View Of Volume --Archived

[MatthewA]

You are right...they were off screen...Sorry for the false alarm...

No problem...
That is good of you to notice think of the institutions who accumulated those contracts during times of very little price move...
That's all I will say about that without going off topic

 

[MatthewA]

No problem...
That is good of you to notice think of the institutions who accumulated those contracts during times of very little price move...
That's all I will say about that without going off topic

@netarchitech I dont want to go into a bunch of harmful conspiracies about "market makers" and all other sorts of crazy about Jay-Z and the illuminati.

However as professionals we must take a serious look at volatility and note how even if DPL occurs with relatively low volume those contracts will later leave one person with an advantage and the other person with an obligation.
Or if you prefer when quants in an institution are pricing in their obligations they must deliver on the profits of contracts already accumulated must be accounted for when deciding to buy or sell volatility or what patterns to distribute in trends...

Our colleague @Ramisegal has been preparing to get short for awhile even though he knows we are in a sharp up trend. He is working with options data and volatility. Sometimes there aren't very many options on futures because those things are so expensive to exercise yet all the calls and puts are useful to know. But it may help us to take a serious view of the financial obligations of the modern world which bring all of us together

 

[netarchitech]

@MatthewA No worries with regard to Conspiracies...Although, with that said, I must admit I have been prone to one or two along the way

As far as Options go, I stumbled across the following site in my travels:

https://tradytics.com/

Worth a look if you haven't already...You can subscribe for free and sink your teeth into some serious stuff for $70.00 per month...

One item of particular interest: Market Net Flow...

For more info:

 

[rfb]

simplified it a bit for my personal taste. Thanks for the work guys! will def be interested to see more developments.

View attachment 20855

Curious if you could share link your simplified version. Thank you. If not, no worries.

 

[netarchitech]

think of the institutions who accumulated those contracts during times of very little price move...
That's all I will say about that without going off topic

@MatthewA Yeah...I hear what you're saying...

As far as going off-topic, I say go for it...good things come from The Stream of Consciousness...

 

[MatthewA]

No worries with regard to Conspiracies...Although, with that said, I must admit I have been prone to one or two along the way

I think the DPLs off screen can help estimate distributions even in assets that do not have many options on the books ...
But let's do the easier tasks such as volatility first. You have tried VixFix, I have to do school work yet let me know what other models you want and I will try to get on it after my next test on Thursday

 

[MatthewA]

Curious if you could share link your simplified version. Thank you. If not, no worries.

I think they are removing the Ease Of Movement that colors the bars bright or dim blue colors.
It's perfectly okay to do that but see the comment I left above.

Before you remove things I would recommend reading the notes on the top of the thinkscript first

 

[netarchitech]

I was going to suggest an option for users who do not want to color their bars bright or dark to use EoM as part of a line near price. The reason for that is I know that EoM may seem like its just the inverse of DPL but there are more mathematics possible.

@MatthewA What would the EoM line look like on the chart vs. the current candle-coloring? Interesting...

the market naturally expands and contacts in irregular cycles, and so the EoM score is unlikely to ever repeat more than 3 bars or so. We could use some calculus to derive a relationship for this or also we may revisit @mashume Curving solution with a nonrepainting version. When the curve of the HullMoving Average was approximated we used a very distant target for the next bar which was difficult to reach. However by shortening the target when the EoM is large and lengthening the target when the EoM is small we could set the curve back a bar and no longer have to deal with repainting.

All roads lead back to Hull's Moving Average and @mashume's excellent application of it...Where many other studies/indicators have fallen by the wayside on my charts, @mashume's HMA continues to provide and reside

As far as what you propose with the adjustment of the EoM, the benefit of getting rid of potential re-painting sounds definitely worthwhile...

I think the DPLs off screen can help estimate distributions even in assets that do not have many options on the books ...
But let's do the easier tasks such as volatility first. You have tried VixFix, I have to do school work yet let me know what other models you want and I will try to get on it after my next test on Thursday

OK...Easier first sounds good to me...I'll rummage around in my ol' bag of tricks and see what rises to the occasion...

