Trying to get the Daily Expected Move

[bwca]

Hi all,
I'm trying to plot the daily expected move on my intraday chart, based yesterday's close. (What Michael Silva does at FiguringOutMoney). See the attached screenshot. For reference today is Jan 9 and the market is currently closed. It's pricing in tomorrow's IV at 20.79% or +/- 5.49pts (Jan 10). How do I get these numbers?

I tried using the imp_volatility() function and various flavors of it, but can't come up with the same numbers.

Can someone point me in the right direction?

Thanks!

 

[Joshua]

SeriesVolatility()

 

[ConnorCole]

You are right.

 

[hboogie]

SeriesVolatility()

what would be the actual code to be able to plot this as a label on a chart ?

Thanks!

 

[kojfefe]

@Joshua I just wanted to share something with everyone about SeriesVolatility(). I haven't seen this mentioned and AFAIK nobody else knows this yet. I'm not going to pay for the privilege to post just to share free information because that would be ridiculous, so since this is the most recent post that mentions SeriesVolatility() and you're an Expert and VIP, I guess this is as good a place as any to get it out there.

SeriesVolatility() accepts a 2nd parameter: "expirationType". This parameter accepts an undocumented constant called "ExpirationType" which can have the following values:

• ExpirationType.EOM
• ExpirationType.MINI
• ExpirationType.NON_STANDARD
• ExpirationType.QUARTERLYS
• ExpirationType.REGULAR
• ExpirationType.WEEKLYS

If you type "ExpirationType" into the ThinkOrSwim editor the autocomplete feature will show these values.

So you can use this to select a specific option type along with the series. For example this will return the 2nd weekly option in the chain:

def iv = SeriesVolatility(series = 2, expirationType = ExpirationType.WEEKLYS);

I verified that if you explicitly specify "expirationType" then filtering in the option chain has no effect on what SeriesVolatility() returns, which is nice.

One possible tripping point I found is that for OPEX weeks there's no Friday weekly, so ExpirationType.WEEKLYS will return the following Monday's IV instead.

Hope this gets out there and people find it useful.

 

[Joshua]

If anybody is unaware, you can get the parameters for any function, including undocumented functions, by using the inspector. @kojfefe but thanks for at least making the effort, I do appreciate it.