Convert ETF to Futures/Index

2022年10月23日

This indicator is used to automatically map an ETF's VWAP and 10 levels above and below the strike of your choice, to the futures or index instrument currently being viewed/traded. This works very well when using both SPY to ES/MES/SPX or QQQ to NQ/MNQ/NDX to plot the ETF strikes and can lead to some incredible trades, especially when trading level to level. Since SPY, QQQ, IWM, and DIA have the same price action as their futures iteration, there seems to be a direct correlation between their levels and VWAP . This indicator is made to easily map these key levels to the appropriate futures instrument. If you have a way to measure GEX centered around a certain level, I recommend color coding the lines to help indicate whether the level will have strong positive or negative gamma hedging associated with it.

2022年10月23日

版本注释

Fix title/indicator name

2022年10月24日

版本注释

Fixed issue with ETF VWAP conversion due to input.symbol() not allowing inclusion of extended sessions.

2022年10月25日

版本注释

Raise line smoothing default and raise max limit.