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[TTI] Option expiration Lines––––History & Credit –––––––––––––––––––––––––––––––––––––––––– While doing my yearly trade reviews, I wanted to see where I exited and entered compared to my position expiration (given I am an options trader). –––––What it does –––––––––––––––––––––––––––––––––––––––––– Input a date and the script will draw two vertical lines. One the date you input and second 5 days back. Additionally, it will highlight the 30day high and 30day low within those lines as a box. –––––How to use it –––––––––––––––––––––––––––––––––––––––––– You can use the script for trade reviews (as I have). Additionally, you could set trading rules based on time. For example: Do not hold trades past 2days to expiration Or have tigher target and loss parameters for Opex week
Pine Script™ indicator
by TintinTrading
1
probability_of_touchBased on historical data (rather than theory), calculates the probability of a price level being "touched" within a given time frame. A "touch" means that price exceeded that level at some point. The parameters are: - level: the "level" to be touched. it can be a number of points, percentage points, or standard deviations away from the mark price. a positive level is above the mark price, and a negative level is below the mark price. - type: determines the meaning of the "level" parameter. "price" means price points (i.e. the numbers you see on the chart). "percentage" is expressed as a whole number, not a fraction. "stdev" means number of standard deviations, which is computed from recent realized volatlity. - mark: the point from which the "level" is measured. - length: the number of days within which the level must be touched. - window: the number of days used to compute realized volatility. this parameter is only used when "type" is "stdev". - debug: displays a fuchsia "X" over periods that touched the level. note that only a limited number of labels can be drawn. - start: only include data after this time in the calculation. - end: only include data before this time in the calculation. Example: You want to know how many times Apple stock fell $1 from its closing price the next day, between 2020-02-26 and today. Use the following parameters: level: -1 type: price mark: close length: 1 window: debug: start: 2020-02-26 end: How does the script work? On every bar, the script looks back "length" days and sees if any day exceeded the "mark" price from "length" days ago, plus the limit. The probability is the ratio of such periods wherein price exceeded the limit to the total number of periods.
Pine Script™ indicator
by taylor_o
2
Straddle MoverStraddle Mover is an indicator especially made for option writer / seller who wants to do straddle and adjust the position based on the market trend / movement. It can be use for iron fly strategy too. Settings: User must know the settings of the indicator before using. First one is Option Strike Difference , user need to enter the correct option strike difference of the particular instrument / stock / indices, one can get it from option chain. For example, Nifty having 50 points differences in each option strike and bank nifty having 100 points. So, Nifty user must enter 50 and Bank nifty user must enter 100 in this setting. Second is Straddle Type based on , user can choose the type of the straddle mover. There are two options to choose, 1) High/Low is based on current day high/low average near strike to make straddle and 2) Trend is based on recent N number of candle(s) average near strike to make straddle. Third is Trend Length , default value is 20 which generally used in vwma , donchian channel and other trend finding indicators. User can change if need. If user select high/low based type then length is not important. Note : Option Strike Difference and Straddle type based on is very important setting to use this indicator. User must do adjustments based on their own risk and strategy. This indicator is only for education purpose.
Pine Script™ indicator
by Saravanan_Ragavan
3
NCTA Aurora SystemAurora System This system is designed to present a simple view of trending signals. The signals within the Aurora System will alert the beginning of a possible new trend. The signals also indicate when a trend is continuing or weakening, which advises the trader to adjust their stop or exit the trade. If the trend resumes, the system will print a new confirmation of an entry. When traded properly, using a 2-3 timeframe alignment, the system will display both trending trades, which anticipate a potentially longer move, or catch trades which are likely shorter moves, which at times may be counter trend, so traders will be looking for a smaller profit. There are two settings, CXA and PBA. CXA is more sensitive to triggering possible entries while PBA is more conservative. The system will display on the indicator which “mode” is set, CXA or PBA. How to Use: When the first red bar appears, labeled with a “S”, go short. This is indicating the start of a possible short trend. When the first blue bar appears, labeled with a “L”, go long. This is indicating the start of a possible long trend. White bars indicate a neutral or no trend. This system can be used individually on a single time frame, but reduces chop and noise when used on a combination of time frames such as an alignment between the 3 minute and 10 minute chart for intraday trading. 3 Minute and 10 Minute Alignment Example: For example: When the 10 minute PBA signal appears (Red bar with “S” or Blue bar with “L”), monitor the 3 minute chart for a confirmation of that signal (Red bar with “S” or Blue bar with “L”) and enter based on the 3 minute chart At times, the 10m will first print when the 3m is on a retracement. It may take another 3 - 6 min before the 3m signals a valid entry Exit when 10m PBA signal stops (could be a white bar or just a blank space on the indicator) Next Bar Alert: Included is an optional "Next Bar Alert" setting. Since many of these signals benefit from very prompt action at the beginning of a price bar, there is an additional option in Settings to set an arbitrary number of seconds to be alerted before the next price bar opens. Simply set this to a level you prefer, then set an alert in TradingView on the indicator using the "Next Bar Alert" alert parameter.
