Option Chain Pro+ [Max Pain + PCR]
# 📊 Option Chain Pro+ - Complete Options Trading System
## 🎯 Overview
**Option Chain Pro+** is the most comprehensive options analysis indicator for Indian indices (NIFTY, BANKNIFTY, FINNIFTY, MIDCAP, SENSEX, BANKEX). This professional-grade tool combines real-time option chain data, Greeks calculation, Max Pain analysis, Put-Call Ratio (PCR), and intelligent trading signals - all in one powerful indicator.
Perfect for both **premium sellers** and **directional option buyers**, this indicator provides actionable trading signals with specific strike recommendations and entry prices.
---
## ✨ KEY FEATURES
### 📈 **Complete Option Chain Display**
- **Real-time option prices** for Calls and Puts across multiple strikes
- **All 5 Greeks**: Delta (Δ), Gamma (Γ), Theta (θ), Vega (ν), Rho (ρ)
- **Implied Volatility (IV)** for each strike
- **Put-Call Ratio (PCR)** column showing sentiment at each strike level
- **Configurable strikes** (5-15 strikes, default: 9)
- **Color-coded highlighting** for easy identification:
- 🟠 Orange: ATM (At-The-Money) strike
- 🔴 Red: Max Pain strike (💀MP)
- 🟢 Green: Recommended Call buy (🚀)
- 🟣 Magenta: Recommended Put buy (🔻)
### 💀 **Max Pain Analysis**
- **Automatic calculation** of Max Pain point (where option buyers lose most)
- **Visual highlighting** in option chain table
- **Chart level** plotting (red dashed line)
- **Trading signals** based on distance from Max Pain
- **Most effective** in expiry week (last 3-5 days)
### 📊 **Put-Call Ratio (PCR) Analysis**
- **Overall PCR**: Total Put premium / Total Call premium
- **Strike-wise PCR**: Individual PCR at each strike level
- **Color-coded signals**:
- 🔴 Red (PCR > 1.5): Bearish - Heavy put buying
- 🟠 Orange (PCR 0.7-1.5): Neutral - Balanced
- 🟢 Green (PCR < 0.7): Bullish - Heavy call buying
- **Support/Resistance identification** from PCR levels
### 🎯 **Intelligent Trading Signals**
#### **Greek-Based Analysis (7 Indicators)**
1. **DELTA**: Direction bias (Bullish/Bearish/Neutral)
2. **GAMMA**: Risk assessment (High/Moderate/Low)
3. **THETA**: Time decay speed (Fast/Moderate/Slow)
4. **VEGA**: Volatility environment (High/Moderate/Low)
5. **VIX**: Fear gauge (High/Moderate/Low fear)
6. **PCR**: Market sentiment (Bearish/Neutral/Bullish)
7. **MAX PAIN**: Price magnet effect (Below/At/Above)
#### **💰 Premium Selling Signals**
- **Automated recommendations** for credit strategies
- Signals: SELL PREMIUM / HEDGE/PROTECT / NEUTRAL STRATEGY
- Perfect for Iron Condors, Credit Spreads, and premium collection
#### **🚀 Option Buying Signals**
- **Specific strike recommendations** for directional trades
- **Entry prices** displayed in real-time
- **Risk/Reward assessment**: FAVORABLE / MODERATE / UNFAVORABLE
- **Visual highlighting** in option chain for recommended strikes
- Separate signals for Calls (🚀) and Puts (🔻)
### 📐 **Advanced Greeks Calculation**
- **Black-Scholes model** implementation in Pine Script
- **Real-time calculation** for all strikes
- **Accurate pricing** using current market data
- **Configurable risk-free rate** (default: 6.5%)
- **IV estimation** from India VIX with multiplier option
---
## 🔧 HOW IT WORKS
### **Data Collection**
1. Fetches real-time spot/futures price
2. Calculates ATM (At-The-Money) strike automatically
3. Retrieves option prices for configured number of strikes
4. Pulls India VIX for volatility estimation
### **Greeks Calculation**
- Implements Black-Scholes model for European options
- Calculates Delta, Gamma, Theta, Vega, Rho for each strike
- Uses 3 days to expiry (configurable via expiry date input)
- Adjusts for Indian market conventions
### **Max Pain Calculation**
- Simulates price settlement at each strike
- Calculates total option buyer losses (Calls + Puts)
- Identifies strike with maximum buyer loss
- Updates in real-time as prices change
### **PCR Analysis**
- Computes Put/Call premium ratio at each strike
- Aggregates overall PCR across all strikes
- Color-codes based on sentiment thresholds
- Identifies support/resistance from extreme PCR values
### **Signal Generation**
Combines multiple factors:
- Greek values (especially Delta, Gamma, Theta)
- VIX level (volatility environment)
- PCR sentiment (fear/greed gauge)
- Max Pain distance (price magnet)
- Generates BUY or SELL recommendations with specific strikes
---
## 🎨 VISUAL COMPONENTS
### **Main Option Chain Table (17 Columns)**
Left to Right:
1. **Call Greeks**: Rho, Gamma, Theta, Vega, Delta
2. **Call IV**: Implied Volatility
3. **Call Price**: Premium
4. **Strike**: Strike price with markers (*ATM, 💀MP, 🚀, 🔻)
5. **PCR**: Put-Call Ratio (color-coded)
6. **Put Price**: Premium
7. **Put IV**: Implied Volatility
8. **Put Greeks**: Delta, Vega, Theta, Gamma, Rho
**Footer**: ATM IV | Overall PCR | Max Pain | VIX | VWAP
### **Trading Signals Table (16 Rows)**
1. **Header**: Indicator | Value | Signal | Action
2. **7 Analysis Rows**: Delta, Gamma, Theta, Vega, VIX, PCR, Max Pain
3. **Sell Strategy**: Recommendation for premium selling
4. **Buy Opportunity**: Recommendation for directional buying
5. **Buy Details**: Specific strike + Entry price
6. **Risk/Reward**: Assessment of buy opportunity
### **Chart Elements**
- **Price plot**: Underlying price (white line)
- **ATM line**: Orange dashed horizontal line
- **Max Pain line**: Red dashed horizontal line
---
## ⚙️ SETTINGS & CUSTOMIZATION
### **Plot Settings**
- **Spot Symbol**: NIFTY, BANKNIFTY, MIDCAP, FINNIFTY, SENSEX, BANKEX
- **Ref Strike**: Manual strike reference (used when Auto Tracking = NONE)
- **Expiry Date**: Format YYYY-MM-DD (e.g., 2025-12-19)
- **Auto Tracking**: SPOT / FUTURES / NONE
- FUTURES (recommended): Uses futures price for ATM calculation
- SPOT: Uses spot index price
- NONE: Uses manual Ref Strike
- **Dashboard Location**: Position of option chain table (9 positions)
- **Signals Location**: Position of trading signals table (9 positions)
### **Display Settings**
- **Number of Strikes**: 5-15 (default: 9)
- More strikes = Better Max Pain accuracy
- Fewer strikes = Faster loading
- **Color Scheme**: Dark / Light
- **Show Trading Signals**: Toggle signals table ON/OFF
- **Show Symbols (Debug)**: Display option symbols instead of prices
### **Strike Difference**
Configure strike intervals for each index:
- NIFTY: 50 (default)
- BANKNIFTY: 100 (default)
- MIDCAP: 25 (default)
- FINNIFTY: 50 (default)
- SENSEX: 100 (default)
- BANKEX: 100 (default)
### **Advanced Settings**
- **Risk Free Rate**: 6.5% (default) - Used in Greeks calculation
- **IV Multiplier**: 1.0 (default) - Adjust VIX-based IV estimation
### **Buy Strategy**
- **Buy Strike Distance (OTM)**: 1-5 strikes (default: 2)
- 1 = Closer to ATM (higher probability, lower leverage)
- 2 = Balanced (recommended)
- 3-5 = Further OTM (lower probability, higher leverage)
---
## 📚 TRADING STRATEGIES SUPPORTED
### **1. Premium Selling Strategies**
**When to use**: High Theta + Low VIX + High IV Rank
- Iron Condors
- Credit Spreads (Bull/Bear)
- Naked Put selling (cash-secured)
- Ratio spreads
**Signals to watch**:
- SELL STRATEGY = "SELL PREMIUM"
- Theta > -15 (fast decay)
- VIX > 15 (high premiums)
- Gamma < 0.002 (low risk)
### **2. Directional Buying**
**When to use**: Low VIX + High Gamma + Strong trend
- ATM/OTM Call buying (bullish)
- ATM/OTM Put buying (bearish)
- Debit spreads
**Signals to watch**:
- BUY OPPORTUNITY = "🚀 BUY CALL" or "🔻 BUY PUT"
- RISK/REWARD = "FAVORABLE"
- VIX < 13 (cheap options)
- Clear directional bias from Delta
### **3. Max Pain Trading (Expiry Week)**
**When to use**: Last 3 days before expiry
- Price gravitates toward Max Pain
- Fade extremes, buy toward Max Pain
**Example**:
- Max Pain: 26000
- Current: 25850 (below)
- Action: Buy 25900 CE, target 26000
### **4. PCR Contrarian**
**When to use**: Extreme PCR readings
- PCR > 1.5: Excessive fear → Sell Puts
- PCR < 0.7: Excessive greed → Sell Calls
### **5. Support/Resistance from PCR**
**When to use**: Identify key levels
- High PCR at strike = Strong support (Put wall)
- Low PCR at strike = Strong resistance (Call wall)
---
## 💡 HOW TO USE
### **Step 1: Setup**
1. Add indicator to NIFTY/BANKNIFTY chart
2. Set expiry date (Thursday for weekly, last Thursday for monthly)
3. Choose number of strikes (9 recommended)
4. Select Auto Tracking = FUTURES
5. Position tables (Option Chain: top_right, Signals: bottom_right)
### **Step 2: Analyze Greeks**
Check the **Trading Signals Table**:
- **Delta**: Market direction bias
- **Gamma**: Risk of sudden moves
- **Theta**: Speed of time decay
- **Vega**: Volatility environment
- **VIX**: Overall fear/greed
- **PCR**: Put/Call sentiment
- **Max Pain**: Price magnet
### **Step 3: Identify Opportunities**
**For Premium Selling**:
- Check "💰 SELL STRATEGY" row
- If "SELL PREMIUM" → Look for credit spread setups
- High Theta + Low Gamma = Ideal for selling
**For Option Buying**:
- Check "🎯 BUY OPPORTUNITY" row
- If "🚀 BUY CALL" or "🔻 BUY PUT" appears
- Note the recommended STRIKE and PRICE
- Check RISK/REWARD assessment
- FAVORABLE = Full position size
- MODERATE = Half position size
- UNFAVORABLE = Wait
### **Step 4: Execute**
1. Locate highlighted strike in option chain (🚀 green or 🔻 magenta)
