Implied Volatility SuiteThis is an updated, more robust, and open source version of my 2 previous scripts : "Implied Volatility Rank & Model-Free IVR" and "IV Rank & IV Percentile".
This specific script provides you with 4 different types of volatility data: 1)Implied volatility, 2) Implied Volatility Rank, 3)Implied Volatility Percentile, 4)Skew Index.
1) Implied Volatility is the market's forecast of a likely movement, usually 1 standard deviation, in a securities price.
2) Implied Volatility Rank, ranks IV in relation to its high and low over a certain period of time. For example if over the past year IV had a high of 20% and a low of 10% and is currently 15%; the IV rank would be 50%, as 15 is 50% of the way between 10 & 20. IV Rank is mean reverting, meaning when IV Rank is high (green) it is assumed that future volatility will decrease; while if IV rank is low (red) it is assumed that future volatility will increase.
3) Implied Volatility Percentile ranks IV in relation to how many previous IV data points are less than the current value. For example if over the last 5 periods Implied volatility was 10%,12%,13%,14%,20%; and the current implied volatility is 15%, the IV percentile would be 80% as 4 out of the 5 previous IV values are below the current IV of 15%. IV Percentile is mean reverting, meaning when IV Percentile is high (green) it is assumed that future volatility will decrease; while if IV percentile is low (red) it is assumed that future volatility will increase. IV Percentile is more robust than IV Rank because, unlike IV Rank which only looks at the previous highs and lows, IV Percentile looks at all data points over the specified time period.
4)The skew index is an index I made that looks at volatility skew. Volatility Skew compares implied volatility of options with downside strikes versus upside strikes. If downside strikes have higher IV than upside strikes there is negative volatility skew. If upside strikes have higher IV than downside strikes then there is positive volatility skew. Typically, markets have a negative volatility skew, this has been the case since Black Monday in 1987. All negative skew means is that projected option contract prices tend to go down over time regardless of market conditions.
Additionally, this script provides two ways to calculate the 4 data types above: a)Model-Based and b)VixFix.
a) The Model-Based version calculates the four data types based on a model that projects future volatility. The reason that you would use this version is because it is what is most commonly used to calculate IV, IV Rank, IV Percentile, and Skew; and is closest to real world IV values. This version is what is referred to when people normally refer to IV. Additionally, the model version of IV, Rank, Percentile, and Skew are directionless.
b) The VixFix version calculates the four data types based on the VixFix calculation. The reason that you would use this version is because it is based on past price data as opposed to a model, and as such is more sensitive to price action. Additionally, because the VixFix is meant to replicate the VIX Index (except it can be applied to any asset) it, just like the real VIX, does have a directional element to it. Because of this, VixFix IV, Rank, and Percentile tend to increase as markets move down, and decrease as markets move up. VixFix skew, on the other hand, is directionless.
How to use this suite of tools:
1st. Pick the way you want your data calculated: either Model-Based or VixFix.
2nd. Input the various length parameters according to their labels:
If you're using the model-based version and are trading options input your time til expiry, including weekends and holidays. You can do so in terms of days, hours, and minutes. If you're using the model-based version but aren't trading options you can just use the default input of 365 days.
If you're using the VixFix version, input how many periods of data you want included in the calculation, this is labeled as "VixFix length". The default value used in this script is 252.
3rd. Finally, pick which data you want displayed from the dropdown menu: Implied Volatility, IV Rank, IV Percentile, or Volatility Skew Index.
Options
Geometric Brownian Motion BandIf you are an option trader, who are constantly searching opportunities to set up inverse iron condor position or other strategies, you must be familiar in estimating the range induced by Geometric Brownian Motion (GBM), or Lognormal distribution someone may call.
The theory behind is adopted in the Black Scholes Option Pricing model, this assumes the asset price follows the GBM, shown below, and estimates the range where the price will fall into on the specific date and probability.
dS = a dt + v dW
Assuming the drift term is zero, this GBM Band applies the same model and helps you to quickly assess the suitable range to set up your option strategies with simple setting:
Length – number of bars covered
Vol Multiple - the z-score of the probability
Default values of the Length and Vol Multiple are set to 20 bars and 2.0 z-score respectively.
You can find an example how the GMB Band work.
You can also applies this GMB Band like how Bollinger's Band does for swing trade or breakaway trade.
If you find this indicator is useful to you, Star it, Follow, Donate, Like and Share.
Your support is a highly motivation for me.
Musashi MTF Trend HeatMapThis indicator compliments the Musashi TrendBars and allows convenient multi time frame analysis.
This HeatMap, shows 5 different time zones, each with color codes to indicate the trend expression of a corresponding timeframe.
- Dark Green = Good Uptrend (ok to enter short)
- Light Green = Uptrend but it can be exhausted (put in protective stops)
- Cyan = In Bull Trend but pulling back (be careful, maybe put in protective stops)
- Dark Red = Good Downtrend (ok to enter short)
- Orange = Downtrend but it can be exhausted (put in protective stops)
- Magenta = In Bear Trend but pulling back (be careful, maybe put in protective stops)
The dark grey markers on the Heat Map show when markets are not having strong trends.
*If you wish to license this indicator, please contact me via private message for details regarding access. Thank you.
