IVR — Penunjuk dan Strategi

Options Oscillator [Lite] IVRank, IVx, Call/Put Volatility Skew The first TradingView indicator that provides REAL IVRank, IVx, and CALL/PUT skew data based on REAL option chain for 5 U.S. market symbols. 🔃 Auto-Updating Option Metrics without refresh! 🍒 Developed and maintained by option traders for option traders. 📈 Specifically designed for TradingView users who trade options. 🔶 Ticker Information: This 'Lite' indicator is currently only available for 5 liquid U.S. market smbols : NASDAQ:TSLA AMEX:DIA NASDAQ:AAPL NASDAQ:AMZN and NYSE:ORCL 🔶 How does the indicator work and why is it unique? This Pine Script indicator is a complex tool designed to provide various option metrics and visualization tools for options market traders. The indicator extracts raw options data from an external data provider (ORATS), processes and refines the delayed data package using pineseed, and sends it to TradingView, visualizing the data using specific formulas (see detailed below) or interpolated values (e.g., delta distances). This method of incorporating options data into a visualization framework is unique and entirely innovative on TradingView. The indicator aims to offer a comprehensive view of the current state of options for the implemented instruments, including implied volatility (IV), IV rank (IVR), options skew, and expected market movements, which are objectively measured as detailed below. The options metrics we display may be familiar to options traders from various major brokerage platforms such as TastyTrade, IBKR, TOS, Tradier, TD Ameritrade, Schwab, etc. 🟨 The following data is displayed in the oscillator 🟨 We use Tastytrade formulas, so our numbers mostly align with theirs! 🔶 𝗜𝗩𝗥𝗮𝗻𝗸 The Implied Volatility Rank (IVR) helps options traders assess the current level of implied volatility (IV) in comparison to the past 52 weeks. IVR is a useful metric to determine whether options are relatively cheap or expensive. This can guide traders on whether to buy or sell options. IV Rank formula = (current IV - 52 week IV low) / (52 week IV high - 52 week IV low) IVRank is default blue and you can adjust their settings: 🔶 𝗜𝗩𝘅 𝗮𝘃𝗴 The implied volatility (IVx) shown in the option chain is calculated like the VIX. The Cboe uses standard and weekly SPX options to measure expected S&P 500 volatility. A similar method is used for calculating IVx for each expiration cycle. We aggregate the IVx values for the 35-70 day monthly expiration cycle, and use that value in the oscillator and info panel. We always display which expiration the IVx values are averaged for when you hover over the IVx cell. IVx main color is purple, but you can change the settings: 🔹IVx 5 days change % We are also displaying the five-day change of the IV Index (IVx value). The IV Index 5-Day Change column provides quick insight into recent expansions or decreases in implied volatility over the last five trading days. Traders who expect the value of options to decrease might view a decrease in IVX as a positive signal. Strategies such as Strangle and Ratio Spread can benefit from this decrease. On the other hand, traders anticipating further increases in IVX will focus on the rising IVX values. Strategies like Calendar Spread or Diagonal Spread can take advantage of increasing implied volatility. This indicator helps traders quickly assess changes in implied volatility, enabling them to make informed decisions based on their trading strategies and market expectations. Important Note: The IVx value alone does not provide sufficient context. There are stocks that inherently exhibit high IVx values. Therefore, it is crucial to consider IVx in conjunction with the Implied Volatility Rank (IVR), which measures the IVx relative to its own historical values. This combined view helps in accurately assessing the significance of the IVx in relation to the specific stock's typical volatility behavior. This indicator offers traders a comprehensive view of implied volatility, assisting them in making informed decisions by highlighting both the absolute and relative volatility measures. 🔶 𝗖𝗔𝗟𝗟/𝗣𝗨𝗧 𝗣𝗿𝗶𝗰𝗶𝗻𝗴 𝗦𝗸𝗲𝘄 𝗵𝗶𝘀𝘁𝗼𝗴𝗿𝗮𝗺 At TanukiTrade, Vertical Pricing Skew refers to the difference in pricing between put and call options with the same expiration date at the same distance (at tastytrade binary expected move). We analyze this skew to understand market sentiment. This is the same formula used by TastyTrade for calculations. We calculate the interpolated strike price based on the expected move, taking into account the neighboring option prices and their distances. This allows us to accurately determine whether the CALL or PUT options are more expensive. 🔹 What Causes Pricing Skew? The Theory Behind It The asymmetric pricing of PUT and CALL options is driven by the natural dynamics of the market. The theory is that when CALL options are more expensive than PUT options at the same distance from the current spot price, market participants are buying CALLs and selling PUTs, expecting a faster upward movement compared to a downward one . In the case of PUT skew, it's the opposite: participants are buying PUTs and selling CALLs , as they expect a potential downward move to happen more quickly than an upward one. An options trader can take advantage of this phenomenon by leveraging PUT pricing skew. For example, if they have a bullish outlook and both IVR and IVx are high and IV started decreasing, they can capitalize on this PUT skew with strategies like a jade lizard, broken wing butterfly, or short put. 