Trikortreat12
New member
I have been attempting to construct a fair price model for all my option plays and was wondering if any others are attempting to do the same. There's a couple of traders on twitter that have achieved a model similar to this and I believe they use some modified version of Average True Range. I'm sure they use some time of forecasting system to scoop up prices at "fair value" or "cheap". Here is a video for context:
I find it fascinating that when these levels approach, the stock almost always goes up after hovering at that "zone" or level (i've seen it in real time as well).
One thing to note is that these "fair values" have mostly never been encountered in the past, it's a forecasting of future prices. Once it hits that "zone" or "level" then you can scale in. I find it much better than just playing options at any time without some sort of reference point of what good value is. One thing i'm sure of is no greeks are used. It's solely bid/ask, some type of ATR, and maybe some other components, but no IV, gamma, delta etc.
He's stated that he uses the highs and lows of the option movement over the past 2 weeks to play weekly contracts, and I believe the closest iteration is an Average True Range system to account for the highs and lows. He has these numbers he sets so that when the chain loads you can see if the fair value is hit or not. I've tried replicating this system using ATR, but my model is very simplistic based on the other thinkscripts here. I know people use ATR for stock movement, but i'm very fascinated if someone has done something for an option movement as well.
https://ibb.co/THVTRTR
Let me know if anyone wants to build this indicator/wants to know any more info, would love to have some help to go at this.
I find it fascinating that when these levels approach, the stock almost always goes up after hovering at that "zone" or level (i've seen it in real time as well).
One thing to note is that these "fair values" have mostly never been encountered in the past, it's a forecasting of future prices. Once it hits that "zone" or "level" then you can scale in. I find it much better than just playing options at any time without some sort of reference point of what good value is. One thing i'm sure of is no greeks are used. It's solely bid/ask, some type of ATR, and maybe some other components, but no IV, gamma, delta etc.
He's stated that he uses the highs and lows of the option movement over the past 2 weeks to play weekly contracts, and I believe the closest iteration is an Average True Range system to account for the highs and lows. He has these numbers he sets so that when the chain loads you can see if the fair value is hit or not. I've tried replicating this system using ATR, but my model is very simplistic based on the other thinkscripts here. I know people use ATR for stock movement, but i'm very fascinated if someone has done something for an option movement as well.
https://ibb.co/THVTRTR
Let me know if anyone wants to build this indicator/wants to know any more info, would love to have some help to go at this.
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