Pine Script™ indicator
by NewCycleTrading
1
options_expiration_and_strike_price_calculatorLibrary "options_expiration_and_strike_price_calculator" TODO: add library description here fun() this is a library to help calculate options strike price and expiration that you can add to a script i use it mainly for symbol calulation to place orders to buy options on TD ameritrade so it will be set up to order options on TD ameritrade using json order placer and webhook it fills in the area in the json under symbol i suggest manually adding the year it should look like this is an example of an order to buy 10 call options using json through td ameritrade api "complexOrderStrategyType": "NONE", "orderType": "LIMIT", "session": "NORMAL", "price": "6.45", "duration": "DAY", "orderStrategyType": "SINGLE", "orderLegCollection": }
Pine Script™ library
by natronix
4
Options Flow Intraday SentimentScript useful for Intraday Trading - which based on Options data loaded in background - is showing sentiment of Investors. Very often Options are forecasting and precedes moves that will happen later on derivatives like Futures Contracts. Due to its' nature, data is useful during Regular Trading Hours sessions ( RTH ). We take into account Options Volume flow & Put/Call Ratio from Options. Data is based from dataset on Quandl and loaded to TradingView. Therefore data is normalized as per different factors we have different scale of received data. Then I apply calculations comparing PUT and CALL Volume, giving the biggest weight ratio to those Options which have nearest Expiration Date. Another condition taken into account is Type of Option: either In the Money, Out of Money or At the money. Last but not least for Options there is calculated risk, where those orderflow entries with lowest risk are having the biggest weight in calculation while those with highest risk - are having lower ratio. Risk is calculated based on delta factor (coming out of Options standard definitions). Background of indicator is coloured in direction of sentiment when we have alignment of sentiment factors calculated in background in one direction. Script is displaying additionally PUT Volume, CALL Volume from Options and PUT/CALL Ratio. Those are only additional information that can be useful for traders, but the whole logic is hidden under the hood (as described earlier) and is showing coloured background when sentiment is aligned. Therefore be prepared to take potentially a trade in direction of the background - but not blindly Currently it's supporting SPX ( S&P500 ) and support for more instruments will come with next updates.
Pine Script™ indicator
by skyline-trader
12
Deribit Options█ OVERVIEW This script is designed to plot some essential option parameters in the chart, such as the expiry, your Break-even point and the strike price. Having these plotted on the chart can make your trading journey much more easier. It's always better to visualize the data/points on the chart than have it only as a foggy picture on your head. This script will also show tell the the distance from the current price to your Break-even, and the distance from Strike Price to break-even. All simple and easy to do on a piece of paper, but that for sure could take some time to plot correctly on the chart. The script will also show you an on-time PnL. █ Future Plans and upgrades to this script may include : 1. Graphic chart to represent your PnL at every level. 2. Additional extra parameters █ How to use : 1. Open the settings. 2. Select the period, then input your option details and you'll see it on the chart. 3. Activate the information box, to see some extra details. Disclaimer : This script may contain errors as this is the first version. I would recommend double checking the results on a different tool before starting a trade.
