0dte Anchored Expected Move by SyntaxGeek

2024年12月17日

Here is a script that's making use of TradingView's new option data feed, without the OPRA data feed I'm unsure this script will be useful as the data will be delayed and I've not tested it without the data subscription.

The script is meant to demonstrate use of options data to generate ideas in the community and perhaps be a useful tool for 0dte traders.

For securities that have 0dte I like to calculate what I call the "opening expected move", it's just like expected move (EM) but it's a snapshot of the EM value at open and remains static throughout the day.

Expected move is the value of an "at the money" (ATM) call and put combined and then added t the price of the underlying.

For example if SPY opens at 600 and the ATM call + put premium (debit) is 3 dollars, then the EM high is 603 and the EM low is 597.



These levels are often areas where the market will react as any breaches of these prices could potentially be something that market participants will have to respond to being that something has hit the market unexpectedly.

Additionally, I've added calculations for half EM plots and live premium calculations for the ATM call and put from the open.



It's a fascinating script and it's fun to watch the premiums during periods of market volatility or a chop range day.

I make no guarantees for any of the data presented and there could be bugs as options data is still quite new in TradingView and I've not spent a long time coding this or testing.

Enjoy!

1月31日

版本注释

1. Fixed a bug with contract string parts leading in 0 (embarrasses I missed this one :D)
   
2. Added logging for the contracts being selected on day change so you can debug data if you see issues.
   

Important note
If you're seeing errors, you'll want to open settings and adjust the date to be no less than a week or so back, this is due to TradingViews max historical symbol lookup per script and was the only workaround I've found so far. Once you set it, you should be good for a couple weeks.

You can of course adjust each day but it can be tedious.

2月14日

版本注释

Resolved issues preventing this script working with SPX.

8月21日

版本注释

Updating the starting date

7天前

版本注释

Some cool updates folks!

1. Ticked start date to something more recent
   
2. Ability to load other symbol option data to calculate EM
   
3. Needed to add session start time config to support futures
   
4. Basic futures detection added to use configured session start time, otherwise uses isfirstbar_regular const
   

This update is useful to load options market expected move on futures products by using NDX for NQ or SPX for ES.



If there's any issues with futures detection, it is a bit "hacky" but clever lol. I will update code to something better perhaps. Feel free to report any issues.