Options Liquidity Confluence v1.1

3天前

Options Liquidity Confluence (RVOL + Squeeze + OBV + PDH/PDL + VWAP) v1.1

By Miguel Licero

When trading options sometimes i experience that i read the price action right, movement goes to my favor, but contract value not necessarily goes up. This happens because of these 3 things:

• Lack of directional conviction
  
• Lack of liquidity injection
  
• Lack of implied volatility shift
  

So in my personal case this is somewhat frustrating as the result of the operation is not what i expected. So after researching several strategies i tried to put together a tool that makes a humble attempt to capture liquidity expansion. So this script blends:

• Relative Volume (RVOL) → participation/liquidity
  
• “Squeeze” release (Bollinger Bands vs. Keltner Channels) → volatility expansion
  
• OBV slope → aggressor flow proxy
  
• Key levels → Prev-Day High/Low and VWAP
  
• Optional EMA bias filter
  

This indicator tries to answer: “Will this move actually expand option premiums?”
It fires a Long or Short confluence when ALL the following are true (configurable):

• Liquidity present → RVOL ≥ your threshold (default 1.8× the average).
  
• Volatility release → the BB/Keltner Squeeze has just released (compression → expansion). Optionally requires BB width to be expanding.
  
• Aggressor flow → OBV slope in the trade direction (linreg slope up for long, down for short).
  
• Location/structure → Agreement at key levels:
  - Long: price above VWAP and interacting with PDH (previous-day high).
  - Short: price below VWAP and interacting with PDL (previous-day low).
  
• Optional trend bias → EMA 21 vs EMA 50 filter.
  

When confluence hits, you’ll see a label/arrow and can also trigger alerts.

How to use it

1. Load on your 1-min or 5-min SPX/SPY chart.
It’s designed for intraday, especially 0DTE/near-dated options.

2. Tune thresholds by instrument/timeframe:

• RVOL: For SPX/ES during NY session, 1.5–2.5 is typical.
  
• Squeeze: Leave defaults initially (BB 20/2, KC 20/1.5).
  
• OBV slope length: 21–55 bars works well; shorter = more sensitive.
  

3. Entry idea (example, SHORT):

• Wait for short confluence as price breaks PDL (your chart event at ~11:54).
  
• Confirm below VWAP, RVOL ≥ threshold, squeeze release, and OBV slope down.
  
• Take ATM–slightly OTM puts with a predefined stop (e.g., back above VWAP or invalidation level) and a profit-taking bracket.
  

4. Avoid dead zones:

If RVOL < threshold or squeeze not released, it’s often the “hold your horses” phase — price may move but premiums don’t expand.

PLEASE USE AT YOUR OWN RISK

前天

版本注释

Options Liquidity Confluence (RVOL + Squeeze + OBV + PDH/PDL + VWAP) v1.1

By Miguel Licero

When trading options sometimes i experience that i read the price action right, movement goes to my favor, but contract value not necessarily goes up. This happens because of these 3 things:

Lack of directional conviction
Lack of liquidity injection
Lack of implied volatility shift

So in my personal case this is somewhat frustrating as the result of the operation is not what i expected. So after researching several strategies i tried to put together a tool that makes a humble attempt to capture liquidity expansion. So this script blends:

Relative Volume (RVOL) → participation/liquidity
“Squeeze” release (Bollinger Bands vs. Keltner Channels) → volatility expansion
OBV slope → aggressor flow proxy
Key levels → Prev-Day High/Low and VWAP
Optional EMA bias filter

This indicator tries to answer: “Will this move actually expand option premiums?”
It fires a Long or Short confluence when ALL the following are true (configurable):

Liquidity present → RVOL ≥ your threshold (default 1.8× the average).
Volatility release → the BB/Keltner Squeeze has just released (compression → expansion). Optionally requires BB width to be expanding.
Aggressor flow → OBV slope in the trade direction (linreg slope up for long, down for short).
Location/structure → Agreement at key levels:
- Long: price above VWAP and interacting with PDH (previous-day high).
- Short: price below VWAP and interacting with PDL (previous-day low).
Optional trend bias → EMA 21 vs EMA 50 filter.