Pine Script™ indicator
by NasserHumood
4
Bot go_up DD_long/shortHello! This strategy is based on the double bottom pattern - for entering a long position / double top-short A double bottom pattern is formed when two price bottoms are relatively at the same level and the top acts as resistance. This pattern appears at the end of a downtrend and signals a reversal. A double top is a bearish reversal pattern that signals the end of an uptrend. It is formed by two price highs forming at the same level and a notch line that acts as local support. As history and practice show, the double bottom pattern works better. Moreover, in a bull market. You can include only long or only short. BUT while there is a long, a short position will not be opened, in fact, with a long as well. You can use reverse trade, one coin at a time. DESCRIPTION: // LOGIC ENTRY: Period for short and long positions-to search for double bottom as well as double top. the more, the less false. Change liong and short-channel width for pattern search separately for long and short. General shift-the overall width of the channel, which changes equally at once for long and short By default, quiet settings for tf 5 minutes are applied! You can choose the settings you like. // AMOUNT(USDT) FIRST ORDER AND > % NEXT In the first column, indicate the amount, in the second, how many percent the next order will be more than the previous one. // EXIT SETTINGS Closing a trade by RSI when it reaches the level specified in the settings (but in the negative, the trade will never be closed, even if the condition is triggered) Using a percentage to exit a trade + stop loss. (Put a stop order 1000+ on the market can be anything, especially if you use spot trading) PS: in order to use the RSI output at a certain level, put a checkmark on the desired one, and also check the percentage box and indicate a take on the percentage 10-20 +) // MARTINGALE GRID If there is a check mark, then the grid is used. Use all signals? If yes, then there will be no limit on inputs from logic If the checkbox is not checked, then you can limit the entries from the strategy logic by the specified percentage. Grid, the next order, when decreasing by a certain percentage, an order when decreasing by the percentage that will be specified (after entering from the logic, when the next signal appears, the grid will be counted from the beginning) PS: orders are not automatically placed, if the conditions are triggered, then the entry is only at the next bar (within the TV, it is not possible to add orders immediately, but most often, in case of straits, for the better) // FILTER SETTINGS The filter consists of a series of popular, averaged oscillators //DATA RANGE You can see the results for the selected period // CALCULATION OF ORDERS AND MARGIN (FOR INFO ONLY) The number of orders is the number of entries (you must always have the same number of orders in the arguments and in the properties !!) - in the aruments for understanding, in the properties - it does not matter how much it will cost there, so many inputs will be!) -leverage is created to calculate the margin When you change these parameters, you will understand how much money is required in general and what maximum drawdown can be allowed Green line-take, lower-stop-order. To use algo trading, in fact, you need to use a script, in the service through which you will transmit a signal through webhooks, you need to select the amount. {{strategy.order.contracts}} ОПИСАНИЕ НА РУССКОМ //ЛОГИКА ВХОДА: Период для шорт и лонг позиций, сдвиг для шорта лонга, также общий По умолчанию применены спокойные настройки для тф. 5 минут. Вы можете самостоятельно подбирать настройки, основываясь на прошлые результаты //СУММА ВХОДА В ЮЗДТ +МАРТИНГЕЙЛ: В первой графе указываете сумму , во второй -на сколько процентов следующий ордер будет больше предыдущего. //НАСТРОЙКИ ВЫХОДА ИЗ СДЕЛКИ Закрытие сделки по RSI, когда достигнет уровня, указанного в настройках ( но в минус сделка не будет закрыта никогда, даже если условие сработало) Использование процента для выхода из сделки+ стоп приказ.( Ставьте стоп-приказ 1000+ на рынке может быть всякое, тем более, если используете спотовую торговлю) ПС: для того, чтобы использовать выход по RSI по определенному уровню, поставьте галочку на нужный , а также поставьте галочку по проценту и укажите тейк по проценту 10-20+) //НАСТРОЙКИ СЕТКИ Если стоит галочка-то сетка используется. Использовать все сигналы? Если да, то лимита по входам от логики не будет Если не стоит галочка, то можно ограничить входы от логики стратегии, на указанный процент. Сетка, следующий ордер, при снижении на определенный процент-след ордер при снижении на тот процент, который будет указан ( после входа от логики , при появлении следующего сигнала сетка будет считаться с начала) ПС: ордера автоматически не ставятся, если сработали условия, то вход, только на следующем баре ( в рамках ТВ, нет возможности добавить сразу ордера, но чаще всего, при проливах-к лучшему) //НАСТРОЙКИ ФИЛЬТРА Фильтр состоит из серии популярных, усредненных осцилляторов. // БЭКТЕСТИНГ Можете посмотреть результаты за выбранный промежуток // ПИРАМИДИНГ (исключительно для расчета) Количество ордеров-это количество входов ( у вас всегда должно быть одинаковое количество ордеров в агрументах и в свойствах!!) -в аргументах для понимания, в свойствах -важно, сколько там будет стоить-столько входов и будет!) -плечо создано для расчета маржи При изменение данных параметров Вы будете понимать сколько потребуется средств в общем и какую максимальную просадку можно допустить Зеленая линия-тейк, нижняя-стоп-приказ. Для использования алго-трейдинга, собственно так и нужно использовать скрипт, в сервисе, через который Вы будете передавать сигнал через веб-хуки , Вам нужно выбрать количество. {{strategy.order.contracts}} Удачных трейдов, друзья!