LEGAL STUFF:
Risk Disclosure
Futures , forex, stock, crypto and derivative trading contains substantial risk and is not for every investor. An investor could potentially lose all or more than the initial investment. Risk capital is money that can be lost without jeopardizing ones’ financial security or life style. Only risk capital should be used for trading and only those with sufficient risk capital should consider trading. Past performance is not necessarily indicative of future results
Hypothetical Performance Disclosure
Hypothetical performance results have many inherent limitations, some of which are described below. no representation is being made that any account will or is likely to achieve profits or losses similar to those shown; in fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program. One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk of actual trading. for example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all which can adversely affect trading results
NCTA Adaptive Entry SystemAdaptive Entry System (AES)
Price action of stocks, indexes, and futures consists of periods of trending action, retracements within the trend and then a resumption of the original trend. Trending patterns do not move straight up or straight down. They move in cycles which, when properly identified, can offer traders an opportunity to “follow the trend” while also recognizing the probability of a near term retracement before resuming movement in the direction of the trend. Experienced traders with advanced skills at interpreting wave patterns (Elliott Wave), Fibonacci retracements, Stochastics (overbought / oversold conditions), Momentum, and Moving Averages apply their advanced knowledge to trading and identifying these trend - retracement - continuation of trend cycles. These skills require an advanced knowledge of these complex indicators and can be difficult for traders without the same skill set to optimize their trading performance.
The Adaptive Entry System (AES) was created as a technical market metrics system to interpret a variety of advanced signals and present to the trader a “single actionable signal” displayed in an easy to recognize format for traders of most any skill level to benefit from.
AES is a “system” as opposed to a single indicator. It was designed with the goal of simplifying a traders ability to recognize an entry opportunity by summarizing the consensus of several key indicators and displaying a single entry / exit signal in a color highlighted, strategy labeled format. The work of comparing a variety of indicators and assessing the strength of alignment is performed for the trader by the Adaptive Entry System.
There are three possible entry signals displayed. A trader may trade all three or customize the settings to choose just a single signal to trade. It is important for any trader incorporating AES into their toolset that they trade in sim / virtual mode for a period of time to confirm they understand how price action responds to the signals and to personally track the performance of each. A good trading system still requires due diligence on the part of the trader to confirm understanding of how the system performs.
Entry Signal #1 Description:
Trend Bias Plus Signal is intended to provide traders with an early view of the probable directional bias of the stock, index, or futures being traded. Trend Bias was designed to recognize the probability of the early stages of the strongest segment of a wave pattern. Recognizing the probable bias of the trend at an early stage and also having an indication of when that trend may be ending offers traders an opportunity to enhance their ability to optimally benefit from the trend.
How to Read the Trend Bias Plus Signal:
The Trend Bias Plus Signal is displayed as a simple to recognize color coding of the price bars. Blue price bars indicate a probable rising price bias. Red price bars indicate a probable declining price bias. White bars indicate a neutral period with no clear directional bias.
How to Trade the Trend Bias Plus Signal:
The Trend Bias Plus Signal is simple to interpret. When a price bar closes blue and the next price bar opens blue, this signals to the trader to open an upward bias position. Buy-to-open a call option, buy the stock, or open a long futures position. When a price bar closes red and the next price bar opens red, this signals to the trader to open a downward bias position. Buy-to-open a put option, short the stock or close a long stock position, or open a short futures position.
When holding a short or long position based on the Trend Bias Plus, there are a variety of exit methods which a trader can use including stops, limit price orders with fixed profit targets, or trail stops. Regardless, the end of a Trend Bias Plus cycle is indicated when a new price bar opens white. This is evidence that the current rising or declining trend is shifting to a neutral state. A trend may also be viewed as having ended when an opposite color bar prints at the open of a new price bar.
Entry Signal #2 Description:
The Momentum Signal is a near term indication of a probable retracement of the current trend. It identifies a temporary reversal of an overarching trend in a stock's price. Retracements are short-term periods of movement against a trend, followed by a return to the previous trend. Momentum signals are usually counter-trend trades identifying that part of the wave sequence where price temporarily moves opposite the direction of the trend. The momentum signal can be an opportunity for traders to take advantage of the natural pattern of trend - retracements - continuation.
How to Read the Momentum Signal:
The Momentum signal is displayed as a vertical color highlight on the price bar with a “M” label inside a directional indicator box. A red vertical highlight with an arrow box and “M” label pointing lower is a signal that the near term price movement may be downward bias. For an upward bias price movement signal, the Momentum indicator will display a green highlight across the price bar with an arrow box and “M” label pointing higher.
How to Trade the Momentum Signal:
When the highlighted directional labeled box prints at the open of a new price bar, take the trade based on the directional bias displayed. Momentum signals are generally counter trend indicators so a downward bias red bar, prompting the trader to go short may print on a long bias blue Trend Bias Plus price bar. This should not be viewed as a conflict but instead as a probable indication of a short term retracement following the natural sequence of cycles in price movement.
Momentum signals may be traded using stocks, options, or futures.
Entry Signal #3 Description:
The Consensus Signal is an indication that price action may be resuming in the direction of the primary trend.
How to Read the Consensus Signal:
The Consensus Signal is displayed as a vertical color highlight on the price bar with a “C” label inside a directional indicator box. A red vertical highlight and an arrow box with a “C” label pointing lower is a signal that the price movement may be resuming a downward bias trend or strengthening a conviction to the current trend. For an upward bias price movement signal, the Consensus indicator will display a green highlight across the price bar and an arrow box with a “C” label pointing higher. This is a signal that the retracement off of the trend may be concluding and/or a strengthening of a conviction to the current trend.
How to Trade the Consensus Signal:
When the highlighted directional labeled box prints at the open of a new price bar, take the trade based on the directional bias displayed. Consensus signals are generally most productive when traded aligned with the trend, as displayed by the Trend Bias Plus price bar color or when a white bar indicates a neutral state of the price trend. Counter trend trades using the Consensus Signal are not advised and considered to be less productive / higher risk.