As I know you're already well-aware, most importantly, school comes first...Good Luck with your test on Thursday

 

[khpro59]

Curious if you could share link your simplified version. Thank you. If not, no worries.

Sure thing, give this a shot: http://tos.mx/qRlAmj8.

If not, here is my entire grid. It'll be overwhelming im sure, mainly because its laid out on a 49" monitor so the picture is going to look stretched, but here is how it looks on my end. I got a little comprehensive in my screenshot with the edits and labels, but ive been meaning to put something similar to this for a chat room, so kinda killed two birds.

This is a new flex grid I have been using. you are asking for only a tiny sliver of it, but do so as you please, strip it for parts, enjoy! P.S I have 3 other workspaces as well if interested.

Flex: http://tos.mx/TeiMcxS

I know itll be wonky for some to view so I used two different file types and also hosted picture here in case its too hard to see embedded.

 

[khpro59]

That color scheme looks very nice.


I was going to suggest an option for users who do not want to color their bars bright or dark to use EoM as part of a line near price. The reason for that is I know that EoM may seem like its just the inverse of DPL but there are more mathematics possible.

1) On the simple side: you may want to know about areas where price will later coast through Easily , to prevent you from moving into fake moves. . . Please look in the past at days where the SPY futures failed to leave a narrow range of DPLs

2) On the More complex side: the market naturally expands and contacts in irregular cycles, and so the EoM score is unlikely to ever repeat more than 3 bars or so. We could use some calculus to derive a relationship for this or also we may revisit @mashume Curving solution with a nonrepainting version. When the curve of the HullMoving Average was approximated we used a very distant target for the next bar which was difficult to reach. However by shortening the target when the EoM is large and lengthening the target when the EoM is small we could set the curve back a bar and no longer have to deal with repainting. https://usethinkscript.com/threads/...ng-points-and-concavity-2nd-derivatives.1803/

3) Even if you do not need EoM to color the bars for the past to reasons I am using calculus to derive long term polynomials with EoM and Mobiuses Delta Momentums https://usethinkscript.com/threads/tmo-true-momentum-oscillator-for-thinkorswim.9413/page-3

Yes it does seem redundant and inefficient to have EoM and DPL together even if they were written by different people but if we Winsorize both terms separately we still need those for other option

Oh yeah totally agree! I only thought it was unfinished and figured id work with some of the bones of the script to fit my current needs. And when this bad boy is all done I would use it stand-alone to see how I like it. But totally respect the process and the thought that has gone into this man, dont want you to think I dont respect the work!

Thank you

 

[netarchitech]

@MatthewA : @FutureTony's "Volatility Sentiment" looks promising...

Here's one from my Archive...Implied Volatility Rank...

And here's the script:

declare lower;
#declare hide_on_intraday;

#IVPercentile

def vol = imp_volatility();

input DisplayIVPercentile = yes;
input TimePeriod = 252;
input LowVolLimit = 30;
input HighVolLimit = 50;
input Display6monthIVR = yes;
input MiddleTimePeriod = 126;
input DisplayShorterTerm = yes;
input ShortTimePeriod = 63;
input DisplayImpVolatility = yes;
input DisplayDaily1StandardDev = no;
input DisplayWeekly1StandardDev = yes;
input DisplayMonthly1StandardDev = yes;
input InvertRedGreen = yes;
input PercentileMALength = 21;

def data = if !IsNaN(vol) then vol else vol[-1];
def hi = Highest(data, TimePeriod);
def lo = Lowest(data, TimePeriod);
def MiddleHi = Highest(data, MiddleTimePeriod);
def MiddleLo = Lowest(data, MiddleTimePeriod);
def ShortHi = Highest(data, ShortTimePeriod);
def ShortLo = Lowest(data, ShortTimePeriod);

plot Percentile = (data – lo) / (hi – lo) * 100;
Percentile.SetDefaultColor(CreateColor(0, 102, 204));
Percentile.SetLineWeight(2);

