Implied or Expected Move Based on Weekly Options Indicator - Per the Picture, this can be used Intraday. If you trade options and don't have a way of knowing how the market it pricing them, you may be missing out!
Shared link: https://tos.mx/bbVk7y
Code:
# Weekly Options Implied Volatility Plotted intraday
# Mobius
# Chat Room Request
# 02.27.2016
declare Once_Per_Bar;
input series = 1;
input show_label = yes;
input Days_In_Contract = 0;
Assert(series > 0, "'series' must be positive: " + series);
def RTHopen = open(period = AggregationPeriod.Day);
def CurrentYear = GetYear();
def CurrentMonth = GetMonth();
def CurrentDOM = GetDayOfMonth(GetYYYYMMDD());
def Day1DOW1 = GetDayOfWeek(CurrentYear * 10000 + CurrentMonth * 100 + 1); # First DOM is this DOW
def FirstFridayDOM1 = if Day1DOW1 < 6
then 6 - Day1DOW1
else if Day1DOW1 == 6
then 7
else 6;
def SecondFridayDOM = FirstFridayDOM1 + 7;
def ThirdFridayDOM = FirstFridayDOM1 + 14;
def FourthFridayDOM = FirstFridayDOM1 + 21;
def RollDOM = FirstFridayDOM1 + 21; #14; changed to 21 to pick up all Fridays of the current month for weekly options
def ExpMonth1 = if RollDOM > CurrentDOM
then CurrentMonth + series - 1
else CurrentMonth + series;
def ExpMonth2 = if ExpMonth1 > 12
then ExpMonth1 - 12
else ExpMonth1;
def ExpYear = if ExpMonth1 > 12
then CurrentYear + 1
else CurrentYear;
def Day1DOW = GetDayOfWeek(ExpYear * 10000 + ExpMonth2 * 100 + 1);
def FirstFridayDOM = if Day1DOW < 6
then 6 - Day1DOW
else if Day1DOW == 6
then 7
else 6;
def ExpDOM = if currentDOM < FirstFridayDOM -1
then FirstFridayDOM1
else if between(currentDOM, FirstFridayDOM, SecondFridayDOM-1)
then SecondFridayDOM
else if between(currentDOM, SecondFridayDOM, ThirdFridayDOM-1)
then ThirdFridayDOM
else if between(currentDOM, ThirdFridayDOM, FourthFridayDOM-1)
then FourthFridayDOM
else FirstFridayDOM;
def NextFriday = DaysTillDate(ExpYear * 10000 + ExpMonth2 * 100 + ExpDOM);
def ExpirationDate = GetYYYYMMDD() + NextFriday;
def ExpData = (ExpirationDate / 1) + 1;
def yr = Round(GetYear() / 100, 0);
def yr2 = GetYear() - 2000;
def OptionDateString = ExpYear * 10000 + ExpMonth2 * 100 + ExpDOM + 1;
def ATMCprice = if isNaN(close(symbol = GetATMOption(GetUnderlyingSymbol(), OptionDateString, OptionClass.CALL)))
then ATMCprice[1]
else close(symbol = GetATMOption(GetUnderlyingSymbol(), OptionDateString, OptionClass.CALL));
def HPD = if Days_In_Contract == 0 #HPD = Holding Period Days
then NextFriday
else Days_In_Contract;
def t = HPD / 365;
def ClosedForm_IV_est = if isNaN(((ATMCprice[1] * Sqrt(2 * Double.Pi)) / (RTHopen * Sqrt(t))))
then ClosedForm_IV_est[1]
else ((ATMCprice * Sqrt(2 * Double.Pi)) / (RTHopen * Sqrt(t)));
def Intraday_IV = if ClosedForm_IV_est > 0 then ClosedForm_IV_est else double.nan;
def ImpMove = Round((close[1] * Intraday_IV / Sqrt(365)) / tickSize(), 0) * tickSize();
plot upper = RTHopen + ImpMove[1];
plot lower = RTHopen - ImpMove[1];
upper.SetStyle(Curve.Firm);
upper.SetDefaultColor(Color.Cyan);
lower.SetStyle(Curve.Firm);
lower.SetDefaultColor(Color.Cyan);
def ActualMove = close[1] - RTHopen;
AddLabel(show_label and IsOptionable(), "ATM Call option is " +
GetATMOption(GetUnderlyingSymbol(), OptionDateString, OptionClass.CALL) +
" Price = $" +
ATMCprice +
" Intraday IV = " +
AsPercent(ClosedForm_IV_est) +
" Implied Move = +- " +
AsDollars(ImpMove) +
" Actual Move = " +
AsDollars(ActualMove)
, if close > RTHopen then color.green else color.red);
# End Code Weekly OptionsShared link: https://tos.mx/bbVk7y
Scanner for Weekly Implied Move
Code:
# Weekly Implied Move Scan
# Mobius
# V02.02.2013
# Use on DAILY aggregation ONLY
def IV = if IsNaN(Imp_Volatility())
then IV[1]
else Imp_Volatility();
def c = if getDayOfWeek(getYYYYMMDD()) == 5
then close
else c[1];
def Fri_IV = if getDayOFWeek(getYYYYMMDD()) == 5
then IV
else Fri_IV[1];
def ImpliedMove = Round(((c * Fri_IV) / Sqrt(365)) / TickSize(), 0) * TickSize();
def Fri_IM = if getDayOfWeek(getYYYYMMDD()) == 5
then ImpliedMove
else Fri_IM[1];
# Comment out (#) the scan plot NOT wanted
plot upperIM = close crosses above (c + Fri_IM);
#plot lowerIM = close crosses below (c - Fri_IM);Implied Move Label (with IV)
Code:
# IV and Implied Move Approximation Label
# Mobius
def IV = if IsNaN(Imp_Volatility(period = AggregationPeriod.DAY))
then IV[1]
else Imp_Volatility(period = AggregationPeriod.DAY);
def ImpliedMove = (open * IV) / Sqrt(365);
AddLabel(1, "IV = " + AsPercent(IV) + " Implied Move = " + AsDollars(ImpliedMove), color.white);Implied Move for Different Series IV
Study plots the intraday implied volatility range with the mean as a user input of the previous close, todays open or the previous Friday. Fibonacci lines are also plotted for trading the range. The Fibonacci lines along with a cloud for the overall range can be turned on and off with user inputs.