Consensus signals may be traded using stocks, options, or futures.
Some General Rules:
Trade signals are only considered valid when they display at the open of a new price bar.
The signals can be traded on different timeframe charts from short term 3 minute charts to longer timeframe daily charts.
The signals are designed to be a generic indication of probable price movement and as such, can be used effectively for trading futures, stocks, options on stocks, options on ETFs, and options on cash settled indexes.
AES offers traders an opportunity to optimize performance from the natural cycles of the market….trend - retracement - continuation.
AES offers an opportunity for traders to have a clear entry / exit criteria. However, it is still imperative that each trader understands the trading strategy they intend to use and the risks and opportunities associated with that strategy. It is highly advised, regardless of the system or strategies being used, that a trader validates their understanding of the system/strategy by trading in a simulated, paper account format to self test the system and personal ability to trade it successfully.
Next Bar Alert:
Included is an optional "Next Bar Alert" setting. Since many of these signals benefit from very prompt action at the beginning of a price bar, there is an additional option in Settings to set an arbitrary number of seconds to be alerted before the next price bar opens. Simply set this to a level you prefer, then set an alert in TradingView on the indicator using the "Next Bar Alert" alert parameter.
Summary:
The color highlight indicator allows the trader to be 100% certain that the rules/criteria for confirming a valid entry were met at the open of the price bar. This feature, along with the alert settings in Trading View, provide clear confirmation of the timing and print of the signal as either valid or not.
Adaptive Entry System has been designed to help traders of all skill levels to trade the natural sequence of patterns in price action using a simple to recognize, single signal entry/exit format. The natural cycle of trend (Trend Bias Plus), then retracement (Momentum), followed by a continuation of the original trend (Consensus) can be identified within this system and offers traders a simple signal to take advantage of each phase in the cycle. Stock investors, options traders, and futures traders can benefit from the simple design of the AES on a variety of time frames.
Trend Bias Plus signals on NASDAQ:TSLA Daily chart:
Trend Bias Plus signals on NASDAQ:AMZN Daily chart:
MMP Indicator 4-step WeeklyFading levels using martingale (limit orders, rebate venue) with no stop-loss orders, long the wings at the end of Support and Resist levels from prior week Friday right before the close. Re-hedge the order book units when there is a breakout.
Black-Scholes Model for American OptionsThis model uses Black's Approximation to price American Options. Black's Approximation is an extension of the traditional Black-Scholes model that allows the price of American Options to be approximated within the Black-Scholes Framework. This is necessary because the traditional Black-Scholes model only works on options that are exercised at expiry, not before; like American Options can be.
Black's Approximation approximates the value of an American option by:
1st. Calculating the theoretical price of a european call or put based on the strike price (K), spot price (S), annual return (sigma), time until expiry (T), times until the next 2 ex-dividend dates (t1 & t2), and the dividend paid out at times t1 and t2 (D1 and D2).
2nd. The theoretical price of an option expiring on the second ex-dividend date (t2) is calculated. This replicates exercising the option early.
3rd. Finally, the highest price of the two theoretical prices calculated in steps 1 & 2 is chosen as the approximated price.
How to use this:
1st. Input your strike price.
2nd. Input the risk-free-rate of the currency the option is based in.
3rd. Input the dividend yield for the next ex-dividend date. For example AAPL's dividend yield is 0.82 and will be paid out on August 7,2020.
4th. Input the time until the next ex-dividend date. For example AAPL's next ex-dividend date is August 7,2020, which is 61 days away. So you'd input 61 (this includes weekends and holidays).
5th. Input the dividend yield for the ex-dividend date after the next one. For example AAPL's dividend yield after the next one is 0.82 and will be paid out on November 6, 2020.
6th. Input the time until the next furthest ex-dividend date. For example AAPL's next ex-dividend date after Aug 7th, is on November 6, 2020, which is 152 days away. So you'd input 152 (this includes weekends and holidays).
7th. Input your time until expiry. You can do so in terms of days, hours, and minutes.
8th. Input your chart time-frame in term of minutes. For example, if you're using the 1 min time-frame enter 1, 4hr time-frame enter 480, daily time-frame enter 1440.
9th. Lastly, pick what type of option you want data for: Long Call or Long Put.
*Disclaimer, because Black's Approximation is mostly geared towards stocks, this will only work for stocks. Also, the time variables: time until expiry and time until the ex-dividend dates; don't automatically update. So you will have to update them each day.
Binomial Option Pricing ModelA binomial option pricing model is an option pricing model that calculates an option's price using binomial trees. The BOPM method of calculating option prices is different from the Black-Scholes Model because it provides more flexibility in the type of options you want to price. The BOPM, unlike the BS model typically used for European style options, allows you to price options which have the ability to exercise early, such as American or Bermudan options. Although you can use the BOPM for any option style.
This specific model allows you to price both American and European vanilla options.
The way the BOPM calculates option prices is by:
First, dividing up the time until expiry into equal parts called steps. This specific model presented only uses 2 steps. For example, say you have an option with an expiry of 60 days, and your binomial tree has only two steps. Then each step will contain 30 days.
Second, the model will project the expected price of the underlying at the end of each step, called a node. The expected price is calculated by using the underlying's volatility and projecting what the price of the underlying would be if it were to rise and fall. This step is repeated until the terminal node, aka the end of the tree, is reached.