plot PercentileMA = ExpAverage(Percentile, PercentileMALength);
PercentileMA.SetDefaultColor(Color.ORANGE);
PercentileMA.SetLineWeight(2);

def lowend = Percentile < LowVolLimit; def highend = Percentile > HighVolLimit;
def mPercentile = (data – MiddleLo) / (MiddleHi – MiddleLo) * 100;
def MiddleLowend = mPercentile < LowVolLimit;
def MiddleHighend = mPercentile < HighVolLimit;
def sPercentile = (data – ShortLo) / (ShortHi – ShortLo) * 100;
def ShortLowend = sPercentile < LowVolLimit; def ShortHighend = sPercentile > HighVolLimit;

DefineGlobalColor(“lowcolor”, if InvertRedGreen then Color.RED else Color.GREEN);
DefineGlobalColor(“Shortlowcolor”, if InvertRedGreen then Color.GREEN else Color.GREEN);
DefineGlobalColor(“highcolor”, if InvertRedGreen then Color.GREEN else Color.RED);
DefineGlobalColor(“Shorthighcolor”, if InvertRedGreen then Color.GREEN else Color.RED);

#Labels

AddLabel(DisplayIVPercentile , Concat(“IV Rank = “, AsPrice(Round(Percentile, 0))), color = CreateColor(255-(Percentile*2.55),Percentile*2.55,0));
AddLabel(Display6monthIVR , Concat(“6mo IVR = “, AsPrice(Round(mPercentile , 0))), color = CreateColor(255-(mPercentile*2.55),mPercentile*2.55,0));
AddLabel(DisplayShorterTerm , Concat(“3mo IVR = “, AsPrice(Round(sPercentile , 0))), color = CreateColor(255-(sPercentile*2.55),sPercentile*2.55,0));
AddLabel(DisplayImpVolatility, Concat(“ImpVol: “, AsPercent(vol)), if lowend then color.gray else if highend then color.gray else color.gray);

def ImpPts = (vol / Sqrt(252)) * close;
AddLabel(DisplayDaily1StandardDev , Concat(“1 Day SD +/- $”, AsText( ImpPts, NumberFormat.TWO_DECIMAL_PLACES)), if lowend then color.gray else if highend then color.gray else Color.gray);
def ImpPts2 = (vol / Sqrt(52)) * close;
AddLabel(DisplayWeekly1StandardDev, Concat(“1 Week SD +/- $”, AsText( ImpPts2, NumberFormat.TWO_DECIMAL_PLACES)), if lowend then color.gray else if highend then color.gray else Color.gray);
def ImpPts3 = (vol / Sqrt(12)) * close;
AddLabel(DisplayMonthly1StandardDev, Concat(“1 Month SD +/- $”, AsText( ImpPts3, NumberFormat.TWO_DECIMAL_PLACES)), if lowend then color.gray else if highend then color.gray else Color.gray);

plot LowVol = LowVolLimit;
plot HighVol = HighVolLimit;

LowVol.SetDefaultColor(GetColor(6));
HighVol.SetDefaultColor(GetColor(5));

Let me know what you think/if I'm on the right track with what you're thinking...Thanks

 

[rfb]

Sure thing, give this a shot: http://tos.mx/qRlAmj8.

If not, here is my entire grid. It'll be overwhelming im sure, mainly because its laid out on a 49" monitor so the picture is going to look stretched, but here is how it looks on my end. I got a little comprehensive in my screenshot with the edits and labels, but ive been meaning to put something similar to this for a chat room, so kinda killed two birds.

This is a new flex grid I have been using. you are asking for only a tiny sliver of it, but do so as you please, strip it for parts, enjoy! P.S I have 3 other workspaces as well if interested.

Flex: http://tos.mx/TeiMcxS

I know itll be wonky for some to view so I used two different file types and also hosted picture here in case its too hard to see embedded.
View attachment 20864View attachment 20862

Nice and thank you!

 

[MatthewA]

friends My last exams scored well, this weekend I will work on some of the suggestions.

Thanks for the IV suggestions let's continue testing.