Pine Script™ strategy
by graal_tut
1
vStrat Algo 1.0 (BETA)vStrat Algo 1.0 The Very First Scalping/Intraday Trading Algo for Options Note: If you have any favorite indicators that you use regularly and are helpful, feel free to use them in conjunction to this strategy. Legend: long = buy call short = buy put close entry = sell call/put BULL = bullish engulfing BEAR = bearish engulfing OS = oversold OB = overbought Instructions: 1. You can choose to watch the 3 minute or 5 minute chart but be aware of the Pro’s and Con’s. It’s not recommended to use this strategy on the 1 minute chart, but this works on higher timeframes. Keep in mind that the signals will vary on each timeframe. 3 minute 5 minute i.ibb.co i.ibb.co 2. It’s best to use this strategy right at market open. If a “long” (buy CALLS) or “short” (buy PUTS) signal was given at pre-market, I do not recommend taking it. Only take signals once the market opens. If you really wish to take the signal that was given 1-5 minutes before the market opened, you most definitely can, but its’s just riskier. What I would do is, wait 3-10 minutes after market open and if one Moving Average is respecting the other and holding above or below it, you can enter especially if the blow is bullish, the vStrat Algo 1.0 will also tell you if the candles are bearish or bullish. Use your best judgement. i.ibb.co [ 3. You do not have to wait for the exit signal, everyone's risk management is different so take profits whenever you're green or hold as long as the short-term MA is still trending above or below the long-term MA and is not touching or bouncing off it. i.ibb.co 4. Avoid taking any signals from 11:30 AM ET - 2:30 PM ET, when stocks are trading sideways since the algo’s stop losses get triggered here due to the low volume. i.ibb.co 5. Lastly, there is no magic indicator or strategy, this algorithm is designed based on multiple conditions. Each signal gets triggered when ALL the conditions are met. This strategy is based off advanced moving averages, one that reduces lag and responds quicker than the simple and exponential ones, RSI value, S/R, pivot points, and a few others. I’m always looking for ways to improve this scalping algorithm so rest assured any complaints or suggestions will be taken and fixed as timely as possible. For best results, avoid trading with your emotions. If you’re a new user, open a small position, set a stop loss, and let the algorithm decide how you will trade it for that day. Keep doing this until you get more familiar with the script then slowly increase your position sizing, but do not invest money you can’t afford to lose. Play with the settings, change the lengths if you wish, but the script was created to provide the most accurate signals as it is. If you do decide to change these inputs, the signals will also be different. Take profits whenever you see fit, the goal is to have a green day and grow your account slowly but surely. If you make a profit, do not risk giving your money back to the market by overtrading. Always do your own due diligence and use your best judgement. Good luck, Traders! DISCLAIMER : All information found here, including any ideas, opinions, views, predictions, forecasts, commentaries, suggestions, or stock picks, expressed, or implied herein, are for informational, entertainment or educational purposes only and should not be construed as personal investment advice. While the information provided is believed to be accurate, it may include errors or inaccuracies. Conduct your own due diligence or consult a licensed financial advisor or broker before making any and all investment decisions. Any investments, trades, speculations, or decisions made on the basis of any information found on this site, expressed, or implied herein, are committed at your own risk, financial or otherwise.
Pine Script™ strategy
by thetakiller_
231
Standard Deviation ModelsBITFINEX:BTCUSD The standard deviation model can be used for options traders that are selling options contracts to collect a premium to identify a specific range of strike prices which are optimal for selling based on the underlying asset’s historical price fluctuations. Traders will be able to identify the statistical likelihood that their options contract will be in the money (ITM) or out of the money (OTM). Basic statistics of normal distributions (probability curve): -1 SD to +1 SD = 68% likelihood -2 SD to + 2 SD = 95% likelihood -3 SD to +3 SD = 99% likelihood
Pine Script™ indicator
by ProfessorSatoshi
2
Weekly Put SaleWeekly Put Sale This study is a tool I use for selling weekly puts at the suggested strike prices. 1. The suggested strike prices are based on the weekly high minus an ATR multiple which can be adjusted in the settings 2. You can also adjust the settings to Monthly strike prices if you prefer selling options further out 3. I suggest looking for Put sale premium that is between 0.25% to 0.75% of the strike price for weekly Puts and 1% to 3% of the strike price for monthly Puts Disclaimers: Selling Puts is an advanced strategy that is risky if you are not prepared to acquire the stock at the strike price you sell at on the expiration date. You must make your own decisions as you will bear the risks associated with any trades you place. To sum it up, trading is risky, and do so at your own risk.