Third, once the terminal node's expected underlying prices are calculated, their expected option prices must be calculated.
Finally, after calculating the terminal option prices, backwards induction must be used to calculate the option prices at the previous nodes, until you reach Node 0, aka the current option price.
In order to use this model:
1st. Enter your option's strike price.
2nd. Enter the risk-free-rate of the currency the option is based in.
3rd. Enter the dividend yield of the underlying if it's a stock, or the foreign risk-free-rate if it's an FX option.
*For example, if you were trading an AAPL stock option, in the risk-free-rate box mentioned in step 2, you would enter the US risk-free-rate because AAPL options are traded in US dollars. In the dividend yield box mentioned in step 3, you would enter the stock's dividend yield, which for AAPL is 0.82.
*If you were, for example, trading an option on the EUR/JPY currency pair, the risk-free-rate mentioned in step 2, would be the Japanese risk-free-rate. Then in the the dividend yield box from step 3, you'd input the Eurozone risk-free-rate.
*If you were trading an options on futures contract, the risk-free-rate mentioned in step 2, would be the risk-free-rate for whatever currency the futures contract is denominated in. For example EUR futures are denominated in USD, so you would input the US risk-free-rate. Meanwhile, something like FTSE futures are denominated in GBP, so you would input the British risk-free-rate. As for the dividend yield box mentioned in step 3, for all options on futures, enter 0.
4th. Pick what type of underlying the option is based on: stock, FX, or futures.
5th. Pick the style of option: American or European.
6th. Pick the type of option: Long Call or Long Put.
7th. Input your time until expiry. You can express this in terms of days, hours, and minutes.
8th. Lastly, input your chart time-frame in term of minutes. For example, if you're using the 1 min time-frame enter 1, 4hr time-frame enter 480, daily time-frame enter 1440.
*Disclaimer, because this particular model only uses 2 steps, it won't work on stocks with high prices (over $100). If you want to use this on stocks with prices greater than $100, you would need to add more steps to the code, shown below. The model in its current form should work for stocks below $100.
Options Decay Speed for 0DTEUse only for:
SPX, 5 minutes time frame
This indicator is complementing options 0DTE strategy - selling options for SPX index in the same day as they are expiring. Output of the indicator (red or green color of the curve) indicates whether is profitable to sell options at given moment at delta and VIX specified in the parameters. Changing parameter "Candles" is not recommended.
Main thought is that options expire with certain speed (theta decay) when stock doesnt move. When stock moves in unfavorable direction slowly enough, decay speed can compensate for disadvantage coming from option delta. Intuitively there must be certain speed of stock value change (expressed in stock value per 5 minutes) that is exactly compensating theta decay. This indicator calculates those two values (details below) and shows, where theta decay is faster than stock movement in the last hour and thus favorable to sell options.
Indicator gets its result from comparing two values:
1) volatility in the form of highest high and lowest low for past 12 candles (one hour in total) divided by 12 - meaning average movement of stock expressed in
2) speed of options value decay in form of combination of theta decay and option delta. Formulas are approximation of Black-Scholes model as Pine script doesnt allow for advanced functions. Approximations are accurate to 2 decimal points from market open to one hour before market close and will not indicate green when accuracy is not sufficient. Its value is also expressed in so its mutualy comparable.
My focus was not on code elegance but on practical usability.
Written by Ondřej Škop.
Black-Scholes Options Pricing ModelThis is an updated version of my "Black-Scholes Model and Greeks for European Options" indicator, that i previously published. I decided to make this updated version open-source, so people can tweak and improve it.
The Black-Scholes model is a mathematical model used for pricing options. From this model you can derive the theoretical fair value of an options contract. Additionally, you can derive various risk parameters called Greeks. This indicator includes three types of data: Theoretical Option Price (blue), the Greeks (green), and implied volatility (red); their values are presented in that order.
1) Theoretical Option Price:
This first value gives only the theoretical fair value of an option with a given strike based on the Black-Scholes framework. Remember this is a model and does not reflect actual option prices, just the theoretical price based on the Black-Scholes model and its parameters and assumptions.
2)Greeks (all of the Greeks included in this indicator are listed below):
a)Delta is the rate of change of the theoretical option price with respect to the change in the underlying's price. This can also be used to approximate the probability of your option expiring in the money. For example, if you have an option with a delta of 0.62, then it has about a 62% chance of expiring in-the-money. This number runs from 0 to 1 for Calls, and 0 to -1 for Puts.
b)Gamma is the rate of change of delta with respect to the change in the underlying's price.
c)Theta, aka "time decay", is the rate of change in the theoretical option price with respect to the change in time. Theta tells you how much an option will lose its value day by day.
d) Vega is the rate of change in the theoretical option price with respect to change in implied volatility .
e)Rho is the rate of change in the theoretical option price with respect to change in the risk-free rate. Rho is rarely used because it is the parameter that options are least effected by, it is more useful for longer term options, like LEAPs.
f)Vanna is the sensitivity of delta to changes in implied volatility . Vanna is useful for checking the effectiveness of delta-hedged and vega-hedged portfolios.
g)Charm, aka "delta decay", is the instantaneous rate of change of delta over time. Charm is useful for monitoring delta-hedged positions.
h)Vomma measures the sensitivity of vega to changes in implied volatility .
i)Veta measures the rate of change in vega with respect to time.
j)Vera measures the rate of change of rho with respect to implied volatility .
k)Speed measures the rate of change in gamma with respect to changes in the underlying's price. Speed can be used when evaluating delta-hedged and gamma hedged portfolios.
l)Zomma measures the rate of change in gamma with respect to changes in implied volatility . Zomma can be used to evaluate the effectiveness of a gamma-hedged portfolio.
m)Color, aka "gamma decay", measures the rate of change of gamma over time. This can also be used to evaluate the effectiveness of a gamma-hedged portfolio.
n)Ultima measures the rate of change in vomma with respect to implied volatility .
o)Probability of Touch, is not a Greek, but a metric that I included, which tells you the probability of price touching your strike price before expiry.
