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Strike Implied Volatility based on Option Prices
Strike Implied Volatility based on Option Prices (All NSE F&O Indices and Stocks)
The indicator calculates the Implied Volatility (IV) for a manually selected strike (ATM or Otherwise) and expiry date using the Black-Scholes model.
It is designed to work on any underlying chart (e.g., NIFTY, BANKNIFTY, SENSEX, or F&O stocks) by requesting the relevant option prices in the background, and allows traders to analyze the IV behavior of a specific strike over time.
Key Features:
1. Works on Underlying Chart:
Apply the indicator on the underlying (e.g., NIFTY, BANKNIFTY, FINNIFTY, etc.) — it will automatically construct the correct option symbols (CE and PE) based on the strike and expiry and fetch real-time option prices.
2. IV Calculation:
Calculates Call IV (green), Put IV (red), and their average (blue) using option prices.
3. Status Line Display:
Displays the IVs, strike, option prices in the status line for easy viewing.
Inputs:
1. Enter Strike (Mandatory): Strike price of the option you wish to analyze.
2. Expiry Date (Mandatory): Full expiry timestamp. Time by default to 15:30 IST on expiry day.
3. Risk Free Rate (%): Default is 7.00% - typically based on prevailing bond yields.
4. Dividend Yield (%): Default is 0.00% - adjust if underlying pays dividends.
Plots:
1. Call IV – Green
2. Put IV – Red
3. Avg IV – Blue
4. Call & Put Option Prices – Shown in status line only
Disclaimer:
This indicator is provided for educational and informational purposes only and is not intended as financial advice, investment recommendation, or trading signal. Options trading involves significant risk of loss and is not suitable for all investors. The calculations rely on the Black-Scholes model, which assumes constant volatility, no dividends (unless specified), and other simplifications that may not reflect real market conditions. Always verify data accuracy, consult a financial advisor, and use at your own risk. The author assumes no liability for any losses incurred.
The indicator calculates the Implied Volatility (IV) for a manually selected strike (ATM or Otherwise) and expiry date using the Black-Scholes model.
It is designed to work on any underlying chart (e.g., NIFTY, BANKNIFTY, SENSEX, or F&O stocks) by requesting the relevant option prices in the background, and allows traders to analyze the IV behavior of a specific strike over time.
Key Features:
1. Works on Underlying Chart:
Apply the indicator on the underlying (e.g., NIFTY, BANKNIFTY, FINNIFTY, etc.) — it will automatically construct the correct option symbols (CE and PE) based on the strike and expiry and fetch real-time option prices.
2. IV Calculation:
Calculates Call IV (green), Put IV (red), and their average (blue) using option prices.
3. Status Line Display:
Displays the IVs, strike, option prices in the status line for easy viewing.
Inputs:
1. Enter Strike (Mandatory): Strike price of the option you wish to analyze.
2. Expiry Date (Mandatory): Full expiry timestamp. Time by default to 15:30 IST on expiry day.
3. Risk Free Rate (%): Default is 7.00% - typically based on prevailing bond yields.
4. Dividend Yield (%): Default is 0.00% - adjust if underlying pays dividends.
Plots:
1. Call IV – Green
2. Put IV – Red
3. Avg IV – Blue
4. Call & Put Option Prices – Shown in status line only
Disclaimer:
This indicator is provided for educational and informational purposes only and is not intended as financial advice, investment recommendation, or trading signal. Options trading involves significant risk of loss and is not suitable for all investors. The calculations rely on the Black-Scholes model, which assumes constant volatility, no dividends (unless specified), and other simplifications that may not reflect real market conditions. Always verify data accuracy, consult a financial advisor, and use at your own risk. The author assumes no liability for any losses incurred.
Skrip dilindungi
Skrip ini diterbitkan sebagai sumber tertutup. Akan tetapi, anda boleh menggunakannya dengan percuma dan tanpa had – ketahui lebih lanjut di sini.
Penafian
Maklumat dan penerbitan adalah tidak dimaksudkan untuk menjadi, dan tidak membentuk, nasihat untuk kewangan, pelaburan, perdagangan dan jenis-jenis lain atau cadangan yang dibekalkan atau disahkan oleh TradingView. Baca dengan lebih lanjut di Terma Penggunaan.
Skrip dilindungi
Skrip ini diterbitkan sebagai sumber tertutup. Akan tetapi, anda boleh menggunakannya dengan percuma dan tanpa had – ketahui lebih lanjut di sini.
Penafian
Maklumat dan penerbitan adalah tidak dimaksudkan untuk menjadi, dan tidak membentuk, nasihat untuk kewangan, pelaburan, perdagangan dan jenis-jenis lain atau cadangan yang dibekalkan atau disahkan oleh TradingView. Baca dengan lebih lanjut di Terma Penggunaan.