Volatility Price TargetsPrints lines on the chart marking the price points for the standard deviation move using historical volatility. This script was born out of a need to easily spot target points for the wings of my Iron Condor Options trades. The study only shows on the Daily chart. Volatility is calculated based on the standard deviation of the daily returns of price. Price targets are calculated off yesterday's closing price and will not reprint.
Inputs
Days to Expiration - allow you to enter the number of days to expiration for the option, default is 30 for those monthly options traders but can be adjusted to your desire.
Standard Deviation - you can enter the number of deviations for which to calculate the price points 1,2, or 3.
Days in Year - you can adjust the number of days in the year used to calculate the daily volatility multiplier.
Butterflyspread
Implied Volatility PercentileThis script calculates the Implied Volatility (IV) based on the daily returns of price using a standard deviation. It then annualizes the 30 day average to create the historical Implied Volatility. This indicator is intended to measure the IV for options traders but could also provide information for equities traders to show how price is extended in the expected price range based on the historical volatility.
The IV Rank (Green line) is then calculated by looking at the high and low volatility over the number of days back specified in the input parameter, default is 252 (trading days in 1 year) and then calculating the rank of the current IV compared to the High and Low. This is not as reliable as the IV Percentile as the and extreme high or low could have a side effect on the ranking but it is included for those that want to use.
The IV Percentile is calculated by counting the number of days below the current IV, then returns this as a % of the days back in the input
You can adjust the number of days back to check the IV Rank & IV Percentile if you are not wanting to look back a whole year.
This will only work on Daily or higher timeframe charts.
Future Iron Condor / Butterfly buy or sell indicatorFuture Iron Condor / butterfly indicator developed by Chobotaru Brothers.
You need to have basic knowledge in option trading to use this indicator!
The indicator shows P&L lines of the options strategy. Use only for futures since the mathematical model of options for Future instruments is different from stocks. Plus, the days' representation in futures is also different from stocks (stocks have fewer days than futures ).
***Each strategy in options is based on different mathematical equations, use this indicator only for the strategy in the headline.***
What does the indicator do?
The indicator is based on the Black-Scholes model, which uses partial differential equations to determine the option pricing. Due to options non-linear behavior, it is hard to visualize the option price. The indicator calculates the solutions of the Black-Scholes equation and plots them on the chart so traders can view how the option pricing will behave.
How the indicator does it?
The indicator uses five values (four dominants and one less dominant) to solve the Black-Scholes equation. The values are stock price, the strike price of the option, time to expiration, risk-free interest rate, and implied volatility .
How the indicator help the users?
-View the risks and rewards so you can know the profit targets in advance which means you can compare different options in different strikes.
-View the volatility change impact so you can know the risk and the P&L changes in case of a change in the volatility over the life of the option before you enter the trade.
-View the passage of time impact so you can know where and when you could realize a profit.
-Multi-timeframes so you can stay on the same chart (Daily and below).
All these features are to help the user improve his analysis while trading options.
How to use it?
The user needs to obtain from the “option chain” the following inputs:
-Buy or sell (the strategy)
- Iron Condor price bought/sold: enter the price that you bought/sold one options strategy.
-Instrument price when bought/sold: the stock price when you bought/sold the options strategy.
-Upper strike price Top: the top upper strike price of the options strategy.
-Lower strike price Top: the top lower strike price of the options strategy.
-Upper strike price Bottom: the bottom upper strike price of the options strategy.
-Lower strike price Bottom: the bottom lower strike price of the options strategy.
-Interest rate: find the risk-free interest rate from the U.S. DEPARTMENT OF THE TREASURY. Example: for 2% interest rate, input: 0.02.
-Days to expire: how many days until the option expires.
-Volatility: the implied volatility of the option bought/sold. Example: for 45% implied volatility , input: 0.45.
-Day of entry: A calendar day of the month that the option bought/sold.
-Month of entry: Calendar month the option bought/sold.
-Year of entry: Calendar year the option bought/sold.
-% of Profit/Loss: Profit/loss line defined by the user. Minimum input (-0.95) ; maximum input (0.95).
Example: If the strategy was bought, -0.95 means, 95% of the options strategy maximum loss is reached. : If the strategy was bought, 0.95 means, 95% of the options strategy maximum profit is reached.
After entering all the inputs, press Ok and you should see “Calculation Complete” on the chart.
The user should not change the entry date and days to expire inputs as time passes after he entered the trade.
How to access the indicator?
Use the link below to obtain access to the indicator
Iron Condor / butterfly buy or sell indicatorIron Condor / butterfly indicator developed by Chobotaru Brothers.
You need to have basic knowledge in option trading to use this indicator!
The indicator shows P&L lines of the options strategy. Use only for stocks since the mathematical model of options for Future instruments is different from stocks. Plus, the days' representation in futures is also different from stocks (stocks have fewer days than futures ).
***Each strategy in options is based on different mathematical equations, use this indicator only for the strategy in the headline.***
What does the indicator do?
The indicator is based on the Black-Scholes model, which uses partial differential equations to determine the option pricing. Due to options non-linear behavior, it is hard to visualize the option price. The indicator calculates the solutions of the Black-Scholes equation and plots them on the chart so traders can view how the option pricing will behave.
How the indicator does it?
The indicator uses five values (four dominants and one less dominant) to solve the Black-Scholes equation. The values are stock price, the strike price of the option, time to expiration, risk-free interest rate, and implied volatility .
How the indicator help the users?
-View the risks and rewards so you can know the profit targets in advance which means you can compare different options in different strikes.
-View the volatility change impact so you can know the risk and the P&L changes in case of a change in the volatility over the life of the option before you enter the trade.
-View the passage of time impact so you can know where and when you could realize a profit.
-Multi-timeframes so you can stay on the same chart (Daily and below).
All these features are to help the user improve his analysis while trading options.
How to use it?
The user needs to obtain from the “option chain” the following inputs:
-Buy or sell (the strategy)
- Iron Condor price bought/sold: enter the price that you bought/sold one options strategy.
-Instrument price when bought/sold: the stock price when you bought/sold the options strategy.
-Upper strike price Top: the top upper strike price of the options strategy.
-Lower strike price Top: the top lower strike price of the options strategy.
-Upper strike price Bottom: the bottom upper strike price of the options strategy.
-Lower strike price Bottom: the bottom lower strike price of the options strategy.
-Interest rate: find the risk-free interest rate from the U.S. DEPARTMENT OF THE TREASURY. Example: for 2% interest rate, input: 0.02.
-Days to expire: how many days until the option expires.
-Volatility: the implied volatility of the option bought/sold. Example: for 45% implied volatility , input: 0.45.
-Day of entry: A calendar day of the month that the option bought/sold.
-Month of entry: Calendar month the option bought/sold.
-Year of entry: Calendar year the option bought/sold.
-% of Profit/Loss: Profit/loss line defined by the user. Minimum input (-0.95) ; maximum input (0.95).
Example: If the strategy was bought, -0.95 means, 95% of the options strategy maximum loss is reached. : If the strategy was bought, 0.95 means, 95% of the options strategy maximum profit is reached.
After entering all the inputs, press Ok and you should see “Calculation Complete” on the chart.
The user should not change the entry date and days to expire inputs as time passes after he entered the trade.
How to access the indicator?
Use the link below to obtain access to the indicator