3) Implied Volatility:
This is the market's forecast of future volatility . Implied volatility is directionless, it cannot be used to forecast future direction. All it tells you is the forecast for future volatility.
How to use this indicator:
1st. Input the strike price of your option. If you input a strike that is more than 3 standard deviations away from the current price, the model will return a value of n/a.
2nd. Input the current risk-free rate.(Including this is optional, because the risk-free rate is so small, you can just leave this number at zero.)
3rd. Input the time until expiry. You can enter this in terms of days, hours, and minutes.
4th.Input the chart time frame you are using in terms of minutes. For example if you're using the 1min time frame input 1, 4 hr time frame input 480, daily time frame input 1440, etc.
5th. Pick what style of option you want data for, European Vanilla or Binary.
6th. Pick what type of option you want data for, Long Call or Long Put.
7th . Finally, pick which Greek you want displayed from the drop-down list.
*Remember the Option price presented, and the Greeks presented, are theoretical in nature, and not based upon actual option prices. Also, remember the Black-Scholes model is just a model based upon various parameters, it is not an actual representation of reality, only a theoretical one.
*Note 1. If you choose binary, only data for Long Binary Calls will be presented. All of the Greeks for Long Binary Calls are available, except for rho and vera because they are negligible.
*Note 2. Unlike vanilla european options, the delta of a binary option cannot be used to approximate the probability of the option expiring in-the-money. For binary options, if you want to approximate the probability of the binary option expiring in-the-money, use the price. The price of a binary option can be used to approximate its probability of expiring in-the-money. So if a binary option has a price of $40, then it has approximately a 40% chance of expiring in-the-money.
*Note 3. As time goes on you will have to update the expiry, this model does not do that automatically. So for example, if you originally have an option with 30 days to expiry, tomorrow you would have to manually update that to 29 days, then the next day manually update the expiry to 28, and so on and so forth.
There are various formulas that you can use to calculate the Greeks. I specifically chose the formulations included in this indicator because the Greeks that it presents are the closest to actual options data. I compared the Greeks given by this indicator to brokerage option data on a variety of asset classes from equity index future options to FX options and more. Because the indicator does not use actual option prices, its Greeks do not match the brokerage data exactly, but are close enough.
I may try to make future updates that include data for Long Binary Puts, American Options, Asian Options, etc.
Black-Scholes Model and Greeks for European OptionsThe Black-Scholes model is a mathematical model used for pricing options. From this model you can derive the theoretical fair value of a European option (an option where you have to wait until expiry to exercise). Additionally, you can derive various risk parameters called Greeks. This indicator includes three types of data: Theoretical Option Price (blue), the Greeks (green), and implied volatility (red); their values are presented in that order.
1) Theoretical Option Price:
This first value gives only the theoretical fair value of an option with a given strike based on the Black-Scholes framework. Remember this is a model and does not reflect actual option prices, just the theoretical price based on the Black-Scholes model and its parameters and assumptions.
2)Greeks (all of the Greeks included in this indicator are listed below):
a)Delta is the rate of change of the theoretical option price with respect to the change in the underlying's price. This can also be used to approximate the probability of your option expiring in the money. For example, if you have an option with a delta of 0.62, then it has about a 62% chance of expiring in-the-money. This number runs from 0 to 1 for Calls, and 0 to -1 for Puts.
b)Gamma is the rate of change of delta with respect to the change in the underlying's price.
c)Theta, aka "time decay", is the rate of change in the theoretical option price with respect to the change in time. Theta tells you how much an option will lose its value day by day.
d)Vega is the rate of change in the theoretical option price with respect to change in implied volatility.
e)Rho is the rate of change in the theoretical option price with respect to change in the risk-free rate. Rho is rarely used because it is the parameter that options are least effected by, it is more useful for longer term options, like LEAPs.
f)Vanna is the sensitivity of delta to changes in implied volatility. Vanna is useful for checking the effectiveness of delta-hedged and vega-hedged portfolios.
g)Charm, aka "delta decay", is the instantaneous rate of change of delta over time. Charm is useful for monitoring delta-hedged positions.
h)Vomma measures the sensitivity of vega to changes in implied volatility.
i)Veta measures the rate of change in vega with respect to time.
j)Vera measures the rate of change of rho with respect to implied volatility.
k)Speed measures the rate of change in gamma with respect to changes in the underlying's price. Speed can be used when evaluating delta-hedged and gamma hedged portfolios.
l)Zomma measures the rate of change in gamma with respect to changes in implied volatility. Zomma can be used to evaluate the effectiveness of a gamma-hedged portfolio.
m)Color, aka "gamma decay", measures the rate of change of gamma over time. This can also be used to evaluate the effectiveness of a gamma-hedged portfolio.
n)Ultima measures the rate of change in vomma with respect to implied volatility.
o)Probability of Touch, is not a Greek, but a metric that I included, which tells you the probability of price touching your strike price before expiry.
3) Implied Volatility:
This is the market's forecast of future volatility. Implied volatility is directionless, it cannot be used to forecast future direction. All it tells you is the forecast for future volatility.
