Option Range Projector PRO (with Alerts)

3 hari lalu

Indicator Name: Option Range Projector PRO (with Alerts)
Short Description
This is a powerful and flexible tool for traders that visualizes expected price movement ranges based on option pricing principles and statistical deviations. The indicator plots standard deviation levels (Sigmas) and boundaries calculated from the price of an options Straddle, providing a unique insight into market volatility expectations.

It is ideal for options traders, as well as those who trade futures or spot assets and want to gain an edge by understanding where the market anticipates price boundaries on a specific date.

Core Concepts
The indicator is based on three key ideas:

Standard Deviation (Sigma, σ): In statistics, this is a measure of value dispersion. In trading, when applied to prices, standard deviation levels show the probable range within which the price is expected to remain until a specific date (expiration).

±1σ (1 Sigma): Approximately 68.2% probability that the price will stay within this range.

±2σ (2 Sigmas): Approximately 95.4% probability. These levels often act as strong support/resistance.

±3σ (3 Sigmas): Approximately 99.7% probability. Reaching these levels is a statistically rare event.

Implied Volatility (IV): This is a key component. IV is the market's forecast of the asset's future volatility. It is derived from current option prices and reflects how significant the price movements are expected to be by traders. The higher the IV, the wider the calculated ranges will be.

Straddle-Based Levels: A straddle is an options strategy involving the simultaneous purchase of a Call and a Put option with the same strike price and expiration date. The cost of this combination (Call + Put) directly reflects the market's expected price movement in points. Our indicator uses this value to construct alternative, highly accurate boundaries of the expected range.

Key Features
Flexible Expiration Choice: Easily switch between standard contracts (Weekly, Monthly, Quarterly) or set any custom number of days to expiration (DTE).

Dual Volatility Calculation Mode: Use automatic calculation based on historical data or enter a precise IV value manually (e.g., from your broker's terminal) for maximum accuracy.

Two Types of Predictive Levels: Visualize classic standard deviations (Sigmas) and/or levels calculated from the Straddle price for a comprehensive analysis.

Expiration Comparison: Enable the display of additional levels for a different expiration date to visually compare short-term and long-term market expectations.

"Greeks" Calculation: The indicator calculates and displays key option Greeks (Delta, Gamma, Theta, Vega), helping to deepen the understanding of an option position's characteristics.

Informative Table: All key data—ATM price, IV, DTE, level prices, Greeks, and option prices—are consolidated into one clear table for quick analysis.

Customizable Alerts: Get instant notifications directly in TradingView when the price crosses any of the important levels (±1σ, ±2σ, ±3σ).

Full Visual Customization: Control colors, line thickness, labels, and zone fills to adapt the indicator to your trading style.

How to Use (Settings)
Price Settings:

Auto-detect ATM Price: When enabled, the indicator will use the current closing price as the At-The-Money (ATM) price.

Manual ATM Price: If auto mode is disabled, you can set a precise ATM price manually.

Volatility Settings:

Auto-calculate IV: Calculates historical volatility over a specified period. Useful if you don't have access to real-time IV.

Manual IV Value: (Recommended for accuracy). Enter the Implied Volatility (IV) value for the desired strike from your brokerage terminal or analytical services here.

Expiration:

Contract Type: Choose one of the standard terms (Weekly, Monthly, Quarterly) or "Custom" to use a manual day input.

Days to Expiration: Active only for the "Custom" type.

Show Multiple Expirations: Enables a second set of levels with a different term for comparison.

Straddle Boundaries:

Use Manual Input: Allows you to enter the precise Call and Put Settle prices from the official exchange summary (e.g., from the CME website). This provides the most accurate boundaries based on real market prices.

Trading Ideas and Application
Mean Reversion Trading: The ±2σ and ±3σ levels often act as strong overbought/oversold zones. A price reaching these extreme values has a high statistical probability of reversing or correcting back towards the central ATM price.

Trend Confirmation and Breakouts: A confident close outside the ±1σ range can indicate the beginning of a strong directional move.

Risk Management: Use the levels to set stop-losses or determine profit targets. For example, when opening a trade near the +1σ level, you might consider a target at +2σ and place a stop-loss behind the ATM level.

Volatility Analysis: By comparing the width of the ranges for different expirations, you can assess how the market is pricing short-term versus long-term risks. A narrow range suggests low expectations, while a wide range indicates high ones.

Disclaimer: This indicator is an analysis tool and does not provide direct financial advice or trading signals. All trading decisions are your own. Use this indicator in conjunction with other analysis methods.

kelmarin

Nota Keluaran

In the latest update to the script, the following changes were implemented:

- Moved manual input fields for `manualDelta`, `manualGamma`, `manualVega`, and `manualTheta` from the `greeksGroup` to the `straddleGroup`, making them available specifically when `useManualStraddle` and `straddleCalcMethod` is set to "With Greeks".
- Updated the `greeksGroup` to be empty, with a tooltip indicating that Greek values are now managed within the straddle settings.
- Modified the `straddleCalcMethod` tooltip to reflect the use of all four Greeks (Delta, Gamma, Vega, Theta) for the "With Greeks" option.
- Enhanced the straddle calculation logic:
- When `useManualStraddle` is true, `straddlePrice` is calculated as `manualCallSettle + manualPutSettle`.
- For `straddleCalcMethod` set to `"Call+Put"`, it uses the standard `atmPrice ± straddlePrice` for level calculations.
- For `straddleCalcMethod` set to `"With Greeks"`, it applies a comprehensive adjustment using manual Greek values:
- `deltaAdjustment = delta * (atmPrice * 0.01)` (1% change in underlying price).
- `vegaAdjustment = vega * (manualIv * 0.01)` (1% change in implied volatility).
- `gammaAdjustment = gamma * math.pow(atmPrice * 0.01, 2) / 2` (second-order price sensitivity).
- `thetaAdjustment = theta * (1 / 365.0)` (daily time decay, assuming 365 days per year).
- `adjustedAtmPrice = atmPrice + deltaAdjustment + vegaAdjustment + gammaAdjustment + thetaAdjustment`, which is then used to calculate `straddlePlus1`, `straddleMinus1`, etc.
- Kept the table settings with `showTableGreeks` as `false` to exclude Greeks from display.
- No changes were made to plotting, labels, filling, or alerts, as they remain unaffected by this update.