Pine Script™ indicator
by Dustin_D_RLT
4
MTF - Options Strike Price - Screener & AlertsHi fellow traders , Pleased to share an MTF – Option Strike Price Screener. It Screens 15 tickers for your set Strike Prices in the input column or you can also set the Stop Loss/target prices for your portfolio watch list in a single input window. All you need to do is attach to any chart and set the periodicity of the to your desired alert() frequency requirement. Now go to the input settings icon of the script and set your tickers, timeframe and option strike prices or if you would like to track your individual ticker stop loss or target prices! Set the alert from the menu as usual click - Any alert() function call and bingo you are done!! In all of 2-3 minutes you can set your Option Strike Alerts or TP’s or SL’s for 15 stocks of your portfolio.. Only a single alert() will track 15 tickers across multiple time frames.. Once your Alert is hit you may need to change the input settings and save as default and again set an alert() and delete the last alert().. No more opening multiple charts and setting individual time consuming alerts(). Happy trading with TV..
Pine Script™ indicator
by sharaaU7
2
Strangle MoverStrangle Mover is an indicator especially made for option writer / seller who wants to do strangle and adjust the position based on the market trend / movement. It can be use for iron condor strategy too. Settings: User must know the settings of the indicator before using . First one is Option Strike Difference , user need to enter the correct option strike difference of the particular instrument / stock / indices, one can get it from option chain. For example, Nifty having 50 points differences in each option strike and bank nifty having 100 points. So, Nifty user must enter 50 and Bank nifty user must enter 100 in this setting. Second is strangle distance multiply , user can choose the distance from the trend price. For example, nifty user selects 3, strangle line starts showing (3*50) 150 points away strike from the trend area. Third is Length, default value is 20 which generally used in vwma, donchian channel and other trend finding indicators. User can change if need. Note: Option Strike Difference and Strangle Distance Multiply is very important setting to use this indicator. User must do adjustments based on their own risk and strategy. This indicator is only for education purpose.
Pine Script™ indicator
by Saravanan_Ragavan
5
vol_bracketThis simple script shows an "N" standard deviation volatility bracket, anchored at the opening price of the current month, week, or quarter. This anchor is meant to coincide roughly with the expiration of options issued at the same interval. You can choose between a manually-entered IV or the hv30 volatility model. Unlike my previous scripts, which all show the volatility bracket as a rolling figure, the anchor helps to visualize the volatility estimate in relation to price as it ranges over the (approximate) lifetime of a single, real contract.
Pine Script™ indicator
by taylor_o
3
Straddle / Ironfly AdjustmentStraddle / Iron fly Adjustment is an indicator to assist (especially) Nifty / Bank Nifty Option Writers / Sellers (other instrument writers also) to draw their straddle / iron fly payoff diagram in the chart, mainly max profit and breakeven points and do adjustment based on the market movement. Basic Idea: (My Conclusion for making this Indicator) 1) For Straddle / Iron fly writers need to adjust their position based on the market movement. 2) Here I give two adjustment ideas which one is my favorite method and another one is one of my friends is using. a) Price Vs Time based Adjustment I usually wait until price cross the price vs time line to do any adjustment. Generally, price vs time-based adjustment gives you more point to enter any adjustment in initial day/time when you created the straddle / iron fly. But one later it will reduce the range it become narrow. b) Percentage based Adjustment This method using by one of my friends which is based percentage between straddle / iron fly line and upper / lower breakeven points. Generally, he using 50 percentage. In this indicator we do have option to change the percentage between 25 to 100. User must give inputs to see the straddle / iron fly diagram (Max Profit, Breakeven points, Adjustment, Percentage based adjust line and so) This is not an intraday indicator and also its not suggesting you to take any buy/sell or straddle/iron fly positions. Its just giving an opportunity to draw a payoff diagram of for max profit and breakeven zone. And also helps to identify the adjustment based given scenario. Happy Trading 😊 Saravanan Ragavan
Pine Script™ indicator
by Saravanan_Ragavan
4
Binary Option Strategy Tester with MartingaleIn Binary options, strategy testing is a bit different. The script is just a try to test Binary options strategies. Assumption: We are opening position at next candle after signal come We are taking the position at opening price Our call will be profitable if we get a green candle and put will be profitable if we get a red candle We can open only one trade at a time. So if we are in trade, subsequent signals will be ignored. The script is not counting your profit or loss, it just counting the winning and losing trades. Input Options: Choose long only or short only test. Default is both. You can continue your trade with Martingale Level, up to 5. Default is 1 (no Martingale) You can choose Martingale trade type SAME: if call subsequent trade will be call only and vice versa OPPOSITE: if call subsequent trade will be put FOLLOW CANDLE COLOR: Subsequent trade will follow previous candle color OPPOSITE CANDLE COLOR: Subsequent trade will opposite of previous candle color You can choose trading session to test. Default is false. The strategy is taken from Vdub Binary Options SniperVX v1 (by @vdubus) . I have deleted extra parts and kept only the necessary part. Without Martingale Result Table With Martingale I am very new to Pine script, so waiting for your comments and review.