2. Verify price matches recommendation
3. Execute trade with proper position sizing
4. Set stop loss: 50% of premium paid for buyers
5. Target: 100-150% profit (2-2.5x)
### **Step 5: Monitor**
- **Max Pain line**: Price tends to gravitate here near expiry
- **PCR values**: Watch for shifts in sentiment
- **Greeks changes**: Delta/Gamma shifts indicate trend changes
- **VIX spikes**: Exit short premium positions if VIX > 20
---
## 🎓 INTERPRETATION GUIDE
### **Delta Signals**
- **> 0.6**: Bullish bias → Sell Puts / Buy Calls
- **0.4-0.6**: Neutral → Iron Condor / Range strategies
- **< 0.4**: Bearish bias → Sell Calls / Buy Puts
### **Gamma Signals**
- **> 0.002**: High risk → Avoid selling, spreads only
- **0.001-0.002**: Moderate risk → Use defined risk strategies
- **< 0.001**: Low risk → Safe to sell premium
### **Theta Signals**
- **|θ| > 20**: Fast decay → Aggressive premium selling
- **|θ| 10-20**: Moderate decay → Credit spreads
- **|θ| < 10**: Slow decay → Buy options (cheaper)
### **Vega Signals**
- **> 12**: High volatility → Sell volatility (straddles/strangles)
- **8-12**: Moderate → Neutral strategies
- **< 8**: Low volatility → Buy options (underpriced)
### **VIX Signals**
- **> 15**: High fear → Sell premium (expensive options)
- **12-15**: Moderate → Neutral
- **< 12**: Low fear → Buy protection / Long options
### **PCR Signals**
- **> 1.5**: Bearish (Put heavy) → Contrarian: Sell Puts
- **0.7-1.5**: Neutral (Balanced) → Range strategies
- **< 0.7**: Bullish (Call heavy) → Contrarian: Sell Calls
### **Max Pain Signals**
- **Below Max Pain**: Upside bias → Buy Calls / Sell Puts
- **At Max Pain**: Consolidation → Iron Condor
- **Above Max Pain**: Downside bias → Buy Puts / Sell Calls
---
## 📊 EXAMPLE SCENARIOS
### **Scenario 1: Premium Selling Setup**
```
Greeks Analysis:
- Delta: 0.52 (Neutral)
- Gamma: 0.0010 (Low Risk)
- Theta: -18 (Fast Decay)
- Vega: 13.5 (High Vol)
- VIX: 16.5 (High Fear)
- PCR: 1.4 (Neutral)
Signal: SELL PREMIUM ✅
Action: Sell Iron Condor
Setup: Sell 26050 CE + 25850 PE, Buy wings
```
### **Scenario 2: Bullish Buy Setup**
```
Greeks Analysis:
- Delta: 0.58 (Bullish)
- Gamma: 0.0018 (High - Big moves expected)
- Theta: -12 (Moderate)
- Vega: 8.5 (Moderate)
- VIX: 11.2 (Low - Cheap options)
- PCR: 1.6 (Bearish - Contrarian opportunity)
- Max Pain: 26000, Current: 25850
Signal: 🚀 BUY CALL
Strike: 26050 CE
Price: 12.50
Risk/Reward: FAVORABLE ✅
Action: Buy 26050 CE at ₹12.50
Target: ₹25-30 (2x)
Stop: ₹6 (50% loss)
```
### **Scenario 3: Max Pain Trade**
```
Max Pain: 26000
Current Price: 25850 (150 points below)
Days to Expiry: 2
PCR: 1.2 (Neutral)
Signal: BELOW MAX PAIN → Upside Likely
Action: Buy 25900 CE
Reason: Price likely to move toward Max Pain
Target: 26000 (Max Pain level)
```
---
## ⚠️ IMPORTANT NOTES
### **Data Limitations**
- Uses **simplified Greeks** calculation (assumes 3 DTE by default)
- Option prices may have slight delays (TradingView data refresh)
- Max Pain calculation is **approximation** based on current premiums
- Not all option symbols may be available on TradingView
### **Best Practices**
1. **Verify prices** on your broker platform before trading
2. **Use during market hours** (9:15 AM - 3:30 PM IST) for accurate data
3. **Most effective** 3-5 days before expiry
4. **Combine with price action** and trend analysis
5. **Risk management**: Never risk more than 2% per trade
### **Optimization Tips**
- **Increase strikes** to 9-11 for better Max Pain accuracy
- **Use FUTURES** tracking for liquid indices (NIFTY, BANKNIFTY)
- **Enable debug mode** initially to verify symbols are correct
- **Adjust IV Multiplier** if VIX seems over/underestimated
---
## 🔄 UPDATES & SUPPORT
### **Version 1.0 Features**
✅ Complete option chain display (17 columns)
✅ All 5 Greeks calculation
✅ Max Pain analysis
✅ Put-Call Ratio (PCR) - Overall + Strike-wise
✅ Trading signals (Buy + Sell)
✅ Specific strike recommendations
✅ Risk/Reward assessment
✅ Support for 6 Indian indices
✅ Configurable strikes (5-15)
✅ Dark/Light color schemes
✅ Auto ATM tracking
### **Planned Updates**
🔜 OI (Open Interest) data integration
🔜 Historical Max Pain tracking
🔜 PCR trends and momentum
🔜 Custom alerts for signals
🔜 Multi-expiry analysis
🔜 Volatility smile/skew display
---
## 📖 EDUCATIONAL RESOURCES
### **Understanding Greeks**
- **Delta**: Rate of change in option price vs underlying (0-1 for calls, -1-0 for puts)
- **Gamma**: Rate of change of Delta (highest at ATM)
- **Theta**: Time decay per day (always negative for buyers)
- **Vega**: Sensitivity to volatility changes
- **Rho**: Sensitivity to interest rate changes (less important for short-term)
### **Max Pain Theory**
Max Pain suggests that market makers manipulate prices toward the strike where option buyers lose the most money. While controversial, it has statistical validity in expiry week when:
1. Volume is high
2. Market makers hedge positions
3. Pin risk causes clustering at certain strikes
### **PCR as Sentiment Indicator**
- PCR > 1: More put buying than call buying (bearish)
- PCR < 1: More call buying than put buying (bullish)
- **Contrarian use**: Extreme readings often precede reversals
- **Confirmation use**: With trend for continuation trades
---
## 🎯 WHO IS THIS FOR?
### ✅ **Perfect For:**
- Options traders (all experience levels)
- Premium sellers (credit strategies)
- Directional option buyers
- Intraday option traders
- Swing traders in options
- Risk managers
- Market makers
- Professional traders
### ✅ **Use Cases:**
- Daily options trading on NIFTY/BANKNIFTY
- Weekly expiry strategies
- Monthly expiry positioning
- Volatility trading
- Hedging portfolios
- Greeks-based strategies
- Statistical arbitrage
---
## ⚖️ DISCLAIMER
**This indicator is for educational and informational purposes only.**
- NOT financial advice or recommendation to buy/sell
- Past performance does not guarantee future results
- Options trading involves substantial risk of loss
- Greeks calculations are theoretical models
- Max Pain is not guaranteed to be reached
- Always verify data with your broker
- Use proper risk management and position sizing
- Consult a financial advisor before trading
**The author is not responsible for any trading losses.**
---
## 📞 SUPPORT
For questions, issues, or feature requests:
- Comment below this indicator
- Check TradingView documentation for Pine Script basics
- Review NSE option chain for symbol verification
---
## 🏆 WHY CHOOSE THIS INDICATOR?
### **Comprehensive**
- Most complete options analysis tool on TradingView
- Combines Greeks + Max Pain + PCR + Signals in one
### **Professional**
- Used by professional traders
- Based on proven Black-Scholes model
- Real-time calculations
### **Actionable**
- Specific strike recommendations
- Entry prices displayed
- Clear Buy/Sell signals
- Risk/Reward assessment
### **Customizable**
- Multiple indices supported
- Configurable strikes
- Adjustable parameters
- Flexible positioning
### **Visual**
- Color-coded for easy reading
- Highlighted opportunities
- Chart levels for reference
- Professional table layouts
---
## 🚀 GET STARTED
1. **Add to chart**: Click "Add to favorites" ⭐
2. **Apply to NIFTY or BANKNIFTY** chart
3. **Set expiry date** in settings
4. **Configure strikes** (9 recommended)
5. **Start trading** with professional insights!
---
**Happy Trading! 📊💰**
*If you find this indicator useful, please like, comment, and share!*
*Your feedback helps improve future versions.*
---
**Tags**: #options #greeks #nifty #banknifty #maxpain #pcr #delta #gamma #theta #vega #optionchain #india #nse #trading #signals
스크립트에서 "Implied volatility"에 대해 찾기
Institutional Orderflow - CT Institutional Orderflow - CT
Overview
This indicator translates VIX futures dynamics into equity price implications, revealing institutional hedging flows and vol pricing's gravitational pull on price, where overpriced volatility signals compression and upside support, while underpriced levels flag expansion risks and downside pressure.
It maps VX deviations to equity levels via historical correlations, anchored by the Bull Bear Bias (BBB), a contango midpoint concept from Matt Cowart at Rocketscooter that sets VX1! fair value as the midpoint between front-month (VX1!) and second-month (VX2!) contracts at monthly rolls.
VX itself quantifies the distribution of options strikes around the underlying price over time, essentially the market's priced-in dispersion of potential outcomes, tied to expiration distance, with volatility inversely proportional to liquidity (fewer transactions in high-vol environments reduce flow and amplify moves).
Interpretation
- VX1! (Front-Month VIX Futures) : Gauges 30-day (±7 days, or 23-37 days to expiration) SPX implied volatility via forward options pricing, capturing medium-term hedging landscapes. Dealers, managing gamma exposure from longer-dated options, hedge by delta-adjusting underlying positions; rising VX1! reflects widening strike distributions (higher fear), prompting protective equity sales that pressure prices; falls toward BBB indicate narrowing distributions (calm), easing hedges and fostering liquidity-driven rallies as transaction frequency rises.
