You can favorite it to use it on a chart.