Pine Script™ indicator
by tanayroy
16
pricing_tableThis script helps you evaluate the fair value of an option. It poses the question "if I bought or sold an option under these circumstances in the past, would it have expired in the money, or worthless? What would be its expected value, at expiration, if I opened a position at N standard deviations, given the volatility forecast, with M days to expiration at the close of every previous trading day?" The default (and only) "hv" volatility forecast is based on the assumption that today's volatility will hold for the next M days. To use this script, only one step is mandatory. You must first select days to expiration. The script will not do anything until this value is changed from the default (-1). These should be CALENDAR days. The script will convert to these to business days for forecasting and valuation, as trading in most contracts occurs over ~250 business days per year. Adjust any other variables as desired: model: the volatility forecasting model window: the number of periods for a lagged model (e.g. hv) filter: a filter to remove forecasts from the sample filter type: "none" (do not use the filter), "less than" (keep forecasts when filter < volatility), "greater than" (keep forecasts when filter > volatility) filter value: a whole number percentage. see example below discount rate: to discount the expected value to present value precision: number of decimals in output trim outliers: omit upper N % of (generally itm) contracts The theoretical values are based on history. For example, suppose days to expiration is 30. On every bar, the 30 days ago N deviation forecast value is compared to the present price. If the price is above the forecast value, the contract has expired in the money; otherwise, it has expired worthless. The theoretical value is the average of every such sample. The itm probabilities are calculated the same way. The default (and only) volatility model is a 20 period EWMA derived historical (realized) volatility. Feel free to extend the script by adding your own. The filter parameters can be used to remove some forecasts from the sample. Example A: filter: filter type: none filter value: Default: the filter is not used; all forecasts are included in the the sample. Example B: filter: model filter type: less than filter value: 50 If the model is "hv", this will remove all forecasts when the historical volatility is greater than fifty. Example C: filter: rank filter type: greater than filter value: 75 If the model volatility is in the top 25% of the previous year's range, the forecast will be included in the sample apart from "model" there are some common volatility indexes to choose from, such as Nasdaq (VXN), crude oil (OVX), emerging markets (VXFXI), S&P; (VIX) etc. Refer to the middle-right table to see the current forecast value, its rank among the last 252 days, and the number of business days until expiration. NOTE: This script is meant for the daily chart only.
Pine Script™ indicator
by taylor_o
4
vertical_pricer USAGE 1. Select the type of contract (call or put), the long strike, and the width. 2. Select the volatility model 3. The standard deviation is shown, enter it into the input. The tool gives a theoretical price of a vertical spread, based on a historical sample. The test assumes that a spread of equal width was sold on every prior trading day at the given standard deviation, based on the volatility model and duration of the contract. For example, if the 20 dte 110 strike is presently two standard deviations based on the 30 period historical volatility, then the theoretical value is the average price all 2SD (at 20 dte) calls upon expiration, limited by the width of the spread and normalized according to the present value of the underlying. Other statistics include: - The number of spreads in the sample, and percentage expired itm - The median value at expiration - The Nth percentile value of spreads at expiration - The number of spreads that expired at max loss Check the script comments and release notes for further updates, since Tradingview doesn't allow me to edit this description.
Pine Script™ indicator
by taylor_o