🔴 PUT Skew 🔴 Put options are more expensive than call options, indicating the market expects a faster downward move (▽). This alone doesn't indicate which way the market will move (because nobody knows that), but the options chain pricing suggests that if the market moves downward, it could do so faster in velocity compared to a potential upward movement. 🔹 SPY PUT SKEW example: If AMEX:SPY PUT option prices are 46% higher than CALLs at the same distance for the optimal next monthly expiry (DTE). This alone doesn't indicate which way the market will move (because nobody knows that), but the options chain pricing suggests that if the market moves downward, it could do so 46% faster in velocity compared to a potential upward movement 🟢 CALL Skew 🟢 Call options are more expensive than put options, indicating the market expects a faster upward move (△). This alone doesn't indicate which way the market will move (because nobody knows that), but the options chain pricing suggests that if the market moves upward, it could do so faster in velocity compared to a potential downward movement. 🔹 INTC CALL SKEW example: If NASDAQ:INTC CALL option prices are 49% higher than PUTs at the same distance for the optimal next monthly expiry (DTE). This alone doesn't indicate which way the market will move (because nobody knows that), but the options chain pricing suggests that if the market moves upward, it could do so 49% faster in velocity compared to a potential downward movement . 🔶 USAGE example: The script is compatible with our other options indicators. For example: Since the main metrics are already available in this Options Oscillator, you can hide the main IVR panel of our Options Overlay indicator, freeing up more space on the chart. The following image shows this: 🔶 ADDITIONAL IMPORTANT COMMENTS 🔹 Historical Data: Yes, we only using historical internal metrics dating back to 2024-07-01, when the TanukiTrade options brand launched. For now, we're using these, but we may expand the historical data in the future. 🔹 What distance does the indicator use to measure the call/put pricing skew?: It is important to highlight that this oscillator displays the call/put pricing skew changes for the next optimal monthly expiration on a histogram. The Binary Expected Move distance is calculated using the TastyTrade method for the next optimal monthly expiration: Formula = (ATM straddle price x 0.6) + (1st OTM strangle price x 0.3) + (2nd OTM strangle price x 0.1) We interpolate the exact difference based on the neighboring strikes at the binary expected move distance using the TastyTrade method, and compare the interpolated call and put prices at this specific point. 🔹 - Why is there a slight difference between the displayed data and my live brokerage data? There are two reasons for this, and one is beyond our control. ◎ Option-data update frequency: According to TradingView's regulations and guidelines, we can update external data a maximum of 5 times per day. We strive to use these updates in the most optimal way: (1st update) 15 minutes after U.S. market open (2nd, 3rd, 4th updates) 1.5–3 hours during U.S. market open hours (5th update) 10 minutes before U.S. market close. You don’t need to refresh your window, our last refreshed data-pack is always automatically applied to your indicator, and you can see the time elapsed since the last update at the bottom of the corner on daily TF. ◎ Brokerage Calculation Differences: Every brokerage has slight differences in how they calculate metrics like IV and IVx. If you open three windows for TOS, TastyTrade, and IBKR side by side, you will notice that the values are minimally different. We had to choose a standard, so we use the formulas and mathematical models described by TastyTrade when analyzing the options chain and drawing conclusions. 🔹 - EOD data: The indicator always displays end-of-day (EOD) data for IVR, IV, and CALL/PUT pricing skew. During trading hours, it shows the current values for the ongoing day with each update, and at market close, these values become final. From that point on, the data is considered EOD, provided the day confirms as a closed daily candle. 🔹 - U.S. market only: Since we only deal with liquid option chains: this option indicator only works for the USA options market and do not include future contracts; we have implemented each selected symbol individually. Disclaimer: Our option indicator uses approximately 15min-3 hour delayed option market snapshot data to calculate the main option metrics. Exact realtime option contract prices are never displayed; only derived metrics and interpolated delta are shown to ensure accurate and consistent visualization. Due to the above, this indicator can only be used for decision support; exclusive decisions cannot be made based on this indicator. We reserve the right to make errors.This indicator is designed for options traders who understand what they are doing. It assumes that they are familiar with options and can make well-informed, independent decisions. We work with public data and are not a data provider; therefore, we do not bear any financial or other liability.