- VIX1D (1-Day Expected Volatility) : Focuses on ultra-short-dated (e.g., 0DTE) P.M.-settled options, measuring immediate strike clustering and gamma intensity near expiration. Closer-dated options heighten dealer sensitivity; spikes signal concentrated hedging bursts, eroding liquidity and fueling intraday volatility with sharp price reversals; declines promote hedging unwind, boosting transaction flow and short-term stability.
- VVIX (Volatility of VIX) : Assesses the implied volatility of VIX options (the "vol of vol"), revealing uncertainty in the vol forecast itself. Elevated VVIX denotes aggressive dealer repositioning across VIX strikes, forecasting erratic VX swings and reduced equity liquidity; subdued levels imply stable distributions, enhancing flow and trend persistence. BBB projections adjust dynamically: low VVIX (<80) constrains overshoots for reversion trades, while high (>110) expands them amid panic hedging.
- BBB Relationship : VX1! above BBB highlights over-distributed (expensive) vol, where dealers unwind hedges as time decays, inverting low liquidity into upside momentum; below BBB warns of under-distributed (cheap) vol, with sparse transactions amplifying expansion risks. Shorter tenors (VIX1D) drive tactical, gamma-fueled price action, contrasting VX1!'s strategic horizon, with VVIX scaling the intensity.
Key Features
- Target Line (Anchored) : Locks at swing violations as enduring support (green, below price) or resistance (red, above), fusing BBB's vol equilibrium with technical anchors to spotlight dealer hedge confluences in strike distributions.
- Magnet Line (Dynamic) : Mirrors live VX1!/BBB shifts, plotting "implied fair" price (blue above for unwind pull; orange below for hedge drag), linking term structure evolution to liquidity-driven gravity.
- Fear Scenario Line : Forecasts price erosion from a 10%+ VX1! surge above BBB, calibrated by VVIX for vol-of-vol amplification, defining dealer panic thresholds where low-liquidity spikes cascade.
- Overshoot Projection : Predicts interim extensions past targets, modulated by VIX1D (near-term gamma flares) and VVIX (distribution uncertainty), relating expiration proximity to heightened swings before time-decay reversion.
- Candle Coloring and SMA Trends : Tracks near-term VX1!/VVIX/VIX1D flows via gradient-colored candles (strong/medium/weak bullish/bearish based on SMA deviations), visualizing realtime options dynamics; green shades signal hedging unwind (rising liquidity, upside bias), red indicates expansion (dealer sales, downside drag). Recommended: VX1! Trend for long-term confluences (Tue-Thu swings); VIX1D Trend or VX1! + VIX1D for short-term (Mon/Fri scalps); add VVIX for regime shifts.
- Swing Boxes : Denote aggressive VX spikes (fear hedging bets) or de-escalations (position realizations), highlighting gamma-driven reversals where dealers rebalance, often preceding liquidity surges or drains in price action.
- Table Metrics : Condenses VX1!/BBB skew, VVIX regimes, VIX1D pulses, and contango cues, correlating options tenor gradients to price flow and hedging mechanics.
Multiple Rate Of ChangeConvergence of Multiple period Rates of Change near the Zero line shows contraction in volatility.
Soon we can expect expansion in volatility.
Ideal strategy would be to buy ATM Straddles when different period ROCs converge near Zero line.
(Also check implied volatility of options before going for this strategy)
IV Rank (tasty-style) — VIXFix / HV ProxyIV Rank (tasty-style) — VIXFix / HV Proxy
Overview
This indicator replicates tastytrade’s IV Rank calculation—but built entirely inside TradingView.
Because TradingView does not expose live option-chain implied volatility, the script lets you choose between two widely used price-based IV proxies:
VIXFix (Williams VIX Fix): a fast-reacting volatility estimate derived from price extremes.
HV(30): 30-day annualized historical volatility of daily log returns.
The goal is to approximate the “rich vs. cheap” option volatility environment that traders use to decide whether to sell or buy premium.
Formula
IV Rank answers the question: Where is current implied volatility relative to its own 1-year range?
𝐼
𝑉
𝑅
=
𝐼
𝑉
𝑐
𝑢
𝑟
𝑟
𝑒
𝑛
𝑡
−
𝐼
𝑉
1
𝑦
𝐿
𝑜
𝑤
𝐼
𝑉
1
𝑦
𝐻
𝑖
𝑔
ℎ
−
𝐼
𝑉
1
𝑦
𝐿
𝑜
𝑤
×
100
IVR=
IV
1yHigh
−IV
1yLow
IV
current
−IV
1yLow
×100
IVcurrent: Current value of the chosen IV proxy.
IV1yHigh/Low: Highest and lowest proxy values over the user-defined lookback (default 252 trading days ≈ 1 year).
IVR = 0 → Current IV equals its 1-year low
IVR = 100 → Current IV equals its 1-year high
IVR ≈ 50 → Current IV sits mid-range
How to Use
High IV Rank (≥50–60%)
Options are relatively expensive → short-premium strategies (credit spreads, iron condors, straddles) may be more attractive.
Low IV Rank (≤20%)
Options are relatively cheap → long-premium strategies (debit spreads, calendars, diagonals) may offer better risk/reward.
Combine with your own analysis, liquidity checks, and risk management.
Inputs & Customization
IV Source: Choose “VIXFix” or “HV(30)” as the volatility proxy.
IVR Lookback: Rolling window for 1-year high/low (default 252 trading days).
VIXFix Parameters: Length and stdev multiplier to fine-tune sensitivity.
Info Label: Optional on-chart label displays current IV proxy, 1-year high/low, and IV Rank.
Alerts: Optional alerts when IVR crosses 50, falls below 20, or rises above 80.
Notes & Limitations
This indicator does not pull real option-chain IV.
It provides a close structural analogue to tastytrade’s IV Rank using price-derived proxies for markets where options data is not directly available.
For live option IV, use broker platforms or third-party data feeds alongside this script.
Tags: IV Rank, Implied Volatility, Tastytrade, VIXFix, Historical Volatility, Options, Premium Selling, Debit Spreads, Market Volatility
Weekly Covered Calls Strategy with IV & Delta LogicWhat Does the Indicator Do?
this is interactive you must use it with your options chain to input data based on the contract you want to trade.
Visualize three strike price levels for covered calls based on:
Aggressive (closest to price, riskier).
Moderate (mid-range, balanced).
Low Delta (farthest, safer).
Incorporate Implied Volatility (IV) from the options chain to make strike predictions more realistic and aligned with market sentiment. Adjust the risk tolerance by modifying Delta inputs and IV values. Risk is defined for example .30 delta means 30% chance of your shares being assigned. If you want to generate steady income with your shares you might want to lower the risk of them being assigned to .05 or 5% etc.
How to Use the Indicator with the Options Chain
Start with the Options Chain:
Look for the following data points from your options chain:
Implied Volatility (IV Mid): Average IV for a particular strike price.
Delta:
~0.30 Delta: Closest strike (Aggressive).
~0.15–0.20 Delta: Mid-range strike (Moderate).
~0.05–0.10 Delta: Far OTM, safer (Low Delta).
Strike Price: Identify strike prices for the desired Deltas.
Open Interest: Check liquidity; higher OI ensures tighter spreads.
Input IV into the Indicator:
Enter the IV Mid value (e.g., 0.70 for 70%) from the options chain into the Implied Volatility field of the indicator.
Adjust Delta Inputs Based on Risk Tolerance:
Aggressive Delta: Increase if you want strikes closer to the current price (riskier, higher premium).
Default: 0.2 (20% chance of shares being assigned).
Moderate Delta: Balanced risk/reward.
Default: 0.12 (12%)
Low Delta: Decrease for safer, farther OTM strikes.
Default: 0.05 (5%)
Visualize the Chart:
Once inputs are updated:
Red Line: Aggressive Strike (closest, riskiest, higher premium).
Blue Line: Moderate Strike (mid-range).
Green Line: Low Delta Strike (farthest, safer).
Step-by-Step Workflow Example
Open the options chain and note:
Implied Volatility (IV Mid): Example 71.5% → input as 0.715.
Delta for desired strikes:
Aggressive: 0.30 Delta → Closest strike ~ $455.
Moderate: 0.15 Delta → Mid-range strike ~ $470.
Low Delta: 0.05 Delta → Farther strike ~ $505.
Open the indicator and adjust:
IV Mid: Enter 0.715.
Aggressive Delta: Leave at 0.12 (or adjust to bring strikes closer).
Moderate Delta: Leave at 0.18.
Low Delta: Adjust to 0.25 for safer, farther strikes.
View the chart:
Compare the indicator's strikes (red, blue, green) with actual options chain strikes.
Use the visualization to: Validate the risk/reward for each strike.
Align strikes with technical trends, support/resistance.
Adjusting Inputs Based on Risk Tolerance
Higher Risk: Increase Aggressive Delta (e.g., 0.15) for closer strikes.
Use higher IV values for volatile stocks.
Moderate Risk: Use default values (0.12–0.18 Delta).
Balance premiums and probability.
Lower Risk: Increase Low Delta (e.g., 0.30) for farther, safer strikes.
Focus on higher IV stocks with good open interest.
Key Benefits
Simplifies Strike Selection: Visualizes the three risk levels directly on the chart.
Aligns with Market Sentiment: Incorporates IV for realistic forecasts.
Customizable for Risk: Adjust inputs to match personal risk tolerance.
By combining the options chain (IV, Delta, and liquidity) with the technical chart, you get a powerful, visually intuitive tool for covered call strategies.
True Range/Expected MoveThis indicator plots the ratio of True Range/Expected Move of SPX. True Range is simple the high-low range of any period. Expected move is the amount that SPX is predicted to increase or decrease from its current price based on the current level of implied volatility. There are several choices of volatility indexes to choose from. The shift in color from red to green is set by default to 1 but can be adjusted in the settings.
Red bars indicate the true range was below the expected move and green bars indicate it was above. Because markets tend to overprice volatility it is expected that there would be more red bars than green. If you sell SPX or SPY option premium red days tend to be successful while green days tend to get stopped out. On a 1D chart it is interesting to look at the clusters of bar colors.
