CommercialGary
New member
Here's my code for Implied Average Daily Move with a time remaining feature for 0dte options.
Based on SqueezeMetrics tweets:
Should work well, especially during events where you wanna know how much of a move is possibly left to set up your entries or exits. Helps to watch how it reacts with price and over time.
Let me know what yall think.
TOS Code:
http://tos.mx/a9korMY
Based on SqueezeMetrics tweets:
@SqueezeMetrics
Implied volatility is quoted as an annualized standard deviation. So, e.g., "40% IV" theoretically* means that there's a ~68% chance that the underlying ends within ±40% of where it is now after 365 calendar days.
*an unwarranted extrapolation
For the small audience of volatility enthusiasts without masochistic tendencies, consider this: The use of annualization and standard deviation are arbitrary and stupid.
Why? Because options are priced using mean outcomes (like everything), and hedge-replication is done daily.
So to translate 40% IV to "implied average daily move," do this:
40% * √(1/365) * √(2/π) = 1.67%
"±1.67% average daily move."
Much less stupid.
Should work well, especially during events where you wanna know how much of a move is possibly left to set up your entries or exits. Helps to watch how it reacts with price and over time.
Let me know what yall think.
TOS Code:
http://tos.mx/a9korMY
Last edited by a moderator: