Description:
Plots the Weekly Expected Move (wEM) using the following week's Option Chain ATM Call+Put ask price to determine the EM for the following week
The wEM is the options market pricing in the expected future volatility for the following week.
The wEM is the range that the underlying price will be contained during the week 68% of the time.
These levels...
This is a volume-based oscillator used for detecting market sentiment.
This plots two moving averages of the CBOE S&P500 PCR (put call ratio), and a histogram to measure the distance between them. The histogram will generate signals of green (bullish) or red (bearish), depending on whether put volume is decreasing or increasing.
The moving averages are...
Hello Guys
This is a reupload!
The 0dte is for options trading and is used for the main 1 to 0 odte strategy!
It uses volume, sector and tik analysis in order to give an understanding of looking which way to play.
The next version will look at correlations between the es! Feel free to point out bugs and reach out as I want this to grow into something way stronger!
Monthly options expiration for the year 2021.
Also you can set a flag X no. of days before the expiration date. I use it at as marker to take off existing positions in expiration week or roll to next expiration date or to place new trades.
Happy new year 2021 in advance and all the best traders.
Swing Reversal Indicator was meant to help identify pivot points on the chart which indicate momentum to buy and sell. The indicator uses 3 main questions to help plot the points:
Criteria
Did price take out yesterday's high or low?
Is today's range bigger than yesterday? (Indicates activity in price)
Is the close in the upper/lower portion of the candle?...
This script calculates the Implied Volatility (IV) based on the daily returns of price using a standard deviation. It then annualizes the 30 day average to create the historical Implied Volatility. This indicator is intended to measure the IV for options traders but could also provide information for equities traders to show how price is extended in the expected...
Lite version of the original Trendy Bar Trend Color
This will only color the candlestick body of your chart
Can be used with solid, hollow, renko, or any other chart type
Custom coloring for Highs, Lows, and consolidation is removed
This is the Black Scholes Model. This indicator tells you the prices of both a call option & a put option.
Input variables are spot price, strike price, risk free rate %, days to maturity, and implied volatility %.
This indicator was made generally for educational purposes.
By using this indicator, you will develop a better understanding of how options are...
Options Reticle caters to degenerate traders and gamblers worldwide, reaching out for long distant contract expiration and just OTM strike placement.
Generate the overlay yourself using the tradingview-options-reticle CLI tool found on GitHub.
The Options Reticle provides a targeting system overlay that will show a horizontal OTM strike price and verticle...
These variables can be used in comparison with the implied volatility of options.
Variables:
Realized Volatility
mathematical notation lowercase 'sigma'
Realized Variance
mathematical notation lowercase 'sigma' squared
Realized Beta
mathematical notation lowercase 'beta'
Timeframes:
Yearly = 250 or 365
Quarterly = 50 or 90
Monthly = 20 or...
This is an updated, more robust, and open source version of my 2 previous scripts : "Implied Volatility Rank & Model-Free IVR" and "IV Rank & IV Percentile".
This specific script provides you with 4 different types of volatility data: 1)Implied volatility, 2) Implied Volatility Rank, 3)Implied Volatility Percentile, 4)Skew Index.
1) Implied Volatility is the...
If you are an option trader, who are constantly searching opportunities to set up inverse iron condor position or other strategies, you must be familiar in estimating the range induced by Geometric Brownian Motion (GBM), or Lognormal distribution someone may call.
The theory behind is adopted in the Black Scholes Option Pricing model, this assumes the asset price...
Fading levels using martingale (limit orders, rebate venue) with no stop-loss orders, long the wings at the end of Support and Resist levels from prior week Friday right before the close. Re-hedge the order book units when there is a breakout.
This model uses Black's Approximation to price American Options. Black's Approximation is an extension of the traditional Black-Scholes model that allows the price of American Options to be approximated within the Black-Scholes Framework. This is necessary because the traditional Black-Scholes model only works on options that are exercised at expiry, not before;...
A binomial option pricing model is an option pricing model that calculates an option's price using binomial trees. The BOPM method of calculating option prices is different from the Black-Scholes Model because it provides more flexibility in the type of options you want to price. The BOPM, unlike the BS model typically used for European style options, allows you...
Use only for:
SPX, 5 minutes time frame
This indicator is complementing options 0DTE strategy - selling options for SPX index in the same day as they are expiring. Output of the indicator (red or green color of the curve) indicates whether is profitable to sell options at given moment at delta and VIX specified in the parameters. Changing parameter "Candles" is...
This is an updated version of my "Black-Scholes Model and Greeks for European Options" indicator, that i previously published. I decided to make this updated version open-source, so people can tweak and improve it.
The Black-Scholes model is a mathematical model used for pricing options. From this model you can derive the theoretical fair value of an options...
![ES1!: Black Scholes Model [racer8]](https://s3.tradingview.com/x/XSz6QAw9_mid.png "Black Scholes Model [racer8]")