How to use this indicator:
1st. Input the strike price of your option. If you input a strike that is more than 3 standard deviations away from the current price, the model will return a value of n/a.
2nd. Input the current risk-free rate.(Including this is optional, because the risk-free rate is so small, you can just leave this number at zero.)
3rd. Input the time until expiry. You can enter this in terms of days, hours, and minutes.
4th.Input the chart time frame you are using in terms of minutes. For example if you're using the 1min time frame input 1, 4 hr time frame input 480, daily time frame input 1440, etc.
5th. Pick what type of option you want data for, Long Call or Long Put.
6th. Finally, pick which Greek you want displayed from the drop-down list.
*Remember the Option price presented, and the Greeks presented, are theoretical in nature, and not based upon actual option prices. Also, remember the Black-Scholes model is just a model based upon various parameters, it is not an actual representation of reality, only a theoretical one.
MobilityThe indicator measure realized mobility of the underlying in the terms of V.Kurbakovsky. It is not an exact realization without access to bid and ask prices, but you can choose source prices in the settings window. The indicator can be used to estimate the degree of variation of the underlying price in volatility trading. It is advised to use it on a 1M (1 minute) timeframe. In the calculations the mobility will be normalized to a day. In Minutes in period setting you can specify the number of the estimating periods during MOEX trading session, which is 810 minutes. Thus, mobility is measured in points per day.
Bitcoin Implied VolatilityThis simple script collects data from FTX:BVOLUSD to plot BTC’s implied volatility as a standalone indicator instead of a chart.
Implied volatility is used to gauge future volatility and often used in options trading.
McMillan Volatility Bands w/ Buy & Sell Signals [optstrategist]BACKGROUND
McMillan Volatility Bands are an alternative approach to John Bollinger's "Bollinger Band" study and developed by world-renowned options trader and author Lawrence G. McMillan. Given his background in options trading, it was natural for Lawrence to approach any volatility-based study in the same manner options are priced --using Black-Scholes model. This model of pricing assumes a financial asset's volatility should be measured in percentage change rather than absolute value change.
OVERVIEW
The McMillan Volatility Bands indicator for TradingView will plot the 3 and 4-standard deviation bands around a 20-day moving average. This is how Larry has always used this system. The user can, however, change the standard deviation value as well as the moving average length to their preferred setting. This indicator can be used on any asset and on any timeframe.
Furthermore, the indicator will plot buy and sell signals based on a trading system used by Larry in his flagship newsletter publication The Daily Strategist. The system gives a signal when price closes outside the 4-sigma band and then closes back within the 3-sigma band. That 'signal bar' will be colored red or green for a sell or buy signal setup, respectively.
Finally, an arrow will be plotted on the chart where the system would actually enter the trade. This is determined when price trades a little beyond the extreme of the 'signal bar'. The level by which price has to go beyond the 'signal bar' is an input parameter and can be adjusted by the user. We've chosen the default value of 0.34. This means, the indicator will not give a buy or sell entry until the price moves: 1/3 x beyond the extreme signal bar. This is to prevent getting whipsawed by some setups that never really move in your favor. We've found it successfully removes the less-valuable trade setups.
PARAMETERS
ma_length => length of the moving average that the volatility bands work off of
outside_sigma => standard deviation of outer volatility band
inside_sigma => standard deviation of inner volatility band
entry_trigger_cushion => this refers to the percentage of the signal bar's range. The default value is 0.34. This means price will need to move 1/3 (~34%) of the signal bar's range beyond the high (for a buy) or low (for a sell) of the signal bar to trigger a buy/sell entry. This entry plots the arrow on the chart. We have found requiring this extra move in price eliminates many of the less-desirable signals at the expense of entering the better signals a little later.
WANT TO PURCHASE OR NEED MORE INFORMATION ON McMILLAN VOLATILITY BANDS?
Visit the link below to see purchasing options as well as screenshots of the indicator and how we trade it at McMillan Analysis Corp.
Theft Indicator - Buy/Sell Options Trading 1-3Mins ScalpingWhat is our indicator?
Theft Indicator - Buy/Sell Options Trading Signals is our third published script that shows price action on a certain period of time (We Use ATR indicator). We take pride in enabling trading to become easier for the experienced and the non-experienced traders around the globe. Buy & Sell alerts will be fired once a condition in our algo is met.
Does it Repaint?
Our indicator does NOT re-paint. Although while setting an alert it may pop up the repaint alert, please take into consideration that once a signal is fired on a "CLOSED BAR", our signal will never disappear, they do not repaint.
What Markets is it usable with?
You can use it in any market, Forex, Stocks, Crypto, Indices. All time frames are profitable, not all trades. But the Majority is profitable if you use a stop loss and target price. Although this one is for STOCK OPTIONS, it can work for other markets as well, but it will best perform with STOCKS & OPTIONS TRADING
How to use:
Simple plug and play it to your chart, in addition to a few other indicators we will recommend to you (we still have not published them yet), and this will confirm your trades. You can also connect TV alerts with a bot and let it run. Please be aware that SLIPPAGE time is important, If you run a bot on this indicator you HAVE to know that the buy/sell price will be on the bar AFTER the Candle close (For example: the BUY/SELL alert is on a candle, the buy/sell your bot or you will execute WILL be on the following candle depending on your trading system) THIS IS WITH EVERY SCRIPT, NOT MINE ONLY. We advise you to not leave the bot to trade on its own, you have to monitor and have a specific syntax that we will help you with creating according to your trading style.