Options Oscillator [PRO] IVRank, IVx, Call/Put Volatility Skew 𝗧𝗵𝗲 𝗳𝗶𝗿𝘀𝘁 𝗧𝗿𝗮𝗱𝗶𝗻𝗴𝗩𝗶𝗲𝘄 𝗶𝗻𝗱𝗶𝗰𝗮𝘁𝗼𝗿 𝘁𝗵𝗮𝘁 𝗽𝗿𝗼𝘃𝗶𝗱𝗲𝘀 𝗥𝗘𝗔𝗟 𝗜𝗩𝗥𝗮𝗻𝗸, 𝗜𝗩𝘅, 𝗮𝗻𝗱 𝗖𝗔𝗟𝗟/𝗣𝗨𝗧 𝘀𝗸𝗲𝘄 𝗱𝗮𝘁𝗮 𝗯𝗮𝘀𝗲𝗱 𝗼𝗻 𝗥𝗘𝗔𝗟 𝗼𝗽𝘁𝗶𝗼𝗻 𝗰𝗵𝗮𝗶𝗻 𝗳𝗼𝗿 𝗼𝘃𝗲𝗿 𝟭𝟲𝟱+ 𝗺𝗼𝘀𝘁 𝗹𝗶𝗾𝘂𝗶𝗱 𝗨.𝗦. 𝗺𝗮𝗿𝗸𝗲𝘁 𝘀𝘆𝗺𝗯𝗼𝗹𝘀 🔃 Auto-Updating Option Metrics without refresh! 🍒 Developed and maintained by option traders for option traders. 📈 Specifically designed for TradingView users who trade options. 🔶 Ticker Information: This indicator is currently only available for over 165+ most liquid U.S. market symbols (eg. SP:SPX AMEX:SPY NASDAQ:QQQ NASDAQ:TLT NASDAQ:NVDA , etc.. ), and we are continuously expanding the compatible watchlist here: www.tradingview.com 🔶 How does the indicator work and why is it unique? This Pine Script indicator is a complex tool designed to provide various option metrics and visualization tools for options market traders. The indicator extracts raw options data from an external data provider (ORATS), processes and refines the delayed data package using pineseed, and sends it to TradingView, visualizing the data using specific formulas (see detailed below) or interpolated values (e.g., delta distances). This method of incorporating options data into a visualization framework is unique and entirely innovative on TradingView. The indicator aims to offer a comprehensive view of the current state of options for the implemented instruments, including implied volatility (IV), IV rank (IVR), options skew, and expected market movements, which are objectively measured as detailed below. The options metrics we display may be familiar to options traders from various major brokerage platforms such as TastyTrade, IBKR, TOS, Tradier, TD Ameritrade, Schwab, etc. 🟨 The following data is displayed in the oscillator 🟨 We use Tastytrade formulas, so our numbers mostly align with theirs! 🔶 𝗜𝗩𝗥𝗮𝗻𝗸 The Implied Volatility Rank (IVR) helps options traders assess the current level of implied volatility (IV) in comparison to the past 52 weeks. IVR is a useful metric to determine whether options are relatively cheap or expensive. This can guide traders on whether to buy or sell options. IV Rank formula = (current IV - 52 week IV low) / (52 week IV high - 52 week IV low) IVRank is default blue and you can adjust their settings: 🔶 𝗜𝗩𝘅 𝗮𝘃𝗴 The implied volatility (IVx) shown in the option chain is calculated like the VIX. The Cboe uses standard and weekly SPX options to measure expected S&P 500 volatility. A similar method is used for calculating IVx for each expiration cycle. We aggregate the IVx values for the 35-70 day monthly expiration cycle, and use that value in the oscillator and info panel. We always display which expiration the IVx values are averaged for when you hover over the IVx cell. IVx main color is purple, but you can change the settings: 🔹 IVx 5 days change % We are also displaying the five-day change of the IV Index (IVx value). The IV Index 5-Day Change column provides quick insight into recent expansions or decreases in implied volatility over the last five trading days. Traders who expect the value of options to decrease might view a decrease in IVX as a positive signal. Strategies such as Strangle and Ratio Spread can benefit from this decrease. On the other hand, traders anticipating further increases in IVX will focus on the rising IVX values. Strategies like Calendar Spread or Diagonal Spread can take advantage of increasing implied volatility. This indicator helps traders quickly assess changes in implied volatility, enabling them to make informed decisions based on their trading strategies and market expectations. Important Note: The IVx value alone does not provide sufficient context. There are stocks that inherently exhibit high IVx values. Therefore, it is crucial to consider IVx in conjunction with the Implied Volatility Rank (IVR), which measures the IVx relative to its own historical values. This combined view helps in accurately assessing the significance of the IVx in relation to the specific stock's typical volatility behavior. This indicator offers traders a comprehensive view of implied volatility, assisting them in making informed decisions by highlighting both the absolute and relative volatility measures. 🔶 𝗖𝗔𝗟𝗟/𝗣𝗨𝗧 𝗣𝗿𝗶𝗰𝗶𝗻𝗴 𝗦𝗸𝗲𝘄 𝗵𝗶𝘀𝘁𝗼𝗴𝗿𝗮𝗺 At TanukiTrade, Vertical Pricing Skew refers to the difference in pricing between put and call options with the same expiration date at the same distance (at tastytrade binary expected move). We analyze this skew to understand market sentiment. This is the same formula used by TastyTrade for calculations. We calculate the interpolated strike price based on the expected move, taking into account the neighboring option prices and their distances. This allows us to accurately determine whether the CALL or PUT options are more expensive. 🔹 What Causes Pricing Skew? The Theory Behind It The asymmetric pricing of PUT and CALL options is driven by the natural dynamics of the market. The theory is that when CALL options are more expensive than PUT options at the same distance from the current spot price, market participants are buying CALLs and selling PUTs, expecting a faster upward movement compared to a downward one . In the case of PUT skew, it's the opposite: participants are buying PUTs and selling CALLs , as they expect a potential downward move to happen more quickly than an upward one. An options trader can take advantage of this phenomenon by leveraging PUT pricing skew. For example, if they have a bullish outlook and both IVR and IVx are high and IV started decreasing, they can capitalize on this PUT skew with strategies like a jade lizard, broken wing butterfly, or short put. 