IV/HV ratio 1.0 [dime]This script compares the implied volatility to the historic volatility as a ratio.
The plot indicates how high the current implied volatility for the next 30 days is relative to the actual volatility realized over the set period. This is most useful for options traders as it may show when the premiums paid on options are over valued relative to the historic risk.
The default is set to one year (252 bars) however any number of bars can be set for the lookback period for HV.
The default is set to VIX for the IV on SPX or SPY but other CBOE implied volatility indexes may be used. For /CL you have OVX/HV and for /GC you have GVX/HV.
Note that the CBOE data for these indexes may be delayed and updated EOD
and may not be suitable for intraday information. (Future versions of this script may be developed to provide a realtime intraday study. )
There is a list of many volatility indexes from CBOE listed at:
www.cboe.com
(Some may not yet be available on Tradingview)
RVX Russell 2000
VXN NASDAQ
VXO S&P 100
VXD DJIA
GVX Gold
OVX OIL
VIX3M 3-Month
VIX6M S&P 500 6-Month
VIX1Y 1-Year
VXEFA Cboe EFA ETF
VXEEM Cboe Emerging Markets ETF
VXFXI Cboe China ETF
VXEWZ Cboe Brazil ETF
VXSLV Cboe Silver ETF
VXGDX Cboe Gold Miners ETF
VXXLE Cboe Energy Sector ETF
EUVIX FX Euro
JYVIX FX Yen
BPVIX FX British Pound
EVZ Cboe EuroCurrency ETF Volatility Index
Amazon VXAZN
Apple VXAPL
Goldman Sachs VXGS
Google VXGOG
IBM VXIBM
Institutional MF-Vol Compression Scanner v4.0 [BIG]═══════════════════════════════════════════════════════════════════════════════
BIG COMPRESSION SCANNER v4.0
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OVERVIEW
The BIG Compression Scanner v4.0 is a proprietary volatility regime detection system designed for systematic Daily options deployment. This framework identifies pre-expansion volatility compression zones through multi-dimensional market structure analysis, combining institutional positioning patterns with hierarchical timeframe confirmation and options market structure to generate high-conviction directional signals for premium strategies.
The methodology synthesizes volatility dynamics, liquidity flow patterns, and cross-timeframe regime alignment into a probabilistic scoring system that isolates asymmetric risk-reward setups characteristic of compression-to-expansion transitions. The framework is calibrated specifically for 30-45 DTE options strategies where timing precision and volatility environment assessment are critical to edge generation.
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CORE METHODOLOGY
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• Proprietary Compression Detection
The system employs a multi-factor compression identification framework that monitors volatility regime transitions across price dispersion metrics and range contraction patterns. Unlike single-indicator squeeze systems, this methodology uses weighted ensemble logic to distinguish true pre-expansion compression from random consolidation noise.
Compression strength is quantified through a proprietary scoring algorithm (0-100%) that evaluates:
- Statistical volatility contraction relative to historical norms
- Price range compression within dynamic envelope systems
- Institutional volume signature analysis during low-volatility periods
- Cross-timeframe compression alignment (Daily/Weekly/Monthly hierarchy)
The framework filters compression events based on minimum strength thresholds and multi-bar confirmation to eliminate premature signals characteristic of retail squeeze indicators.
• Hierarchical Multi-Timeframe Architecture
The indicator integrates a three-tier temporal analysis structure where higher timeframes constrain and validate lower timeframe signals:
Strategic Layer (Monthly) – Establishes macro directional bias and identifies structural market positioning. This layer determines whether intermediate trends align with or counter dominant regime dynamics.
Structural Layer (Weekly) – Provides tactical context through key price levels, momentum assessment, and volatility regime confirmation. Weekly analysis filters signals that would occur in unfavorable proximity to structural inflection zones.
Execution Layer (Daily) – Generates precise entry timing through intraday regime shift detection, momentum confluence analysis, and institutional flow pattern recognition.
Each layer contributes weighted influence to the composite directional probability model, with recalibration logic that adjusts timeframe importance based on current market regime characteristics. The exact weighting algorithm is proprietary and adapts to volatility environment dynamics.
• Options Market Structure Integration
Version 4.0 incorporates options-specific market intelligence not available in standard technical analysis frameworks:
Volatility Environment Assessment – The system continuously monitors implied volatility regime characteristics through proprietary estimation models. These models identify whether current premium levels favor buying or selling strategies, adjusting signal generation accordingly.
Temporal Decay Awareness – Built-in expiration cycle logic ensures signals only trigger when sufficient time value remains for thesis development. The framework approximates days-to-expiration and applies minimum threshold filters to prevent entries in high theta decay regimes.
Greeks-Aware Targeting – Price targets are dynamically calibrated based on volatility expansion expectations and estimated leverage characteristics. Target multipliers adjust to current options market structure rather than using fixed risk-reward ratios.
Premium Environment Classification – Signals are enhanced with real-time assessment of whether current volatility levels favor long premium, short premium, or spread strategies based on historical percentile analysis.
• Probabilistic Directional Scoring System
Rather than binary bullish/bearish classification, the framework generates probability-weighted directional bias through a proprietary multi-factor model. This model synthesizes trend alignment metrics, momentum characteristics, structural positioning, and institutional flow signatures into normalized probability distributions.
The scoring system evaluates dozens of market structure variables across multiple timeframes, applies regime-dependent weighting, and produces directional probabilities that reflect actual edge rather than arbitrary technical indicator thresholds. Signal generation occurs only when directional probability exceeds user-defined conviction thresholds (55-65% depending on sensitivity setting).
This probabilistic approach allows traders to calibrate position sizing and strategy selection (outright vs. spreads) to the strength of directional conviction rather than treating all signals as equal weight.
• Institutional Flow Detection
The framework monitors volume and price interaction patterns characteristic of institutional accumulation or distribution during compression phases. This analysis identifies whether compression zones contain building directional positions (high probability of sustained move post-breakout) versus thin, choppy consolidation (high false breakout risk).
Flow detection employs proprietary algorithms that distinguish genuine institutional activity from retail volume spikes, providing critical context for signal validation.
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SIGNAL ARCHITECTURE
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Call Option Signals trigger when compression strength, directional probability, timeframe alignment, options market structure, and institutional flow patterns simultaneously satisfy proprietary threshold criteria. Signals are filtered against weekly structural levels to avoid low-probability entries near major resistance zones.
Put Option Signals follow equivalent logic with inverse directional parameters, ensuring symmetrical framework application across bull and bear setups.
All signals include:
- Directional conviction probability (percentage)
- Current volatility environment assessment (IV Rank proxy)
- Dynamic price target based on expansion expectations
- Multi-timeframe alignment status
Signal cooldown logic prevents excessive signal generation during extended consolidation periods, maintaining signal quality over quantity.
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VISUAL INTELLIGENCE
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Real-Time Multi-Timeframe Dashboard
The top-right panel provides continuous visibility into:
- Trend alignment across Daily/Weekly/Monthly timeframes
- Current compression status at each temporal layer
- Momentum regime characteristics (RSI values)
- Options environment assessment (IV Rank, optimal strategy)
- Composite signal readiness (compression strength percentage)
This dashboard enables rapid regime assessment without manual multi-timeframe chart analysis.
Chart Integration
Visual overlays include:
- Volatility envelope systems (dynamic bands)
- Weekly structural price levels (pivot, resistance, support)
- Compression zone highlighting (background shading)
- Active squeeze indicators (Daily and Weekly differentiation)
Signal Labels
When setups trigger, comprehensive labels display:
📈 CALL OPTION
Prob: XX%
IV Rank: XX%
Target: $XXX.XX
Labels provide all critical execution information without requiring dashboard consultation.
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KEY CAPABILITIES
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- Proprietary multi-factor compression detection with adaptive thresholds
- Hierarchical multi-timeframe confirmation (Daily/Weekly/Monthly)
- Options-specific filters (IV regime, DTE requirements, Greeks awareness)
- Probabilistic directional scoring (0-100% conviction levels)
- Institutional flow pattern recognition during compression
- Weekly structural level integration with proximity filters
- Dynamic target calibration based on volatility expansion expectations
- Real-time multi-timeframe regime dashboard
- Customizable sensitivity and threshold parameters
- Non-repainting signal architecture (bar close confirmation)
- Comprehensive alert system for proactive monitoring
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APPLICATION GUIDELINES
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1. Timeframe Selection
Apply to Daily (D1) charts only. Framework calibration is timeframe-specific; other intervals produce suboptimal results.
2. Options Mode Activation
Enable Options Trading Mode for premium strategy optimization. This activates IV filtering, DTE thresholds, and Greeks-aware targeting.
3. Strategy Calibration
- Premium Buying: Set IV threshold to 50th percentile, DTE minimum 30+ days, target multiplier 2.5-3.0×
- Premium Selling: Set IV threshold to 70th+ percentile, DTE minimum 20-30 days, target multiplier 1.5-2.0×
4. MTF Dashboard Monitoring
Verify multi-timeframe alignment before execution:
- Ideal setup: Daily + Weekly compression both active
- Confirm trend alignment across timeframes
- Check IV Rank for premium environment assessment
- Wait for "READY" status (green) indicating threshold satisfaction
5. Signal Execution
When labels appear:
- Review directional probability (target >65% for high conviction)
- Assess IV environment (low IV favors buying, high IV favors selling)
- Use price target for strike selection and profit objectives
- Consider 30-45 DTE options for thesis development time
6. Risk Management
- Position size: 2-5% options capital per signal
- Stop loss: Exit if compression breaks opposite direction without follow-through
- Time stop: Reassess if position stagnant after 5-7 days
- Profit taking: Scale out at provided targets or weekly pivot levels
7. Sensitivity Adjustment
- High (55%): More signals, lower conviction, diversified approach
- Medium (60%): Balanced, default setting (2-4 signals/month typical)
- Low (65%): Fewer signals, higher conviction, concentrated positions
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FRAMEWORK LIMITATIONS
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- Optimized exclusively for Daily timeframe analysis
- Compression development requires patience (2-4 weeks typical)
- IV metrics are proprietary proxies, not direct exchange data
- Greeks estimations approximate actual options contract characteristics
- DTE calculations simplified vs. precise monthly expiration dates
- Multi-timeframe filtering reduces but cannot eliminate false breakouts
- Requires liquid options markets (tight spreads, adequate open interest)
- Not designed for earnings-driven volatility events (IV crush risk)
- Framework identifies timing, not specific strike or expiration selection
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TECHNICAL SPECIFICATIONS
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- Pine Script v5 architecture
- Non-repainting signal confirmation (bar close validation)
- Multi-security data integration (Weekly/Monthly via request.security)
- Real-time multi-timeframe analysis dashboard
- 4 alert conditions (Call/Put options, directional generic)
- Fully customizable parameters (compression, scoring, filters, visuals)
- Professional-grade visual hierarchy and information density
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PROFESSIONAL CONTEXT
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This framework is designed for systematic options traders with working knowledge of:
- Volatility regime dynamics and expansion/contraction cycles
- Options Greeks and their impact on P&L across various market conditions
- Implied Volatility Rank interpretation and premium pricing assessment
- Multi-timeframe analysis methodology and trend hierarchy
- Risk-adjusted position sizing and portfolio construction principles
The system identifies when market structure favors options deployment but does not prescribe how to construct positions. Strike selection, expiration choice, spread architecture, and position sizing require independent trader judgment based on account parameters and risk tolerance.
