TastyLive Expected Move

[Ramisegal]

How to calculate the expected move in thinkscript using the below extract?
https://www.tastylive.com/definitions/calculating-expected-move

Calculating Expected Move
Expected move is the amount that a stock is predicted to increase or decrease from its current price, based on the current level of implied volatility for binary events.
We use this calculation on the day before the binary event or very close to the expiration date. The expected move of a stock for a binary event can be found by calculating 85% of the value of the front month at the money (ATM) straddle. Add the price of the front month ATM call and the price of the front month ATM put, then multiply this value by 85%. Another easy way to calculate the expected move for a binary event is to take the ATM straddle, plus the 1st OTM strangle and then divide the sum by 2.

We only use this for a binary event because the accuracy of premium decay and all of the variables associated with implied volatility are too rich to accurately reflect expected move for a longer time period.

Instead of using the implied volatility to derive the expected move, can we obtain these values with the arrows for a calculated future date in thinkscript?

 

[Ramisegal]

How to calculate the expected move in thinkscript using the below extract?
https://www.tastylive.com/definitions/calculating-expected-move

Calculating Expected Move
Expected move is the amount that a stock is predicted to increase or decrease from its current price, based on the current level of implied volatility for binary events.
We use this calculation on the day before the binary event or very close to the expiration date. The expected move of a stock for a binary event can be found by calculating 85% of the value of the front month at the money (ATM) straddle. Add the price of the front month ATM call and the price of the front month ATM put, then multiply this value by 85%. Another easy way to calculate the expected move for a binary event is to take the ATM straddle, plus the 1st OTM strangle and then divide the sum by 2.

We only use this for a binary event because the accuracy of premium decay and all of the variables associated with implied volatility are too rich to accurately reflect expected move for a longer time period.

Instead of using the implied volatility to derive the expected move, can we obtain these values with the arrows for a calculated future date in thinkscript?

Thanks!
I answered my own question...

 

[apdusp]

Thanks!
I answered my own question...

View attachment 20648

View attachment 20649

would you be so kind to share? thanks

 

[MatthewA]

Right on

 

[Ramisegal]

Yes I can share it but I'm more curious in how you're gonna use it

 

[apdusp]

Yes I can share it but I'm more curious in how you're gonna use it

to compare with the built in expected move in tos that appears in the option chain

 

[Ramisegal]

would you be so kind to share? thanks

Thread 'Black Scholes Options Model by Mobius for ThinkorSwim' https://usethinkscript.com/threads/black-scholes-options-model-by-mobius-for-thinkorswim.326/

 

[mark.917]

Thread 'Black Scholes Options Model by Mobius for ThinkorSwim' https://usethinkscript.com/threads/black-scholes-options-model-by-mobius-for-thinkorswim.326/

@Ramisegal I appreciate the link to the posted code that helped you solve your problem. Now, would you mind sharing the code you created from that solution to create the lower study shown above? I have been working on this but have not been able to get the plot showing like yours.

Thanks in advance if you're generous enough to share.

 

[Ramisegal]

@Ramisegal I appreciate the link to the posted code that helped you solve your problem. Now, would you mind sharing the code you created from that solution to create the lower study shown above? I have been working on this but have not been able to get the plot showing like yours.

Thanks in advance if you're generous enough to share.

#ATMNearestPUTCallStraddle
# ATM Nearest PUT, Call, Straddle
# Mobius

declare lower;
input series = 1;
def c = close;
def x = BarNumber();
def sIV = SeriesVolatility(Series = series);
;
def CurrentDOW = GetDayOfWeek(GetYYYYMMDD());
def daysTillFriday = if CurrentDOW == 5 then 7 else if CurrentDOW > 5 then CurrentDOW % 5 + 5 else 5 - CurrentDOW;
def underlying = close(GetSymbol());
def interest_rate = GetInterestRate();
def yield = GetYield();
def ATMStrike = if Round(close, 0) < 25 then Round(close / 2.5, 0) * 2.5 else (Round(close / 5, 0)) * 5;
def PutPrice  = OptionPrice(ATMStrike, yes, daysTillFriday, underlying, sIV, no, yield, interest_rate);
def CallPrice = OptionPrice(ATMStrike, no, daysTillFriday, underlying, sIV, no, yield, interest_rate);
def ATMstraddle = if IsNaN(CallPrice + PutPrice) then ATMstraddle[1] else CallPrice + PutPrice;
plot Stradle = ATMstraddle;


AddChartBubble(x == HighestAll(x), ATMstraddle, "ATM Straddle " + AsDollars(Stradle), Stradle.TakeValueColor());
AddLabel(1, "ATM Put: " + AsDollars(PutPrice) +  "  || ATM Call: " + AsDollars(CallPrice), if CallPrice > PutPrice then Color.YELLOW else if CallPrice < PutPrice then Color.PINK else Color.WHITE);
# End Code ATM Stradle