🔴 PUT Skew 🔴 Put options are more expensive than call options, indicating the market expects a faster downward move (▽). This alone doesn't indicate which way the market will move (because nobody knows that), but the options chain pricing suggests that if the market moves downward, it could do so faster in velocity compared to a potential upward movement. 🔹 SPY PUT SKEW example: If AMEX:SPY PUT option prices are 46% higher than CALLs at the same distance for the optimal next monthly expiry (DTE). This alone doesn't indicate which way the market will move (because nobody knows that), but the options chain pricing suggests that if the market moves downward, it could do so 46% faster in velocity compared to a potential upward movement 🟢 CALL Skew 🟢 Call options are more expensive than put options, indicating the market expects a faster upward move (△). This alone doesn't indicate which way the market will move (because nobody knows that), but the options chain pricing suggests that if the market moves upward, it could do so faster in velocity compared to a potential downward movement. 🔹 INTC CALL SKEW example: If NASDAQ:INTC CALL option prices are 49% higher than PUTs at the same distance for the optimal next monthly expiry (DTE). This alone doesn't indicate which way the market will move (because nobody knows that), but the options chain pricing suggests that if the market moves upward, it could do so 49% faster in velocity compared to a potential downward movement . 🔶 USAGE example: The script is compatible with our other options indicators. For example: Since the main metrics are already available in this Options Oscillator, you can hide the main IVR panel of our Options Overlay indicator, freeing up more space on the chart. The following image shows this: 🔶 ADDITIONAL IMPORTANT COMMENTS 🔹 Historical Data: Yes, we only using historical internal metrics dating back to 2024-07-01, when the TanukiTrade options brand launched. For now, we're using these, but we may expand the historical data in the future. 🔹 What distance does the indicator use to measure the call/put pricing skew?: It is important to highlight that this oscillator displays the call/put pricing skew changes for the next optimal monthly expiration on a histogram. The Binary Expected Move distance is calculated using the TastyTrade method for the next optimal monthly expiration: Formula = (ATM straddle price x 0.6) + (1st OTM strangle price x 0.3) + (2nd OTM strangle price x 0.1) We interpolate the exact difference based on the neighboring strikes at the binary expected move distance using the TastyTrade method, and compare the interpolated call and put prices at this specific point. 🔹 - Why is there a slight difference between the displayed data and my live brokerage data? There are two reasons for this, and one is beyond our control. ◎ Option-data update frequency: According to TradingView's regulations and guidelines, we can update external data a maximum of 5 times per day. We strive to use these updates in the most optimal way: (1st update) 15 minutes after U.S. market open (2nd, 3rd, 4th updates) 1.5–3 hours during U.S. market open hours (5th update) 10 minutes before U.S. market close. You don’t need to refresh your window, our last refreshed data-pack is always automatically applied to your indicator, and you can see the time elapsed since the last update at the bottom of the corner on daily TF. ◎ Brokerage Calculation Differences: Every brokerage has slight differences in how they calculate metrics like IV and IVx. If you open three windows for TOS, TastyTrade, and IBKR side by side, you will notice that the values are minimally different. We had to choose a standard, so we use the formulas and mathematical models described by TastyTrade when analyzing the options chain and drawing conclusions. 🔹 - EOD data: The indicator always displays end-of-day (EOD) data for IVR, IV, and CALL/PUT pricing skew. During trading hours, it shows the current values for the ongoing day with each update, and at market close, these values become final. From that point on, the data is considered EOD, provided the day confirms as a closed daily candle. 🔹 - U.S. market only: Since we only deal with liquid option chains: this option indicator only works for the USA options market and do not include future contracts; we have implemented each selected symbol individually. Disclaimer: Our option indicator uses approximately 15min-3 hour delayed option market snapshot data to calculate the main option metrics. Exact realtime option contract prices are never displayed; only derived metrics and interpolated delta are shown to ensure accurate and consistent visualization. Due to the above, this indicator can only be used for decision support; exclusive decisions cannot be made based on this indicator. We reserve the right to make errors.This indicator is designed for options traders who understand what they are doing. It assumes that they are familiar with options and can make well-informed, independent decisions. We work with public data and are not a data provider; therefore, we do not bear any financial or other liability.