When confluence hits, you’ll see a label/arrow and can also trigger alerts.

How to use it

1. Load on your 1-min or 5-min SPX/SPY chart.
It’s designed for intraday, especially 0DTE/near-dated options.

2. Tune thresholds by instrument/timeframe:
RVOL: For SPX/ES during NY session, 1.5–2.5 is typical.
Squeeze: Leave defaults initially (BB 20/2, KC 20/1.5).
OBV slope length: 21–55 bars works well; shorter = more sensitive.

3. Entry idea (example, SHORT):

Wait for short confluence as price breaks PDL (your chart event at ~11:54).
Confirm below VWAP, RVOL ≥ threshold, squeeze release, and OBV slope down.
Take ATM–slightly OTM puts with a predefined stop (e.g., back above VWAP or invalidation level) and a profit-taking bracket.

4. Avoid dead zones:

If RVOL < threshold or squeeze not released, it’s often the “hold your horses” phase — price may move but premiums don’t expand.

CONCLUSION

In general, a "go" signal is:

• You got it—your “go” checklist is right:
  
• RVOL ≥ your threshold (e.g., 2.0)
  
• Squeeze = RELEASE
  
• OBV Slope = UP (for calls) / DOWN (for puts)
  
  
  
• VWAP side aligned with direction (above for calls, below for puts)
  

PLEASE USE AT YOUR OWN RISK

前天

版本注释

Options Liquidity Confluence (RVOL + Squeeze + OBV + PDH/PDL + VWAP) v1.1

By Miguel Licero

When trading options sometimes i experience that i read the price action right, movement goes to my favor, but contract value not necessarily goes up. This happens because of these 3 things:

• Lack of directional conviction
  
• Lack of liquidity injection
  
• Lack of implied volatility shift
  

So in my personal case this is somewhat frustrating as the result of the operation is not what i expected. So after researching several strategies i tried to put together a tool that makes a humble attempt to capture liquidity expansion. So this script blends:

• Relative Volume (RVOL) → participation/liquidity
  
• “Squeeze” release (Bollinger Bands vs. Keltner Channels) → volatility expansion
  
• OBV slope → aggressor flow proxy
  
• Key levels → Prev-Day High/Low and VWAP
  
• Optional EMA bias filter
  

This indicator tries to answer: “Will this move actually expand option premiums?”
It fires a Long or Short confluence when ALL the following are true (configurable):

• Liquidity present → RVOL ≥ your threshold (default 1.8× the average).
  
• Volatility release → the BB/Keltner Squeeze has just released (compression → expansion). Optionally requires BB width to be expanding.
  
• Aggressor flow → OBV slope in the trade direction (linreg slope up for long, down for short).
  
• Location/structure → Agreement at key levels:
  
• - Long: price above VWAP and interacting with PDH (previous-day high).
  
• - Short: price below VWAP and interacting with PDL (previous-day low).
  
• Optional trend bias → EMA 21 vs EMA 50 filter.
  

When confluence hits, you’ll see a label/arrow and can also trigger alerts.

How to use it

1. Load on your 1-min or 5-min SPX/SPY chart.
It’s designed for intraday, especially 0DTE/near-dated options.

2. Tune thresholds by instrument/timeframe:

• RVOL: For SPX/ES during NY session, 1.5–2.5 is typical.
  
• Squeeze: Leave defaults initially (BB 20/2, KC 20/1.5).
  
• OBV slope length: 21–55 bars works well; shorter = more sensitive.
  

3. Entry idea (example, SHORT):

• Wait for short confluence as price breaks PDL
  
• Confirm below VWAP, RVOL ≥ threshold, squeeze release, and OBV slope down.
  
• Take ATM–slightly OTM puts with a predefined stop (e.g., back above VWAP or invalidation level) and a profit-taking bracket.
  

4. Avoid dead zones:

If RVOL < threshold or squeeze not released, it’s often the “hold your horses” phase — price may move but premiums don’t expand.

PLEASE USE AT YOUR OWN RISK