Rich (BB code):
#- Mobius_ Implied Move For Different Series IV
#- Mobius
#- V01.03.2017
input show_label = yes;
input Series_IV = 1; #hint Series_IV: Series 1 is closest expirery.
input DefTime = {"Today", default "Yesterday", "Friday"};
input Label_Color_Choice = {default "pink", "cyan", "orange", "gray", "yellow", "red", "green", "dark_gray", "light_yellow", "white"};
input Show_Cloud = yes;
input Show_Fibs = yes;
assert(series_IV > 0, "'series' must be positive: " + series_IV);
def o = open;
def c = close;
def bar = barNumber();
def CurrentYear = getYear();
def CurrentMonth = getMonth();
def CurrentDOM = getDayOfMonth(getYyyyMmDd());
def Day1DOW1 = getDayOfWeek(CurrentYear * 10000 + CurrentMonth * 100 + 1);
def FirstFridayDOM1 = if Day1DOW1 < 6
then 6 - Day1DOW1
else if Day1DOW1 == 6
then 7
else 6;
def RollDOM = FirstFridayDOM1 + 14;
def ExpMonth1 = if RollDOM > CurrentDOM
then CurrentMonth + series_IV - 1
else CurrentMonth + series_IV;
def ExpMonth2 = if ExpMonth1 > 12
then ExpMonth1 - 12
else ExpMonth1;
def ExpYear = if ExpMonth1 > 12
then CurrentYear + 1
else CurrentYear;
def Day1DOW = getDayOfWeek(ExpYear * 10000 + ExpMonth2 * 100 + 1);
def FirstFridayDOM = if Day1DOW < 6
then 6 - Day1DOW
else if Day1DOW == 6
then 7
else 6;
def ExpDOM = FirstFridayDOM + 14;
def N3rdF = if IsNaN(c)
then Double.NaN
else daysTillDate(ExpYear * 10000 + ExpMonth2 * 100 + ExpDOM);
def CurrentDOW = GetDayOfWeek(GetYYYYMMDD());
def Fcbar = if CurrentDOW == 5 and SecondsTillTime(1600) == 0
then bar
else Fcbar[1];
def seriesIV = if isNaN(SeriesVolatility(series = Series_IV))
then seriesIV[1]
else SeriesVolatility(series = Series_IV);
def t;
def tBar;
def nDays;
switch (DefTime)
{
case Today:
t = if SecondsFromTime(0930) == 0
then o
else t[1];
tbar = if SecondsFromTime(0930) == 0
then bar
else double.nan;
case Yesterday:
t = if secondsTillTime(1600) == 0
then c
else t[1];
tbar = if secondsFromTime(1600) == 0
then bar
else double.nan;
case Friday:
t = if BarNumber() == Fcbar
then c
else t[1];
tbar = Fcbar;
}
if Series_IV == 1 and CurrentDOW == 1
{
nDays = 3;
}
else if Series_IV == 1 and CurrentDOW == 2
{
nDays = 2;
}
else if Series_IV == 1 and CurrentDOW == 3
{
nDays = 1;
}
else if Series_IV == 1 and CurrentDOW == 4
{
nDays = 2;
}
else if Series_IV == 1 and CurrentDOW == 5
{
nDays = 1;
}
else if Series_IV >= 2
{
nDays = N3rdF;
}
else
{
nDays = nDays[1];
}
def ImpMove = Round(((t * seriesIV * Sqrt(nDays)) / Sqrt(365)) / TickSize(), 0) * TickSize();
plot mean = if bar >= HighestAll(tBar)
then HighestAll(if isNaN(close[-1])
then t
else double.nan)
else double.nan;
mean.SetStyle(Curve.Long_Dash);
mean.SetLineWeight(2);
mean.SetDefaultColor(GetColor(Label_Color_Choice));
plot upper = if bar >= HighestAll(tBar)
then HighestAll(if isNaN(c[-1])
then t + ImpMove
else double.nan)
else Double.NaN;
upper.SetDefaultColor(GetColor(Label_Color_Choice));
upper.SetLineWeight(2);
upper.SetPaintingStrategy(PaintingStrategy.DASHES);
plot lower = if bar >= HighestAll(tBar)
then HighestAll(if isNaN(c[-1])
then t - ImpMove
else double.nan)
else Double.NaN;
lower.SetDefaultColor(GetColor(Label_Color_Choice));
lower.SetLineWeight(2);
lower.SetPaintingStrategy(PaintingStrategy.DASHES);