Options Overlay [Lite] IVR IV Skew Delta Expmv MurreyMath Expiry 𝗡𝗼𝗻-𝗼𝗳𝗳𝗶𝗰𝗶𝗮𝗹 𝗧𝗢𝗦 𝗮𝗻𝗱 𝗧𝗮𝘀𝘁𝘆𝗧𝗿𝗮𝗱𝗲 𝗹𝗶𝗸𝗲 𝗜𝗩𝗥 𝗢𝗽𝘁𝗶𝗼𝗻𝘀 𝘃𝗶𝘀𝘂𝗮𝗹𝗶𝘇𝗮𝘁𝗶𝗼𝗻 𝘁𝗼𝗼𝗹 𝘄𝗶𝘁𝗵 𝗱𝗲𝗹𝗮𝘆𝗲𝗱 𝗼𝗽𝘁𝗶𝗼𝗻 𝗰𝗵𝗮𝗶𝗻 𝗱𝗮𝘁𝗮 Are you an options trader who uses TradingView for technical analysis for the US market? ➡️ Do you want to see the IV Rank of an instrument on TradingView? ➡️ Can’t you check the key options metrics while charting? ➡️ Have you never visualized the options chain before? ➡️ Would you like to see how the IVx has changed for a specific ticker? If you answered "yes" to any of these questions, then we have the solution for you! 🔃 Auto-Updating Option Metrics without refresh! 🍒 Developed and maintained by option traders for option traders. 📈 Specifically designed for TradingView users who trade options. Our indicator provides essential key metrics such as: ✅ IVRank ✅ IVx ✅ 5-Day IVx Change ✅ Delta curves and interpolated distances ✅ Expected move curve ✅ Standard deviation (STD1) curve ✅ Vertical Pricing Skew ✅ Horizontal IVx Skew ✅ Delta Skew like TastyTrade, TOS, IBKR etc, but in a much more visually intuitive way. See detailed descriptions below. If this isn't enough, we also include a unique grid system designed specifically for options traders. This package features our innovative dynamic grid system: ✅ Enhanced Murrey Math levels (horizontal scale) ✅ Options expirations (vertical scale) Designed to help you assess market conditions and make well-informed trading decisions, this tool is an essential addition for every serious options trader! Ticker Information: This indicator is currently implemented for 5 liquid tickers: NASDAQ:AAPL NASDAQ:AMZN AMEX:DIA NYSE:ORCL and NASDAQ:TSLA How does the indicator work and why is it unique? This Pine Script indicator is a complex tool designed to provide various option metrics and visualization tools for options market traders. The indicator extracts raw options data from an external data provider (ORATS), processes and refines the delayed data package using pineseed, and sends it to TradingView, visualizing the data using specific formulas (see detailed below) or interpolated values (e.g., delta distances). This method of incorporating options data into a visualization framework is unique and entirely innovative on TradingView. The indicator aims to offer a comprehensive view of the current state of options for the implemented instruments, including implied volatility (IV), IV rank (IVR), options skew, and expected market movements, which are objectively measured as detailed below. The options metrics we display may be familiar to options traders from various major brokerage platforms such as TastyTrade, IBKR, TOS, Tradier, TD Ameritrade, Schwab, etc. Key Features: IV Rank (IVR) : The implied volatility rank compares the current IV to the lowest and highest values over the past 52 weeks. The IVR indicator helps determine whether options are relatively cheap or expensive. IV Average (IVx) : The implied volatility displayed in the options chain, calculated similarly to the VIX. IVx values are aggregated within the 35-70 day expiration cycle. IV Change (5 days) : The change in implied volatility over the past five trading days. This indicator provides a quick insight into the recent changes in IV. Expected Move (Exp. Move) : The expected movement for the options expiration cycle, calculated using the price of the ATM (at-the-money) straddle, the first OTM (out-of-the-money) strangle, and the second OTM strangle. Options Skew : The price difference between put and call options with the same expiration date. Vertical and horizontal skew indicators help understand market sentiment and potential price movements. Visualization Tools: Informational IVR Panel : A tabular display mode that presents the selected indicators on the chart. The panel’s placement, size, and content are customizable, including color and tooltip settings. 1 STD, Delta, and Expected Move : Visualization of fundamental classic options metrics corresponding to expirations with bell curves. Colored Label Tooltips : Detailed tooltips above the bell curves showing options metrics for each expiration. Adaptive Murrey Math Lines : A horizontal line system based on the principles of Murrey Math Lines, helping identify important price levels and market structures. Expiration Lines : Displays both monthly and weekly options expirations. The indicator supports various color and style settings, as well as the regulation of the number of expirations displayed. 🟨 𝗗𝗘𝗧𝗔𝗜𝗟𝗘𝗗 𝗗𝗢𝗖𝗨𝗠𝗘𝗡𝗧𝗔𝗧𝗜𝗢𝗡 🟨 🔶 Auto-Updating Option Metrics and Curved Lines 🔹 Interpolated DELTA Curves (16,20,25,30,40) In our indicator, the curve layer settings allow you to choose the delta value for displaying the delta curve: 16, 20, 25, 30, or even 40. The color of the curve can be customized, and you can also hide the delta curve by selecting the "-" option. It's important to mention that we display interpolated deltas from the actual option chain of the underlying asset using the Black-Scholes model. This ensures that the 16 delta truly reflects the theoretical, but accurate, 16 delta distance. (For example, deltas shown by brokerages for individual strikes are rounded; a 0.16 delta might actually be 0.1625.) 