How are the Buy/Sell Alerts fired?
We use the simple ATR (Average True Range) indicator. However we have modified the indicator to serve our trading system. Check below for a definition of what ATR is:
What is Average True Range - ATR?
The average true range (ATR) is a technical analysis indicator that measures market volatility by decomposing the entire range of an asset price for that period. Specifically, ATR is a measure of volatility introduced by market technician J. Welles Wilder Jr. The true range indicator is taken as the greatest of the following: current high less the current low; the absolute value of the current high less the previous close; and the absolute value of the current low less the previous close. The average true range is then a moving average, generally using 14 days, of the true ranges.
Why is our indicator special and different from the normal ATR indicators?
We have modified the uniqueness of ATR and changed it slightly to give more accurate signals, we do not promise all trades are profitable, the use of this indicator is up to your own judgement and liability. We believe that we have an indicator like no other ATR.
P.S: This is not financial advice, we are just sharing our indicator that we know has good results, and it will take time for people in -ve profiles to recover losses and for the profiting to be more profitable. We use a specific trading method that only works with it
You can contact me for more information about the indicator, Goodluck :)
HV/IV Options IndicatorThe Options HV/IV indicator helps in comparing the Scripts Historic Volatility with Implied Volatility (provided by user). The Indicator creates 5 zones, starting from the bottom
Zone 1 - Very Cheap
Zone 2 - Cheap
Zone 3 - Fair
Zone 4 - Expensive
Zone 5 - Very Expensive
The location of the Implied Volatility (Blue line) in the corresponding zone helps in understanding the options pricing as very cheap, cheap, fair, expensive or very expensive. This analysis helps in choosing the correct option strategy when planning options trades.
Use the link below to obtain access to this indicator.
[HM] Notable days for B3 (Brazil) v1- Intended to be used ONLY for B3 - BMF Bovespa, Sao Paulo Stock Exchange, BMF Bovespa (Brazil)
- This indicator will show past expiration days for these futures and options negotiated in Sao Paulo, Brazil:
- stock options (PETR4, VALE3, etc.)
- bovespa index futures and mini (IND, WIN)
- US dollar futures and mini (DOL, WDO)
- Corn futures (CCM)
- SPX futures and mini (ISP, WSP)
- more to be implemented soon, still in development.
-----------------
- Este indicador mostra histórico de dias de vencimento de opções e liquidação de contratos futuros da B3
- Dia de vencimento de opções das ações
- Dia de vencimento do contrato de índice futuro e mini (WIN, IND)
- Dia de vencimento do contrato de dólar futuro e mini (WDO, DOL)
- Dia de vencimento do contrato de MILHO futuro (CCM)
- Dia de vencimento do contrato de SPX futuro e mini (ISP, WSP)
- pode haver erros nos cálculos, script em desenvolvimento.
BO - CCI Arrow with AlertBO - CCI Arrow with Alert base on CCI indicator to get signal for trade Binary Option.
Rules of BO - CCI Arrow with Alert below:
A. Setup Menu
1. cciLength:
* Default CCI lenght = 14
2. Linear Regression Length:
* Periods to calculate Linear Regression of CCI,
* Default value = 5
3. Extreme Level:
* Default top extreme level = 100
* Default bottom extreme level = -100
4. Filter Length:
* Periods to define highest or lowest Linear Regression
* Default value = 6
B. Rule Of Alert Bar
1. Put Alert Bar
* Current Linear Regression Line created temporrary peak
* Peak of Linear Regression Line greater than Top Extreme Level (100)
* Previous Linear Regression is highest of Filter Length (6)
* Previous Linear Regression is greater than previous peak of Linear Regression Line
* Current price greater than previous low
* CCI(14) less than Linear Regression Line
2. Call Alert Bar
* Current Linear Regression Line created temporrary bottom
* Bottom of Linear Regression Line less than Bottom Extreme Level (-100)
* Previous Linear Regression is lowest of Filter Length (6)
* Previous Linear Regression is less than previous bottom of Linear Regression Line
* Current price less than previous lhigh
* CCI(14) greater than Linear Regression Line
B. Rule Of Entry Bar and Epiry.
1. Put Entry with expiry 3 bars:
* After Put Alert Bar close with signal confirmed, put Arrow appear, and after 3 bars, result label will appear to show win trade, loss trade or draw trade
2. Call Entry with expiry 3 bars:
* After Call Alert Bar close with signal confirmed, call Arrow appear, and after 3 bars, result label will appear to show win trade, loss trade or draw trade.
3. While 1 trade is opening no more any signal
C. Popup Alert/Mobile Alert
1. Signal alert: Put Alert or Call Alert will send to mobile or show popup on chart
2. Put Alert: only Put Alert will send to mobile or show popup on chart
3. Call Alert: only Call Alert will send to mobile or show popup on chart
BO - Bar's direction Signal - BacktestingBO - Bar's direction Signal - Backtesting Options:
A. Factors Calculate probability of x bars same direction
1. Periods Counting: Data to count From day/month/year To day/month/year
2. Trading Time: only cases occurred in trading time were counted.
B. Timezone
1. Trading time depend on Time zone and specified chart.
2. Enable Highlight Trading Time to check your period time is correct
C. Date Backtesting
* Only cases occurred in Date Backtesting were reported.
