Plotting Expected Moves on a chart....

[BobSaha]

Hi,

I am looking for a script that can draw expected move on a chart. Essentially, I want to know how many time an underlying respect those boundaries. I there any such script? Or can it be developed?

I would appreciate all the feedback and suggestion.

Thanks,

 

[Ramisegal]

Hi,

I am looking for a script that can draw expected move on a chart. Essentially, I want to know how many time an underlying respect those boundaries. I there any such script? Or can it be developed?

I would appreciate all the feedback and suggestion.

Thanks,

Can you be more specific about the "respect those boundaries" for example a cross per day, per hour, range above and below, act as support or resistance (touch and reverse)
the expected move is derived of the implied volatility which will change at any given time for a given time in other words hourly, daily, weekly, monthly expected move will defer.

for Weekly expected move you can use the implied volatility of the period multiplied by the Sqrt(6) / Sqrt(365)
for Daily EM I use Sqrt(1/6) / Sqrt(365)
you can plot on a weekly daily or any time change.

 

[halcyonguy]

Hi,

I am looking for a script that can draw expected move on a chart. Essentially, I want to know how many time an underlying respect those boundaries. I there any such script? Or can it be developed?

I would appreciate all the feedback and suggestion.

Thanks,

not sure what you want to see?
are you looking for a probability cone?
like in the last 2 links on this post?
https://usethinkscript.com/threads/calculate-expected-move.13742/#post-114570

 

[BobSaha]

@halcyonguy thanks for the reference. No, i'm not looking for the probability cone. I am a lot more interested in the historical data.

The idea is to visually gauge how accurate option market is in guessing the weekly/monthly implied move at the start of the week/month.

I am looking for a script that can take the ATM Straddle price for the start of the option chain (weekly or monthly) and just draw two lines +/-1SD from the start of the chain to the expiry.

It will be great if we can add some statistics as labels e.g. No. of time underlying was within the range and outside the range, Max Move % (worst case) etc.

I researched and believe we can use ATMOption function. But I am not sure how to use it or how to calculate options start dates etc.