🔹 Expected Move Curve (Exp.mv) The expected move is the predicted dollar change in the underlying stock's price by a given option's expiration date, with 68% certainty. It is calculated using the expiration's pricing and implied volatility levels. We chose the TastyTrade method for calculating expected move, as we found it to be the most expressive. Expected Move Calculation Expected Move = (ATM straddle price x 0.6) + (1st OTM strangle price x 0.3) + (2nd OTM strangle price x 0.1) For example , if stock XYZ is trading at 121 and the ATM straddle is 4.40, the 120/122 strangle is 3.46, and the 119/123 strangle is 2.66, the expected move is calculated as follows: 4.40 x 0.60 = 2.64; 3.46 x 0.30 = 1.04; 2.66 x 0.10 = 0.27; Expected move = 2.64 + 1.04 + 0.27 = ±3.9 In this example below, the TastyTrade platform indicates the expected move on the option chain with a brown color, and the exact value is displayed behind the ± symbol for each expiration. By default, we also use brown for this indication, but this can be changed or the curve display can be turned off. 🔹 Standard Deviation Curve (1 STD) One standard deviation of a stock encompasses approximately 68.2% of outcomes in a distribution of occurrences based on current implied volatility. We use the expected move formula to calculate the one standard deviation range of a stock. This calculation is based on the days-to-expiration (DTE) of our option contract, the stock price, and the implied volatility of a stock: Calculation: Standard Deviation = Closing Price * Implied Volatility * sqrt(Days to Expiration / 365) According to options literature, there is a 68% probability that the underlying asset will fall within this one standard deviation range at expiration. If the 1 STD and Exp.mv displays are both enabled, the indicator fills the area between them with a light gray color. This is because both represent probability distributions that appear as a "bell curve" when graphed, making it visually appealing. Tip and Note: The 1 STD line might appear jagged at times , which does not indicate a problem with the indicator. This is normal immediately after market open (e.g., during the first data refresh of the day) or if the expirations are illiquid (e.g., weekly expirations). The 1 STD value is calculated based on the aggregated IVx for the expirations, and the aggregated IVx value for weekly expirations updates less frequently due to lower trading volume. In such cases, we recommend enabling the "Only Monthly Expirations" option to smooth out the bell curve. ∑ Quant Observation: The values of the expected move and the 1st standard deviation (1STD) will not match because they use different calculation methods, even though both are referred to as representing 68% of the underlying asset's movement in options literature. The expected move is based on direct market pricing of ATM options. The 1STD, on the other hand, uses the averaged implied volatility (IVX) for the given expiration to determine its value. Based on our experience, it is better to consider the area between the expected move and the 1STD as the true representation of the original 68% rule. 🔶 IVR Dashboard Panel Rows 🔹 IVR (IV Rank) The Implied Volatility Rank (IVR) indicator helps options traders assess the current level of implied volatility (IV) in comparison to the past 52 weeks. IVR is a useful metric to determine whether options are relatively cheap or expensive. This can guide traders on whether to buy or sell options. We calculate IVrank, like TastyTrade does. IVR Calculation: IV Rank = (current IV - 52 week IV low) / (52 week IV high - 52 week IV low) IVR Levels and Interpretations: IVR 0-10 (Green): Very low implied volatility rank. Options might be "cheap," potentially a good time to buy options. IVR 10-35 (White): Normal implied volatility rank. Options pricing is relatively standard. IVR 35-50 (Orange): Almost high implied volatility rank. IVR 50-75 (Red): Definitely high implied volatility rank. Options might be "expensive," potentially a good time to sell options for higher premiums. IVR above 75 (Highlighted Red): Ultra high implied volatility rank. Indicates very high levels, suggesting a favorable time for selling options. The panel refreshes automatically if the symbol is implemented. You can hide the panel or change the position and size. 🔹IVx (Implied Volatility Index) The Implied Volatility Index (IVx) displayed in the option chain is calculated similarly to the VIX. The Cboe uses standard and weekly SPX options to measure the expected volatility of the S&P 500. A similar method is utilized to calculate IVx for each option expiration cycle. For our purposes on the IVR Panel, we aggregate the IVx values specifically for the 35-70 day monthly expiration cycle . This aggregated value is then presented in the screener and info panel, providing a clear and concise measure of implied volatility over this period. IVx Color coding: IVx above 30 is displayed in orange. IVx above 60 is displayed in red IVx on curve: The IVx values for each expiration can be viewed by hovering the mouse over the colored tooltip labels above the Curve. IVx avg on IVR panel : If the option is checked in the IVR panel settings, the IVR panel will display the average IVx values up to the optimal expiration. Important Note: The IVx value alone does not provide sufficient context. There are stocks that inherently exhibit high IVx values. Therefore, it is crucial to consider IVx in conjunction with the Implied Volatility Rank (IVR), which measures the IVx relative to its own historical values. This combined view helps in accurately assessing the significance of the IVx in relation to the specific stock's typical volatility behavior. This indicator offers traders a comprehensive view of implied volatility, assisting them in making informed decisions by highlighting both the absolute and relative volatility measures. 