Addcloud(if Show_Cloud
then lower
else double.nan, upper, color.dark_gray, color.dark_gray);
plot upper236 = if bar >= HighestAll(tBar) and Show_Fibs
then HighestAll(if isNaN(close[-1])
then Round((((upper - mean) * .236) + mean) / TickSize(), 0) * TickSize()
else double.nan)
else double.nan;
upper236.SetStyle(Curve.Short_Dash);
upper236.SetDefaultColor(Color.dark_gray);
plot upper382 = if bar >= HighestAll(tBar) and Show_Fibs
then HighestAll(if isNaN(close[-1])
then Round((((upper - mean) * .382) + mean) / TickSize(), 0) * TickSize()
else double.nan)
else double.nan;
upper382.SetStyle(Curve.Short_Dash);
upper382.SetDefaultColor(Color.dark_gray);
plot upper50 = if bar >= HighestAll(tBar) and Show_Fibs
then HighestAll(if isNaN(close[-1])
then Round((((upper - mean) * .5) + mean) / TickSize(), 0) * TickSize()
else double.nan)
else double.nan;
upper50.SetStyle(Curve.Short_Dash);
upper50.SetDefaultColor(Color.dark_gray);
plot upper618 = if bar >= HighestAll(tBar) and Show_Fibs
then HighestAll(if isNaN(close[-1])
then Round((((upper - mean) * .618) + mean) / TickSize(), 0) * TickSize()
else double.nan)
else double.nan;
upper618.SetStyle(Curve.Short_Dash);
upper618.SetDefaultColor(Color.dark_gray);
plot upper786 = if bar >= HighestAll(tBar) and Show_Fibs
then HighestAll(if isNaN(close[-1])
then Round((((upper - mean) * .786) + mean) / TickSize(), 0) * TickSize()
else double.nan)
else double.nan;
upper786.SetStyle(Curve.Short_Dash);
upper786.SetDefaultColor(Color.dark_gray);
plot lower236 = if bar >= HighestAll(tBar) and Show_Fibs
then HighestAll(if isNaN(close[-1])
then Round((mean - (mean - lower) * .236) / TickSize(), 0) * TickSize()
else double.nan)
else double.nan;
lower236.SetStyle(Curve.Short_Dash);
lower236.SetDefaultColor(Color.dark_gray);
plot lower382 = if bar >= HighestAll(tBar) and Show_Fibs
then HighestAll(if isNaN(close[-1])
then Round((mean - (mean - lower) * .382) / TickSize(), 0) * TickSize()
else double.nan)
else double.nan;
lower382.SetStyle(Curve.Short_Dash);
lower382.SetDefaultColor(Color.dark_gray);
plot lower50 = if bar >= HighestAll(tBar) and Show_Fibs
then HighestAll(if isNaN(close[-1])
then Round((mean - (mean - lower) * .5) / TickSize(), 0) * TickSize()
else double.nan)
else double.nan;
lower50.SetStyle(Curve.Short_Dash);
lower50.SetDefaultColor(Color.dark_gray);
plot lower618 = if bar >= HighestAll(tBar) and Show_Fibs
then HighestAll(if isNaN(close[-1])
then Round((mean - (mean - lower) * .618) / TickSize(), 0) * TickSize()
else double.nan)
else double.nan;
lower618.SetStyle(Curve.Short_Dash);
lower618.SetDefaultColor(Color.dark_gray);
plot lower786 = if bar >= HighestAll(tBar) and Show_Fibs
then HighestAll(if isNaN(close[-1])
then Round((mean - (mean - lower) * .786) / TickSize(), 0) * TickSize()
else double.nan)
else double.nan;
lower786.SetStyle(Curve.Short_Dash);
lower786.SetDefaultColor(Color.dark_gray);
AddLabel(show_label, "Series " + Series_IV + " IV = " + AsPercent(seriesIV) +
" " + nDays + " Day(s) Remaining. " +
" Implied Move = " + AsDollars(ImpMove) +
" Starting Value = " + AsDollars(t), GetColor(Label_Color_Choice));
# End Code Implied Moves From Series IV