Optimal deployment combines this framework with:
- Options analytics platform (actual IV, Greeks, probability calculations)
- Earnings calendar awareness (pre-earnings IV inflation vs. post-earnings crush)
- Broader market regime context (VIX, correlation, sector rotation)
- Portfolio-level risk management (concentration limits, correlation analysis)
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Proprietary compression-to-expansion framework for systematic Daily options deployment. Methodology incorporates multi-dimensional volatility analysis, hierarchical timeframe confirmation, and options market structure intelligence.
TVB - Thomas Volatility Bands v2.0TVB – Thomas Volatility Bands v2.0
Author: Thomas Aaroon
Concept: CIV-Driven Volatility Bands with Adaptive Vomma Scaling
Overview
TVB – Thomas Volatility Bands v2.0 is an advanced volatility-adaptive band system built on two core elements:
CIV (Composite Implied Volatility) – manually provided or proxied using an external IV index
Dynamic Vomma Scaling – a higher-order volatility response factor that adjusts band width based on the convexity of implied volatility changes
Together, these components create a continuously adapting volatility envelope that reacts smoothly to market regime shifts.
Key Features
1. Flexible CIV Input
Manual CIV mode: Enter your own CIV value (decimal or %)
Proxy CIV mode: Pulls IV data from INDIA_VIX or any custom IV symbol
Weighted blending: Adjustable α-weight for proxy influence
Automatic normalization ensures stable and bounded CIV values.
2. Adaptive Volatility Engine
CIV is smoothed using EMA for intraday and SMA for higher-timeframes
Vomma coefficient dynamically adjusts based on CIV percentile and short-term CIV volatility
Produces a volatility surface that expands during stress and contracts during calm periods.
3. Time-Scaled Band Construction
Bands automatically scale their width according to:
Timeframe multiplier
Estimated bars-per-day
Annualized volatility normalization (√252 rule)
This ensures consistent volatility geometry across all chart timeframes.
4. Dual-Layer Volatility Bands
Inner Bands (±3σ): Tactical mean-reversion boundaries
Outer Bands (±4σ): Structural deviation zones for extreme price dislocations
Smooth color-coded volatility regimes (low/moderate/high CIV).
5. Re-Entry Logic (34% Rule)
A clean, rule-based mechanism inspired by distributional penetration depth:
Tracks bars that break the ±4σ outer band
Looks for 34% penetration back toward the ±3σ region
Generates optional visual markers (buy/sell re-entry)
Designed to highlight volatility compression opportunities after extreme expansions.
6. Optional CIV Diagnostic Label
Shows:
CIV and smooth CIV
Vomma coefficient
Effective band width
Useful for strategy development and volatility research.
Intended Use
TVB v2.0 is designed for:
Volatility-based trading models
Mean-reversion and re-entry systems
Volatility regime identification
Institutional-grade market structure research
This indicator does not repaint and does not generate trade signals by default (signals can be enabled via optional shapes).
Disclaimer
This tool is for educational and analytical purposes only.
It is not financial advice, and the author is not responsible for any trading outcomes.
VIX HeatmapVIX HeatMap
Instructions:
- To be used with the S&P500 index (ES, SPX, SPY, any S&P ETF) as that's the input from where the CBOE calculates and measures the VIX. Can also be used with the Dow Jones, Nasdaq, & Nasdaq100.
Description:
- Expected Implied Volatility regime simplified & visualized. Know if we are in a high, medium, or low volatility regime, instantly.
- Ranges from Hot to Cold: The hotter the heat-map, the higher the implied volatility and fear & vice versa.
- The VIX HeatMap, color-maps important VIX levels (7 in this case) in measuring volatility for day trading & swing trading.
Using the VIX HeatMap:
- A LOW level volatility environment: Represented by "cooler" colors (Blue & White) depicts that the level of volatility and fear is low. Percentage moves on the index level are going to be tame and less volatile more often than not. Low fear = low perceived risk.
- A MEDIUM level volatility environment: Represented by "warmer" colors (Green & Yellow) depicts that the markets are transitioning from a calmer period or from a more fearful period. Market volatility here will be higher and provide more volatile swings in price.
- A HIGH level volatility environment: Represented by "hotter" colors (Orange, Red, & Purple) depicts that the markets are very fearful at the moment and will have big swings in both directions. Historically, extreme VIX levels tend to coincide with bottoms but are in no way predictive of the exact timing as the volatile moves can continue for an extended period of time.
- Transitioning between the 7 VIX Zones: Each and every one of these specific VIX zone levels is important.
1. Extreme low: <16
2. Low: 16 to 20
3. Normal: 20 to 24
4. Medium: 24 to 28
5. Med-High: 28 to 32
6. High: 32 to 36
7. Extreme high: >36
- These VIX levels in particular measure volatility changes that have a major impact on switching between smaller time frames and measuring depths of a sell move and vice versa. Each level also behaves as its own support & resistance level in terms of taking a bit of effort to switch regimes, and aids in identifying and measuring the potential depth of pullbacks in bull markets and bounces in bear markets to reveal reversal points.
- Examples of VIX level supports depicted on the chart marked with arrows. From left to right:
1. March 10th: Markets jumped 2 volatility levels in 2 days. The fluctuations from blue to yellow to green where a sign that price action would reverse from the selloff.
2. March 28th: As soon as we move from green to the blue VIX level (<20), markets began to rally and only ended when the volatility level moved sub VIX 16 (white).
3. May 4th & 24th: Next we see the 2 dips where volatility levels went from blue to green (VIX > 20), marked bottoms and reversed higher.
4. June 1st: We see a change in VIX regime yet again into lower VIX level and markets rocket higher.
Knowing the current VIX regime is a very important tool and aid in trading, now easily visualized.
Macro Risk Trinity [OAS|VIX|MOVE]The Obsolescence of Single-Metric Risk Models
For decades, the CBOE VIX served as the undisputed "fear gauge" of Wall Street. However, the modern financial market structure has evolved to a point where relying on a single univariate indicator is not only insufficient but potentially dangerous. Two structural shifts have fundamentally altered the predictive power of the VIX:
The 0DTE Blind Spot: The VIX calculates implied volatility based on options expiring in 23 to 37 days. Today, massive institutional hedging flows occur intraday via 0DTE (Zero Days to Expiration) options. This creates a "Gamma Suppression" effect: Market makers hedging these short-term flows often dampen realized volatility intraday, effectively bypassing the VIX calculation window. This leads to a suppression of the index, masking risk even during fragile market phases (Bandi et al., 2023).
Goodhart’s Law: "When a measure becomes a target, it ceases to be a good measure." Because algorithmic volatility targeting strategies and risk-parity funds use the VIX as a mechanical trigger to deleverage, market participants have developed an incentive to suppress implied volatility via short-volatility strategies to prevent triggering cascading margin calls.
The Theoretical Framework: Why this Model Works
To accurately navigate this complex environment, the Macro Risk Trinity moves beyond simple price action. It employs a multivariate analysis of the financial system's three core pillars: Rates, Credit, and Equity. The logic is derived from three specific areas of financial research:
1. The Origin of Shock: Volatility Spillover Theory
Macroeconomic shocks typically do not start in the stock market; they originate in the US Treasury market. The MOVE Index acts as the "VIX for Bonds." Research by Choi et al. (2022) demonstrates that bond variance risk premiums are a leading indicator for equity distress. Since the "Risk-Free Rate" is the denominator in every Discounted Cash Flow (DCF) model, instability here forces a repricing of all risk assets downstream.
2. The Foundation: Structural Credit Models (Merton)
While stock prices are often driven by sentiment and liquidity, corporate bond spreads ( High Yield Option Adjusted Spread ) are driven by balance sheets and math. Based on the seminal Merton Model (1974), equity can be viewed as a call option on a firm's assets, while debt carries a short put option risk.
The Thesis: If the VIX (Equity) is low, but OAS (Credit) is widening, a divergence occurs. Mathematically, credit spreads cannot widen indefinitely without eventually pulling equity valuations down. This indicator identifies that specific divergence.
3. The Fragility: Knightian Uncertainty
By monitoring the VVIX (Volatility of Volatility), we detect demand for tail-risk protection. When the VIX is suppressed (low) but VVIX is rising, it signals that "Smart Money" is buying Out-of-the-Money crash protection despite calm waters. This is often a precursor to liquidity events where the VIX "uncoils" violently.
The Solution: Dual Z-Score Normalization
You cannot simply overlay the VIX (an index) with a Credit Spread (a percentage). To make them comparable, this script utilizes a Dual Z-Score Engine.
It calculates the statistical deviation from both a Fast (Quarterly/63-day) and a Slow (Yearly/252-day) mean. This standardizes all data into a single "Stress Unit," allowing us to see exactly when Credit Stress exceeds Equity Fear.
Decoding the Macro Regimes
The indicator aggregates these data streams to visualize the current market regime via the chart's background color:
Systemic Shock (Red Background): The critical convergence. Both Credit Spreads (Solvency) and Equity Volatility (Fear) spike simultaneously beyond extreme statistical thresholds (> 2.0 Sigma). Correlations approach 1, and liquidity evaporates.