🔹IVx 5 days change % We are displaying the five-day change of the IV Index (IVx value). The IV Index 5-Day Change column provides quick insight into recent expansions or decreases in implied volatility over the last five trading days. Traders who expect the value of options to decrease might view a decrease in IVX as a positive signal. Strategies such as Strangle and Ratio Spread can benefit from this decrease. On the other hand, traders anticipating further increases in IVX will focus on the rising IVX values. Strategies like Calendar Spread or Diagonal Spread can take advantage of increasing implied volatility. This indicator helps traders quickly assess changes in implied volatility, enabling them to make informed decisions based on their trading strategies and market expectations. 🔹 Vertical Pricing Skew At TanukiTrade, Vertical Pricing Skew refers to the difference in pricing between put and call options with the same expiration date at the same distance (at expected move). We analyze this skew to understand market sentiment. This is the same formula used by TastyTrade for calculations. We calculate the interpolated strike price based on the expected move , taking into account the neighboring option prices and their distances. This allows us to accurately determine whether the CALL or PUT options are more expensive. PUT Skew (red): Put options are more expensive than call options, indicating the market expects a downward move (▽). If put options are more expensive by more than 20% at the same expected move distance, we color it lighter red. CALL Skew (green): Call options are more expensive than put options, indicating the market expects an upward move (△). If call options are priced more than 30% higher at the examined expiration, we color it lighter green. Vertical Skew on Curve: The degree of vertical pricing skew for each expiration can be viewed by hovering over the points above the curve. Hover with mouse for more information. Vertical Skew on IVR panel: We focus on options with 35-70 days to expiration (DTE) for optimal analysis in case of vertical skew. Hover with mouse for more information. This approach helps us gauge market expectations accurately, providing insights into potential price movements. Remember, we always evaluate the skew at the expected move using linear interpolation to determine the theoretical pricing of options. 🔹 Delta Skew 🌪️ (Twist) We have a new metric that examines which monthly expiration indicates a "Delta Skew Twist" where the 16 delta deviates from the monthly STD. This is important because, under normal circumstances, the 16 delta is positioned between the expected move and the standard deviation (STD1) line (see Exp.mv & 1STD exact definitions above). However, if the interpolated 16 delta line exceeds the STD1 line either upwards or downwards, it represents a special case of vertical skew on the option chain. Normal case : exp.move < delta16 < std1 Delta Skew Twist: exp.move < std1 < delta16 We indicate this with direction-specific colors (red/green) on the delta line. We also color the section of the delta curve affected by the delta skew in this case, even if you choose to display a lower delta, such as 30, instead of 16. If "Colored Labels with Tooltips" is enabled, we also display a 🌪️ symbol in the tooltip for the expirations affected by Delta Skew. If you have enabled the display of 'Vertical Pricing Skew' on the IVR Panel, a 🌪️ symbol will also appear next to the value of the vertical skew, and the tooltip will indicate from which expiration Delta Skew is observed. 🔹 Horizontal IVx Skew In options pricing, it is typically expected that the implied volatility (IVx) increases for options with later expiration dates. This means that options further out in time are generally more expensive. At TanukiTrade, we refer to the phenomenon where this expectation is reversed—when the IVx decreases between two consecutive expirations—as Horizontal Skew or IVx Skew. Horizontal IVx Skew occurs when: Front Expiry IVx < Back Expiry IVx This scenario can create opportunities for traders who prefer diagonal or calendar strategies . Based on our experience, we categorize Horizontal Skew into two types: Weekly Horizontal Skew: When IVx skew is observed between two consecutive non-monthly expirations, the displayed value is the rounded-up percentage difference. On hover, the approximate location of this skew is also displayed. The precise location can be seen on this indicator. Monthly Horizontal Skew: When IVx skew is observed between two consecutive monthly expirations , the displayed value is the rounded-up percentage difference. On hover, the approximate location of this skew is also displayed. The precise location can be seen on our Overlay indicator. The Monthly Vertical IVx skew is consistently more liquid than the weekly vertical IVx skew. Weekly Horizontal IVx Skew may not carry relevant information for symbols not included in the 'Weeklies & Volume Masters' preset in our Options Screener indicator. If the options chain follows the normal IVx pattern, no skew value is displayed. Color codes or tooltip labels above curve: Gray - No horizontal skew; Purple - Weekly horizontal skew; BigBlue - Monthly horizontal skew The display of monthly and weekly IVx skew can be toggled on or off on the IVR panel. However, if you want to disable the colored tooltips above the curve, this can only be done using the "Colored labels with tooltips" switch. We indicate this range with colorful information bubbles above the upper STD line. 