0dte Anchored Expected Move by SyntaxGeek

19小时前

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!