Implied Move Based on Weekly Options for ThinkorSwim

[CommercialGary]

Here's my code for Implied Average Daily Move with a time remaining feature for 0dte options.

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