strangle_pricer

2021년 8월 5일

Usage:
1. Set the put and call strike inputs to values of your choosing.
2. Select "days to expiration".
3. Set the put and call standard deviations using the output table.

The indicator is meant help price a strangle using historical data and a volatility model. By default, the model is an ewma-method historical volatility. After selecting strikes and standard their corresponding standard deviation, theoretical values and probabilities will be shown in the table. The script is initialized with -1 for several inputs, and won't show any data until these are adjusted.

The theoretical values shown assume a strangle was bought or sold on every historical bar, and averaging their value at expiration.

For example, if you choose the $50 call and $40 put when the underlying is at $45 and there are 30 days until expiration, suppose the volatility is N and
these strikes correspond to M standard deviations. Input those and the resulting theoretial values shown will be based on opening a 30 dte call and put at M standard deviations with respect to the volatility at each bar.

- Past volatility forecasts are plotted in blue, and hidden by default.
- The current volatility forecast is drawn as a blue line.
- The put and call strikes are drawn as red lines.

This indicator is only meant for the daily chart!

Since I won't be able to edit this description later, also check the release notes and script comments for important changes.

2021년 8월 6일

릴리즈 노트

Replaced the data table's "max itm" column with a "itm %" column and input. By default it's 33%, meaning 33% of the calls (puts) that expired in-the-money had a value less than or equal to the value in this column.

2021년 8월 8일

릴리즈 노트

Fixed a number of bugs... unbroke the last change i made to break theo price, most importantly... sigh. All the values check out with my strangle pricer script, so it should be good now.

2021년 8월 8일

릴리즈 노트

future projections now use bar time, should end on the right bars

2021년 8월 28일

릴리즈 노트

- annualized with 252 periods rather than 365
- some cosmetic changes

Note: this script is meant for the daily chart.

2021년 9월 13일

릴리즈 노트

- Computes business days for more accurate calculations, but you should still input CALENDAR days to expiration!
- The lines now end on the correct calendar day (previously they extended one day extra).

2021년 9월 13일

릴리즈 노트

cleaned up code

2021년 9월 13일

릴리즈 노트

fixed call line being off by one