D. Setup Options & Rule
1. Reversal after 2 bars same direction
* Probability of 3 bars same direction < 50
* 2 bars same direction is start of series
2. Reversal after 3 bars same direction
* Probability of 4 bars same direction < 50
* 3 bars same direction is start of series
3. Reversal after 4 bars same direction
* Probability of 4 bars same direction < 50
* 3 bars same direction is start of series
4. Reversal after 5 bars same direction
* Probability of 5 bars same direction < 50
* 4 bars same direction is start of series
5. Reversal after 6 bars same direction
* Probability of 6 bars same direction < 50
* 5 bars same direction is start of series
BO - Bar M15 2/3 SignalBO - Bar M15 2/3 Signal show the signal to trade Binary Option with rule below:
A. Indicator
* Bollinger Band (20,2): avoid waterfall
B. Rule of Signal
1. Rule1: Split Bar M15 to 3 part and load them on M5 chart (recommend use M5 IDC chart)
2. Rule 2: Delay 10' after bar M15 open => wait for price's pattern
3. Rule 3: Put Signal row 30-32
* Delay 10' after bar M15 open.
* Direction of 1/3 and 2/3 Bar M15 is upward
* close of 2/3 Bar M15 below upper band Bb(20,2) on M5 chart => avoid strong buy
4. Rule 4: Call Signal row 36-38
* Delay 10' after bar M15 open.
* Direction of 1/3 and 2/3 Bar M15 is downward
* close of 2/3 Bar M15 above lower band Bb(20,2) on M5 chart => avoid strong sell
C. Recommend Expiry time: Bar M15 close
* We try to catch the shadow of Bar M15 but dont trade when price run on the upper or lower band of BB(20,2,M5)
BO - Bar M15 Signal* This script show the signal base on volatility of previous bar M15 to trade Binary Option.
* Rule of Signal is below:
A. Rule 1: Wait for prices created temporary peak and bottom
Row 18: 10 minutes till close
B. Rule 2: Reversal previous bar's direction
1. Put Signal - Row 22 - 25:
- Delay 5' after bar M15 open
- previous bar's direction is upward
- price less than previous close
- temporary bottom greater than previous open
2. Call Signal - Row 29 - 32:
- Delay 5' after bar M15 open
- previous bar's direction is downward
- price greater than previous close
- temporary peak less than previous open
C. Rule 3: Follow previous bar's direction
1. Put Signal - Row 37 - 40:
- Delay 5' after bar M15 open
- previous bar's direction is downward
- price greater than previous open
- temporary peak less than previous peak
2. Call Signal - Row 43 - 46:
- Delay 5' after bar M15 open
- previous bar's direction is upward
- price less than previous open
- temporary bottom greater than previous bottom
BO - KBSignalBO - KBSignal show Put or Call Signal inoder to trade Binary Option.
A. Indicators
1. Keltner Channel %K (indicator was published in my scripts)
2. OBV's %B (indicator was published in my scripts)
B. Rule of Signal
1. Rule 1: No Signal
- %K is the highest of 3 periods => Possible a Pivot High
- %K is the lowest of 3 periods => Possible a Pivot Low
- Previous %K is greater than or equal 0.8 => Touch Resistance Zone
- Previous %K is less than or equal 0.2 => Touch Support zone
2. Rule 2: Sell and Buy Zone depend on 2 Indicators mentioned in A
- Sell zone = %K<0.45 and Obv's %B <0.45
- Buy zone = %K>0.55 and Obv's %B >0.55
3. Rule 3: Put and Call Signal
- Put Signal = Sell zone and not No Signal
- Call Signal = Buy zone and not No Signal
C. Alert
1. Signal alert = Put Signal or Call Signal alert
2. Put alert = Put Signal alert
3. call alert = Call Signal alert
BEST Algorithm Builder STOCKSHello traders 👋
I. 💎 SCRIPTS ACCESS AND TRIALS 💎
1. Every trial request access has to be done through my website.
2. My website URL is in this script signature at the very bottom (you'll have to scroll down a bit and going past the long description) and in my profile status available here: Daveatt profile status
3. Many video tutorials explaining clearly how all our indicators work are available on our website > guides section and also on website forum + Youtube
4. You may also contact me directly for more information regarding the trading method included in the indicator or how to access it
II. Forewords
(Screenshot based on $FCEL - FUELCELL ENERGY Inc.)
This indicator is for the SWING traders looking for fixed entries based on our proprietary trading method. It's a nice complement to any intraday method
We've been working on it for months and releasing now for our subscribers.
We mostly trade the US stocks with it due to personal preference but it's working also with other international stocks.
All stocks sectors (tech, aerospace, food, energy, financial, healthcare, ...) are eligible.
We've seen quite great signals with penny stocks/biotech/tech stocks.
III. Optimized system for lowering risk/capturing most of the opportunities
We worked hard on reducing the risk as much as we could.
The built-in hard-exit (also called invalidation) system does a huge job in exiting a position way before a Stop Loss will get hit
$TSLA (TESLA)
$SAVA (CASSAVA SCIENCES)
IV. Trade Manager and compatible with dynamic alerts
It includes :
- our proprietary method with fixed entries
- a hard exit system (built-in stop-loss)
- multiple options for user-defined stop-loss/take-profit settings (price value, distance in pips, percentage, trailing, ...)
- 🔔 Compatible with dynamic alerts 🔔
Dynamic alerts are bringing automated trading to a whole new level. The third-party solutions capturing TradingView alerts are able to use them.
- Algorithmic Supports and Resistances used as safeguards and take profit zones
Final words
We made it as simple as we could (to be honest it's a very simple system for the end-user) - even with several hundreds of calculations in the indicator.
Please hit me up for any questions/feedback/comments
Become the BEST trader you deserve to be
Dave