Macro Risk / Rates Shock (Yellow Background): Equities are calm, but the MOVE Index is panicking. A warning signal from the plumbing of the financial system regarding inflation or Fed policy errors.
Credit Stress (Maroon Background): The "Silent Killer." The VIX is low (often suppressed), but Credit Spreads (OAS) are widening. This signals a deterioration of the real economy ("Slow Bleed") while the stock market is in denial.
Structural Fragility (Purple Background): VIX is low, but VVIX is rising. A sign of excessive leverage and "Volmageddon" risk (Gamma Squeeze).
Bull Cycle (Green Background): The "Buy the Dip" signal. Even if prices fall and VIX spikes, the background remains green as long as Corporate Credit (OAS) remains stable. This indicates the sell-off is technical, not fundamental.
Technical Specifications
Engineered for the Daily (1D) timeframe.
Institutional Lookbacks: 63 Days (Quarterly) / 252 Days (Yearly).
OAS Lag Buffer: Includes logic to handle the ~24h reporting delay of Federal Reserve (FRED) data to prevent signal flickering.
Scientific Bibliography
This tool is not based on heuristics but on peer-reviewed financial literature:
Bandi, F. M., et al. (2023). The spectral properties of 0DTE options and their impact on VIX. Journal of Econometrics.
Choi, J., Mueller, P., & Vedolin, A. (2022). Bond Variance Risk Premiums. Review of Finance.
Cremers, M., et al. (2008). Explaining the Level and Time-Variation of Credit Spreads. Review of Financial Studies.
Griffin, J. M., & Shams, A. (2018). Manipulation in the VIX? The Review of Financial Studies.
Merton, R. C. (1974). On the Pricing of Corporate Debt. The Journal of Finance.
Author's Note: The Reality of Markets & Overfitting
While this tool is built on robust academic principles, we must address the reality of quantitative modeling: There is no Holy Grail.
This indicator relies on Z-Scores, which assume that future volatility distributions will somewhat resemble the past (Mean Reversion). In data science, calibrating lookback periods (like 63/252 days) always carries a risk of Overfitting to past cycles.
Markets are adaptive systems. If the correlation between Credit Spreads and Equity Volatility breaks (e.g., due to massive fiscal intervention/QE or new derivative products), signals may temporarily diverge. This tool is designed to identify stress, not to predict the future price. It will rhyme with the market, but it will not always repeat it perfectly.
Use it as a compass to gauge the environment, not as an autopilot for your trading.
Use responsibly and always manage your risk.
Disclaimer: This indicator relies on external data feeds from FRED and CBOE. Data availability is subject to TradingView providers.
Option CalculatorOption Calculator – Comprehensive Feature Guide
The aiTrendview Option Calculator is a feature-rich options trading dashboard built using Pine Script, designed for real-time market interpretation and strategy selection. It integrates Black-Scholes-based pricing models with dynamic market inputs to help traders evaluate directional bias, volatility, risk, and potential profitability in a structured, intuitive format. The tool supports both beginner and experienced options traders in making data-driven decisions.
Core Inputs and Pricing Foundations
Users can input the strike price, days to expiration, implied volatility (IV), interest rate, and option type (call or put). These values feed directly into calculations for the option's theoretical price, Greeks, and expected move. For example:
• Strike Price helps define moneyness, impacting delta and risk/reward balance.
• Days to Expiry determines the speed of time decay (theta).
• Risk-Free Rate adjusts for time value and interest rate impact (rho).
• Implied Volatility affects premium pricing and vega exposure.
• Option Type sets the directional foundation for strategy analysis.
Live Market Data Integration
The script pulls current underlying price, price change, and volume comparison against a moving average (e.g., current volume vs. 20-day average). This helps identify unusual trading activity or volume spikes. Volatility readings are also incorporated using ATR or external volatility indexes to enhance the realism of IV assessments.
Greek Calculations
The dashboard provides visual and numerical values for all five major Greeks:
• Delta shows directional sensitivity and is plotted with a visual bar.
• Gamma represents the rate of delta change, especially critical near-the-money.
• Theta measures time decay and is most impactful in the final weeks before expiration.
• Vega tracks sensitivity to volatility shifts, crucial for premium-selling strategies.
• Rho reflects sensitivity to interest rates, primarily relevant in long-dated options.
Each Greek is calculated based on real-time inputs, providing a statistical framework for assessing risk and return.
Market Sentiment & Risk Environment
A sentiment scoring system interprets the put-call ratio (PCR), volume trends, and price momentum (e.g., RSI). IV levels are color-coded (e.g., low, medium, high) to identify whether options are relatively cheap or expensive. These values support better timing decisions and help identify whether to be a buyer or seller of premium.
Strategy Recommendation Engine
The script dynamically evaluates six core strategies based on current data:
1. Long Call
2. Short Put
3. Long Put
4. Bull Call Spread
5. Long Straddle
6. Iron Butterfly
Each strategy is assigned a confidence score (0–100%) and updated in real-time. This system is designed to match the appropriate strategy to market conditions such as trend, volatility, and time to expiration.
Risk-Adjusted Trading Insights
The dashboard helps traders evaluate whether to initiate trades, reduce exposure, or wait:
• High Confidence (80%+): Favorable environment; standard sizing recommended.
• Moderate Confidence (60–80%): Trade with caution and reduced risk.
• Low Confidence (<60%): Consider avoiding the trade or waiting for better setup.
It also supports risk mitigation through defined-risk strategies and provides guidance on stop-loss, profit targets, and time-based exits (e.g., managing options with <21 days to expiry).
Real-Time Monitoring
The script continuously tracks:
• Changes in Greeks as price, volatility, or time evolve.
• Profit probability estimates using expected move and breakeven pricing.
• Volume activity and IV rank to spot institutional behavior.
This empowers traders to manage trades proactively, adjust exposure, or lock in profits based on changing market conditions.
Practical Use Case Flow
Step 1: Input Setup
Enter option-specific parameters (strike, expiry days, IV, etc.) and let the dashboard auto-calculate risk metrics.
Step 2: Analyze Market
Use sentiment analysis, IV level, and volume data to understand the environment.
Step 3: Select Strategy
Rely on the confidence score and recommendation engine to choose a suitable options strategy.
Step 4: Manage Risk
Apply size rules based on signal strength, adjust based on exposure, and set alerts if needed.
Step 5: Monitor Outcomes
Track Greeks, probability, and progress metrics to stay informed throughout the trade.
Trading Environment Adaptation
• Low IV: Favor long premium strategies (e.g., long straddles, long calls).
• High IV: Favor premium selling strategies (e.g., iron condors, credit spreads).
• Bullish Markets: Focus on call-based trades or bullish spreads.
• Sideways Markets: Use neutral setups like iron butterflies or calendar spreads.
Position sizing and stop-loss logic are aligned with industry practices (e.g., risk no more than 2% per trade, take profit at 50%, and cut losses at double the premium received).
Dashboard Interpretation Guide
• Green: High confidence strategy, favourable IV, and strong volume confirmation.
• Yellow: Mixed signals or moderate conviction – proceed with caution.
• Red: Low confidence, poor conditions – better to wait for clearer opportunities.
Disclaimer from aiTrendview
This script is intended for educational and informational use only. It does not offer financial advice or trading signals, nor does it guarantee results. aiTrendview and its affiliates are not responsible for any financial loss or decision made using this tool. Options trading involves substantial risk and is not suitable for all investors. Past performance of any strategy or metric does not guarantee future results. Users are encouraged to consult with a certified financial advisor and conduct independent research before making trading decisions.
IV PercentileIV Percentile Indicator - Brief Description
What It Does
The IV Percentile Indicator measures where current implied volatility ranks compared to the past year, showing what percentage of time volatility was lower than today's level.
How It Works
Data Collection:
Tracks implied volatility (or historical volatility as proxy) for each trading day
Stores the last 252 days (1 year) of volatility readings
Uses VIX data for SPY/SPX, historical volatility for other stocks
Calculation:
IV Percentile = (Days with IV below current level) ÷ (Total days) × 100
Example: If IV Percentile = 75%, it means current volatility is higher than 75% of the past year's readings.
Visual Output
Main Display:
Blue line showing percentile (0-100%)
Reference lines at key levels (20%, 30%, 50%, 70%, 80%)
Color-coded backgrounds for quick identification
Info table with current readings
Key Levels:
80%+ (Red): Very high IV → Sell premium
70-79% (Orange): High IV → Consider selling
30-20% (Green): Low IV → Consider buying
<20% (Bright Green): Very low IV → Buy premium
Trading Application
When IV Percentile is HIGH (70%+):
Options are expensive relative to recent history
Good time to sell premium (iron condors, credit spreads)
Expect volatility to decrease toward normal levels
When IV Percentile is LOW (30%-):
Options are cheap relative to recent history
Good time to buy premium (straddles, long options)
Expect volatility to increase from compressed levels
Core Logic
The indicator helps answer: "Is this a good time to buy or sell options based on how expensive/cheap they are compared to recent history?" It removes the guesswork from volatility timing by providing historical context for current option prices.
Black–Scholes model - Options premium calculatorBlack-Scholes Options Pricing Calculator in Pine Script Introduction
The Black-Scholes model is one of the most widely used mathematical models for pricing options. It provides a theoretical estimate of the price of European-style options based on factors such as the underlying asset price, strike price, time to expiration, volatility, risk-free rate, and option type.
This Pine Script implementation of the Black-Scholes options pricing model enables traders to calculate call and put option prices directly within TradingView, helping them assess potential trades more efficiently.
What Does This Script Do?
This script allows traders to input essential option parameters and instantly calculate both call and put option prices using the Black-Scholes formula. It provides:
• A user-friendly interface for inputting option parameters.
• Automatic computation of option prices.
• Real-time updates as market data changes.
Key Features:
• Uses the Black-Scholes formula to compute European call and put option prices.
• User-defined inputs for stock price, strike price, time to expiration, volatility, and risk-free rate.
• Displays calculated option prices on the TradingView chart.