 

[netarchitech]

My last exams scored well

Congratulations on your recent successes with your exams For what its' worth, I believe that perseverance and hard work pays off in the end, but you've got to put the effort in...there are no shortcuts, my friend...

With that said, I'm sure you're working hard...I guess I'm just reminiscing and speaking from personal experience...It only took me 13 years to get my undergrad degree, but, in the end, I got it!

Thanks for the IV suggestions let's continue testing.

Sounds good...I've got a couple more Volatility studies to dig out of the Archive, so I'll make sure to post anything that looks promising...

Have a great weekend!

 

[iFrostyy]

I have to study for my Medical Exams so I won't be able to do these calculations for a couple days.
@MerryDay @Ramisegal @netarchitech @chewie76 is it okay if we relaunch this a little later?

I am still excited to later bring Volume and Volatility together in a statistically significant way

Thank you all for the direction

I will make sure to refer to you as Dr. Matthew when you return, I missed the thread and discussions when this was open but from the screenshots looks very promising!

 

[MatthewA]

I won't be gone so long that I get my Doctorate!
I am back online tonight. I have been getting overrun the last few days...

 

[netarchitech]

Welcome back, @MatthewA ...I hope all is well...

Looking forward to seeing what you had in mind Volatility-wise...

The IV Study I posted (https://usethinkscript.com/threads/view-of-volume-and-volatility-in-thinkorswim.17713/post-137588) seems to do a pretty good job...I just have to keep in mind that it's an inverse...The moving average applied to the IV seems to do a pretty good job of smoothing out the IV and providing trend information...

I would be interested in hearing your thoughts when/if you have a moment to do so...

Keep up the good work!

 

[METAL]

Hope everyone is having a great weekend. Can someone kindly provide a detailed explanation on how to use and what the different lines represent to us dummies. (Me) Thanks!

Welcome back, @MatthewA ...I hope all is well...

Looking forward to seeing what you had in mind Volatility-wise...

The IV Study I posted (https://usethinkscript.com/threads/view-of-volume-and-volatility-in-thinkorswim.17713/post-137588) seems to do a pretty good job...I just have to keep in mind that it's an inverse...The moving average applied to the IV seems to do a pretty good job of smoothing out the IV and providing trend information...

I would be interested in hearing your thoughts when/if you have a moment to do so...

Keep up the good work!

@MatthewA When you get a second, Do you mind explaining what the multi colored line represents and it's intended use. Thanks for you time.

 

[MatthewA]

Hope everyone is having a great weekend. Can someone kindly provide a detailed explanation on how to use and what the different lines represent to us dummies. (Me) Thanks!


@MatthewA When you get a second, Do you mind explaining what the multi colored line represents and it's intended use. Thanks for you time.
View attachment 20980

Yes sorry I have been out for a minute.
If you have one of the older versions of ViewOfVolume it may be an issue where the color changes aroung the color scheme of ToS you use
There are Volume Profile horizontal lines that extend from the past days to let us see where the "Relative Volumes" are setting up trends with a quick glance.
Those lines I made were not supposed to change colors very often.

If there are no more resource issues now that we have the "Statistical" functions to allow the chart to load with fewer days let us move on with the latest version and see if that solves any problems we might have.


@MerryDay If there are no more computer crashes I am ready to unlock and update post to show how I have been using View Of Volume to trade.

 

[MatthewA]

I would be interested in hearing your thoughts when/if you have a moment to do so...

Keep up the good work!

Absolutely Yes. I have also been working with Implied Volatility as an option for Volume in the drop down menu.
There are interesting patterns when you select (IV x Share Volume) but that leads us back to the large scale view of Options Mathematics and so for the moment I will leave that to you and @Ramisegal ...
I find that the Relative Volume tools I have been working on are much better for the 1 minute timeframe where one may comfortably manage positions without having to hold through draw downs.

I have traded options and done many assignments about Volatility Math but for now I want to be certain everyone can use VoV easily.
Next week I will use more Bigger Picture things like @netarchitech and @Ramisegal