Understanding the Black-Scholes Formula:
The Black-Scholes model is given by the following equations:
C=S0N(d1)−Xe−rtN(d2)C = S_0 N(d_1) - Xe^{-rt} N(d_2) P=Xe−rtN(−d2)−S0N(−d1)P = Xe^{-rt} N(-d_2) - S_0 N(-d_1)
Where:
• CC = Call option price
• PP = Put option price
• S0S_0 = Current stock price
• XX = Strike price
• rr = Risk-free interest rate
• tt = Time to expiration (in years)
• σ\sigma = Volatility of the stock (annualized)
• N(x)N(x) = Cumulative standard normal distribution
• d1d_1 and d2d_2 are given by:
d1=ln(S0/X)+(r+σ2/2)tσtd_1 = \frac{ \ln(S_0/X) + (r + \sigma^2/2)t }{ \sigma \sqrt{t} } d2=d1−σtd_2 = d_1 - \sigma \sqrt{t}
This script implements these calculations efficiently in Pine Script to help traders quickly determine fair values for options based on current market conditions.
Example Calculation:
(The following example values were true at the time of publishing this script. Option prices fluctuate constantly, so actual values may vary.)
• Underlying asset price (NIFTY): 23,519.35
• ATM Call Strike Price: 23,500
• ATM Put Strike Price: 23,550
• IV (Implied Volatility) for Call Option: 8.1%
• IV (Implied Volatility) for Put Option: 10.1%
• Expiry Date: April 3, 2025
Using the Black-Scholes model, the calculated theoretical prices are:
• Theoretical ATM CE price: ₹129
• Theoretical ATM PE price: ₹118
For comparison, the actual option prices from the option chain table at the time of writing were:
• Actual ATM CE price: ₹139.70
• Actual ATM PE price: ₹120.30
As we can see, there is a larger difference between the theoretical price and actual market price for the ATM Call option compared to the ATM Put option.
If you're an experienced trader, you likely know how to use this kind of information to identify potential market inefficiencies or trading opportunities.
How to Use This Script:
1. Add the script to your TradingView chart.
2. Input the necessary parameters such as stock price, strike price, volatility, risk-free rate, and time to expiration.
3. View the calculated call and put option prices directly on the chart.
This Black-Scholes options pricing calculator provides a convenient way to compute theoretical option prices within TradingView. It helps traders analyse whether an option is fairly priced based on market conditions.
While the Black-Scholes model has its limitations (e.g., it does not account for early exercise of American options or dividend payments), it remains a powerful tool for European-style options pricing and a foundational concept in financial markets.
A handy little tool! Unfortunately, this script requires manual data entry since automatic data capture is currently not possible. If this ever becomes feasible in the future, an updated version will be released.
Try it out and let me know your feedback!
Disclaimer:
Please note that this is only for study/educational purpose and is just one of the many tools a trader may use.
Use it at your own risk.
Regards!
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.
RV − IV Spread Alert (SPY vs VIX)Realized vs Implied Volatility Spread (RV − IV) for the S&P 500 / SPY.
Plots the daily difference between 30-day realized volatility (SPY) and implied volatility (VIX) in basis points.
Key insight from the research: when the spread turns and stays above ≈ +50 bps, forward returns historically degrade and volatility of returns rises sharply — a useful early-warning regime flag.
Features:
- Clean daily plot of RV − IV in bps
- Horizontal lines at 0, −50 bps and +50 bps
- Red background when spread > +50 bps
- Built-in alert condition that fires once per bar close when spread closes above +50 bps
- Optional “all-clear” alert when it drops back below
Use on SPY or ES1! daily chart. Perfect for anyone wanting a simple notification when the market enters the “risk-on” volatility regime highlighted by Machina Quanta and the original Bali & Hovakimian (2007) paper.
GSR BandsGSR Bands is an indicator designed to analyze the dynamics of an implied volatility index based on opening gaps. The model builds an accumulated series of gaps and generates additional offset bands derived from Fibonacci numbers and prime numbers (+10, +20, +30, +50, +70, +80, +110, +125).
The result is a set of cumulative gap curves that help visualize relevant zones in the evolution of the volatility index (potential areas of maximum volatility). Users can customize the offset values displayed on the chart, making it easier to explore different analytical scenarios.
The indicator can be applied to volatility indices such as VIX or VDAX-NEWS, and may serve as a complementary tool when studying the relationship between implied volatility and equity markets.
Note : This indicator does not constitute an investment recommendation. It is intended solely as a technical analysis tool.
VIX Implied Move Bands for ES/Emini futuresThis script uses the close of the VIX on a daily resolution to provide the 'implied move' for the E-mini SP500 futures. While it can be applied to any equity index, it's crucial to know that the VIX is calculated using SPX options, and may not reflect the implied volatility of other indices. The user can adjust the length of the moving average used to calculate the bands, the window of days used to calculate the implied move, and the multiplier that effects the width of the bands.
IV/HV Ratio's [Nic]IV is implied volatility
HV is historic realized volatility
Seneca teaches that we often suffer more in our minds than in reality, and the same is true with the stock market. This indicator can help identify when people are over paying for implied volatility relative to real volatility . This means that short sellers are over paying for puts and can be squeezed into covering their positions, resulting in a massive rally.
The indicator can track this spread over many time frames, when the short time frame is much higher than the lower time frames, consider it a signal-of-interest.
Implied minus Historical VolatilityJust a simple comparison of 30 day historical volatility versus 30 day implied volatility(VIX). In general, when VIX is way above realized or historical Vol, in general that is quite bullish. Backtest will be available soon.
Guru Dronacharya Pro Institutional Option Intelligence# Guru Dronacharya Pro – Institutional Option Intelligence
## 🎯 Professional Options Trading Indicator with Dynamic Intensity System
**Guru Dronacharya Pro** is an advanced institutional-grade indicator designed specifically for **NSE Options traders** (NIFTY, BANKNIFTY, FINNIFTY, MIDCPNIFTY). It combines intelligent option chain analysis, volatility detection, and a revolutionary **intensity-based visualization system** to help you identify high-probability option trades.
***
## ✨ KEY FEATURES
### 🔥 **Dynamic Intensity System** (Unique Feature)
- **Adaptive Brightness**: Candles automatically brighten when movement, volume, and volatility surge
- **Multi-Factor Analysis**: Combines Volume Surge + IV Expansion + Price Acceleration
- **Real-Time Intensity Score**: 0-100% intensity meter for both CE and PE
- **Visual Intelligence**: Instantly spot when options are heating up 🔥
### 🎯 **Intelligent Strike Selection**
- **Auto-Select Best Pair**: Scans ±5 strikes from ATM to find optimal CE/PE pairs
- **Compression Analysis**: Identifies strikes with minimal price difference (premium parity)
- **Liquidity Filter**: Ensures selected options have sufficient volume
- **Manual Override**: Take control with manual strike selection when needed
### 📈 **Advanced Signal Generation**
- **Buy Call Signals**: Triggered on CE breakout + volatility expansion + momentum
- **Buy Put Signals**: Triggered on PE breakout + volatility expansion + momentum
- **Multi-Filter Confirmation**: BBW expansion, EMA trend, delta momentum, dominance
- **No Repainting**: All signals confirmed on bar close
### 📊 **Professional Analytics Panel**
- **🔥 Intensity Metrics**: Real-time CE/PE activity levels
- **PCR (Put-Call Ratio)**: Volume-based market sentiment
- **Volume Delta**: CE vs PE volume comparison with trend
- **IV Percentile**: 1-year implied volatility ranking
- **BBW (Bollinger Band Width)**: Volatility expansion detector
- **Momentum Trackers**: Real-time CE/PE momentum analysis
- **Premium Ratio**: CE/PE price relationship analysis
### 🎨 **Customizable Visualization**
- **Dual Candle Display**: Side-by-side CE and PE premium tracking
- **Normalized View**: % change from open (easier comparison)
- **Absolute View**: Raw premium values
- **EMA Overlays**: Trend confirmation lines
- **Theme-Aware**: Auto-detects dark/light mode for optimal visibility
- **Adjustable Tables**: Position and size controls for metrics panel
***
## 💡 WHAT MAKES IT UNIQUE?
### **1. Intensity-Based Coloring** 🔥
Traditional indicators show static colors. **Guru Dronacharya Pro** uses dynamic brightness:
- **Dim Candles** = Low activity (avoid these setups)
- **Medium Brightness** = Building momentum (watch closely)
- **Bright Candles** = High activity (trade opportunities!) 🔥🔥
This helps you:
✅ Focus on liquid, moving options
✅ Avoid low-volume, dead zones
✅ Identify institutional money flow
✅ Time entries during volatility expansion
### **2. Smart Strike Selection**
No more guessing which strike to trade! The indicator:
- Scans multiple strikes simultaneously
- Finds pairs with balanced premiums
- Filters out illiquid options
- Highlights the best trading pair
### **3. Multi-Timeframe Compatible**
Works on any timeframe:
- **1-5 min**: Scalping and day trading
- **15-30 min**: Intraday swing trades
- **1H+**: Positional option strategies
***
## 📖 HOW TO USE
### **Step 1: Configure Your Symbol**
1. Set **Underlying** (NSE:NIFTY, NSE:BANKNIFTY, etc.)
2. Enter **Expiry Date** (Year, Month, Day)
3. Input **ATM Strike** (rounded to nearest strike interval)
4. Choose **Symbol Format** (NSE Standard, NSE Weekly, or Custom)
### **Step 2: Understand the Display**
**Chart Elements:**
- **Green/Lime Candles** = Call Option (CE)
- **Pink/Magenta Candles** = Put Option (PE)
- **Brightness** = Activity intensity (brighter = more action!)
- **Triangle Up** = Buy Call Signal ▲
- **Triangle Down** = Buy Put Signal ▼
**Metrics Panel (Bottom Right):**
- **🔥 CE/PE INT**: Intensity score (higher = better)
- **PCR**: Above 1.0 = Bullish, Below 1.0 = Bearish
- **VOL Δ**: Positive = CE volume dominance
- **IV%ile**: Above 70 = High IV (premium sellers advantage)
- **BBW**: Expansion indicator (⚡ = expanding)
- **Momentum**: Price acceleration tracker
### **Step 3: Trading Rules**
**For Buying Calls (Bullish):**
1. Wait for ▲ signal below CE candle
2. Check **CE INT > 40%** (moderate to high activity)
3. Confirm **CE BBW ⚡** (volatility expanding)
4. Verify **CE Mom** positive (momentum building)
5. **Entry**: Current CE premium
6. **Target**: Use Fibonacci levels or book on intensity drop
**For Buying Puts (Bearish):**
1. Wait for ▼ signal above PE candle
2. Check **PE INT > 40%** (moderate to high activity)
3. Confirm **PE BBW ⚡** (volatility expanding)
4. Verify **PE Mom** positive (momentum building)
5. **Entry**: Current PE premium
6. **Target**: Use Fibonacci levels or book on intensity drop
**Risk Management:**
- Avoid trades when intensity < 30% (low liquidity)
- Higher intensity = tighter stops (volatile moves)
- Watch for intensity divergence (price up, intensity down = weakness)
***
## ⚙️ SETTINGS GUIDE
### **Group 1: UNDERLYING & SYMBOL**
- **Underlying**: Main index/stock ticker
- **Option Root**: Symbol prefix (NIFTY, BANKNIFTY, etc.)
- **Strike Interval**: 50 for NIFTY, 100 for BANKNIFTY
- **Expiry Date**: Target expiry (Year/Month/Day)
- **Spot Source**: Auto (First 5m), Live Close, or Manual
### **Group 2: OPTION CHAIN SCANNER**
- **ATM Strike**: Center point for scanning (manually input)
- **Scan Range**: ±N strikes to scan (1-5)
- **Compression Threshold**: Max CE-PE difference % (8% default)
- **Min Volume**: Liquidity filter (100 default)
- **Auto-Select**: Enable for automatic best pair selection
### **Group 3: SIGNAL FILTERS**
- **BBW Length**: Volatility calculation period (20 default)
- **BBW Expansion Threshold**: Multiplier for expansion (1.30x)
- **Min BBW**: Minimum volatility % (2.0%)
- **EMA Filter**: Enable trend confirmation (21 EMA)
- **Delta Momentum**: Require CE > PE momentum for calls (vice versa)
### **Group 4: SIGNAL DISPLAY**
- **Show Buy Signals**: Toggle call/put signals
- Simple triangle markers (▲ for calls, ▼ for puts)
### **Group 5: VISUALIZATION**
- **Plot Candles**: Show CE/PE candlesticks
- **Normalize to % Change**: Compare premiums as % (recommended)
- **Show EMA**: Display trend lines
- **Show Metrics Panel**: Display analytics table
- **Table Position**: Move metrics panel (9 positions)
- **Table Size**: Adjust text size (Tiny to Huge)
### **Group 6: OPTION ANALYTICS**
- **Show PCR**: Put-Call Ratio display
- **Show Volume Analysis**: Volume delta tracking
- **Show IV Percentile**: 1-year IV ranking
### **Group 7: INTENSITY SYSTEM** 🔥
- **Enable Intensity Coloring**: Turn on dynamic brightness
- **Intensity Smoothing**: Higher = smoother (3 default)
- **Volume Weight**: Impact of volume surges (35%)
- **IV/BBW Weight**: Impact of volatility expansion (40%)
- **Movement Weight**: Impact of price acceleration (25%)
- **Min Brightness**: Dimmest state (70% transparency)
- **Max Brightness**: Brightest state (0% = fully opaque)
***
## 🎓 TRADING STRATEGIES
### **Strategy 1: Intensity Breakout**
- Wait for intensity to rise from <30% to >60%
- Enter on signal with bright candle
- Exit when intensity drops below 40%
### **Strategy 2: Volatility Expansion**
- Monitor BBW indicator
- Enter on ⚡ expansion + signal
- Target quick 20-30% premium gains
### **Strategy 3: PCR Contrarian**
- PCR > 1.3 = Oversold (look for call signals)
- PCR < 0.7 = Overbought (look for put signals)
- Combine with intensity confirmation
### **Strategy 4: Volume Delta Momentum**
- Strong positive VOL Δ = CE buying pressure
- Enter calls on dips with high CE intensity
- Vice versa for puts
***
## 📋 SUPPORTED EXCHANGES & SYMBOLS
**Exchanges:**
- NSE (National Stock Exchange of India)
**Supported Underlyings:**
- NIFTY 50
- BANKNIFTY
- FINNIFTY
- MIDCPNIFTY
- Individual stocks with liquid options
**Option Formats:**
- NSE Standard: `NSE:NIFTY251230C25900`
- NSE Weekly: `NSE:NIFTY25DEC25900CE`
- Custom/Broker-Specific formats
***
## ⚡ PERFORMANCE OPTIMIZATION
This indicator is optimized for speed:
- **Tuple-based security requests** (80% faster than standard)
- **Minimal repainting** (signals confirmed on bar close)
- **Efficient array operations**
- **Smart caching** of repeated calculations
- Works smoothly even on 1-minute charts
***
## 🚨 ALERTS
Built-in alert conditions:
- **Buy Call Signal**: Triggered on confirmed call entry
- **Buy Put Signal**: Triggered on confirmed put entry
**Setup:**
1. Click "Create Alert" on TradingView
2. Select "Guru Dronacharya Pro"
3. Choose "Buy Call Signal" or "Buy Put Signal"
4. Set notification method (popup/email/webhook)
***
## ⚠️ RISK DISCLAIMER
**IMPORTANT**: This indicator is for **educational purposes only**.
- Options trading carries substantial risk of loss
- Past performance does not guarantee future results
- Always use proper risk management (stop losses, position sizing)
- No indicator guarantees profitable trades
- Test thoroughly on paper/sim before live trading
- Consult a financial advisor before trading
**The creator is not responsible for any trading losses incurred using this indicator.**
***
## 🔄 VERSION HISTORY
**v1.0 (Current)**
- Initial release
- Dynamic intensity system
- Intelligent strike selection
- Multi-filter signal generation
- Professional analytics panel
- Theme-aware visualization
- Full customization support
***
## 💬 FEEDBACK & SUPPORT
Found this indicator helpful? Please:
- ⭐ Leave a rating
- 💬 Share your experience in comments
- 📊 Publish your chart ideas using this indicator
- 🔔 Follow for updates and new indicators
**Questions?** Drop a comment, and I'll help you optimize your settings!
***
## 🏆 WHO IS THIS FOR?
✅ **Intraday Option Traders** (scalping & day trading)
✅ **Swing Option Traders** (multi-day positions)
✅ **Premium Buyers** (directional option strategies)
✅ **Technical Analysts** (volatility & momentum-based)
✅ **NSE Options Specialists** (NIFTY/BANKNIFTY focused)
❌ **NOT suitable for:**
- Complete beginners (learn basics first)
- Premium sellers (different indicator needed)
- Set-and-forget strategies (requires active monitoring)
***
## 🙏 ACKNOWLEDGMENTS
Named after **Guru Dronacharya**, the legendary teacher from Mahabharata known for precision, discipline, and strategic mastery – qualities every successful trader needs.
**May your trades be profitable and your risk be managed! 🚀**
***
**Tags:** Options Trading, NSE Options, NIFTY Options, BANKNIFTY Options, Option Chain Analysis, Volatility Trading, Intensity System, Indian Stock Market, Intraday Trading, Premium Analysis, PCR Indicator, Options Signals
***
**Legal:** This indicator does not constitute financial advice. All trading decisions are your responsibility. Always trade with risk capital you can afford to lose.
Calm before the StormCalm before the Storm - Bollinger Bands Volatility Indicator
What It Does
This indicator identifies and highlights periods of extremely low market volatility by analyzing Bollinger Bands distance. It uses percentile-based analysis to find the "quietest" market periods and highlights them with a gradient background, operating on the premise that low volatility periods often precede significant price movements.
How It Works
Volatility Measurement: Calculates the distance between Bollinger Bands upper and lower boundaries
Percentile Analysis: Analyzes the lowest X% of volatility periods over a configurable lookback period (default: lowest 40% over 200 bars)
Visual Highlighting: Uses gradient opacity to show volatility levels - the lower the volatility, the more opaque the background highlighting
Adaptive Threshold: Automatically calculates what constitutes "low volatility" based on recent market conditions
Who Should Use It
Primary Users:
Breakout Traders: Looking for consolidation periods that may precede significant moves
Options Traders: Seeking low implied volatility periods before volatility expansion
Swing Traders: Identifying accumulation/distribution phases before trend continuation or reversal
Range Traders: Spotting tight trading ranges for mean reversion strategies
Trading Styles:
Volatility-based strategies
Breakout and momentum trading
Options strategies (volatility plays)
Market timing approaches
When to Use It
Market Conditions:
Consolidation Phases: When price is moving sideways with decreasing volatility
Pre-Announcement Periods: Before earnings, economic data, or major events
Market Transitions: During shifts between trending and ranging markets
Low Volume Periods: When institutional participation is reduced
Strategic Applications:
Entry Timing: Wait for volatility compression before positioning for breakouts
Risk Management: Reduce position sizes during highlighted periods (anticipating volatility expansion)
Options Strategy: Sell premium during low volatility, buy during expansion
Multi-Timeframe Analysis: Combine with higher timeframe trends for confluence
Key Benefits
Objective Volatility Measurement: Removes subjectivity from identifying "quiet" markets
Adaptive Analysis: Automatically adjusts to current market conditions
Visual Clarity: Easy-to-interpret gradient highlighting
Customizable Sensitivity: Adjustable percentile thresholds for different trading styles
Best Used In Combination With:
Trend analysis tools
Support/resistance levels
Volume indicators
Momentum oscillators
This indicator is particularly valuable for traders who understand that periods of low volatility are often followed by periods of high volatility, allowing them to position ahead of potential significant price movements.
VIX Implied MovesKey Features:
Three Timeframe Bands:
Daily: Blue bands showing ±1σ expected move
Weekly: Green bands showing ±1σ expected move
30-Day: Red bands showing ±1σ expected move
Calculation Methodology:
Uses VIX's annualized volatility converted to specific timeframes using square root of time rule
Trading day convention (252 days/year)
Band width = Price × (VIX/100) ÷ √(number of periods)
Visual Features:
Colored semi-transparent backgrounds between bands
Progressive line thickness (thinner for shorter timeframes)
Real-time updates as VIX and ES prices change
Example Calculation (VIX=20, ES=5000):
Daily move = 5000 × (20/100)/√252 ≈ ±63 points
Weekly move = 5000 × (20/100)/√50 ≈ ±141 points
Monthly move = 5000 × (20/100)/√21 ≈ ±218 points
This indicator helps visualize expected price ranges based on current volatility conditions, with wider bands indicating higher market uncertainty. The probabilistic ranges represent 68% confidence levels (1 standard deviation) derived from options pricing.