🔶 The Option Trader’s GRID System: Adaptive MurreyMath + Expiry Lines At TanukiTrade, we utilize Enhanced MurreyMath and Expiry lines to create a dynamic grid system, unlike the basic built-in vertical grids in TradingView, which provide no insight into specific price levels or option expirations. These grids are beneficial because they provide a structured layout, making important price levels visible on the chart. The grid automatically resizes as the underlying asset's volatility changes, helping traders identify expected movements for various option expirations. The Option Trader’s GRID System part of this indicator can be used without limitations for all instruments . There are no type or other restrictions, and it automatically scales to fit every asset. Even if we haven't implemented the option metrics for a particular underlying asset, the GRID system will still function! 🔹 SETUP OF YOUR OPTIONS GRID SYSTEM You can setup your new grid system in 3 easy steps! STEP1: Hide default horizontal grid lines in TradingView Right-click on an empty area of your chart, then select “Settings.” In the Chart settings -> Canvas -> Grid lines section, disable the display of horizontal lines to avoid distraction. SETUP STEP2: Scaling fix Right-click on the price scale on the right side, then select "Scale price chart only" to prevent the chart from scaling to the new horizontal lines! STEP3: Enable Tanuki Options Grid As a final step, make sure that both the vertical (MurreyMath) and horizontal (Expiry) lines are enabled in the Grid section of our indicator. You are done, enjoy the new grid system! 🔹 HORIZONTAL: Enhanced MurreyMath Lines Murrey Math lines are based on the principles observed by William Gann, renowned for his market symmetry forecasts. Gann's techniques, such as Gann Angles, have been adapted by Murrey to make them more accessible to ordinary investors. According to Murrey, markets often correct at specific price levels, and breakouts or returns to these levels can signal good entry points for trades. At TanukiTrade, we enhance these price levels based on our experience , ensuring a clear display. We acknowledge that while MurreyMath lines aren't infallible predictions, they are useful for identifying likely price movements over a given period (e.g., one month) if the market trend aligns. Our opinion: MurreyMath lines are not crystal balls (like no other tool). They should be used to identify that if we are trading in the right direction, the price is likely to reach the next unit step within a unit time (e.g. monthly expiration). One unit step is the distance between Murrey Math lines, such as between the 0/8 and 1/8 lines. This interval helps identify different quadrants and is crucial for recognizing support and resistance levels. Some option traders use Murrey Math lines to gauge the movement speed of an instrument over a unit time. A quadrant encompasses 4 unit steps. Key levels, according to TanukiTrade, include: Of course, the lines can be toggled on or off, and their default color can also be changed. 🔹 VERTICAL: Expiry Lines The indicator can display monthly and weekly expirations as dashed lines, with customizable colors. Weekly expirations will always appear in a lighter shade compared to monthly expirations. Monthly Expiry Lines: You can turn off the lines indicating monthly expirations, or set the direction (past/future/both) and the number of lines to be drawn. Weekly Expiry Lines: You can display weekly expirations pointing to the future. You can also turn them off or specify how many weeks ahead the lines should be drawn. Of course, the lines can be toggled on or off, and their default color can also be changed. TIP: Hide default vertical grid lines in TradingView Right-click on an empty area of your chart, then select “Settings.” In the Chart settings -> Canvas -> Grid lines section, disable the display of vertical lines to avoid distraction. Same, like steps above at MurreyMath lines. 🔶 ADDITIONAL IMPORTANT COMMENTS - U.S. market only: Since we only deal with liquid option chains: this option indicator only works for the USA options market and do not include future contracts; we have implemented each selected symbol individually. - Why is there a slight difference between the displayed data and my live brokerage data? There are two reasons for this, and one is beyond our control. - Brokerage Calculation Differences: Every brokerage has slight differences in how they calculate metrics like IV and IVx. If you open three windows for TOS, TastyTrade, and IBKR side by side, you will notice that the values are minimally different. We had to choose a standard, so we use the formulas and mathematical models described by TastyTrade when analyzing the options chain and drawing conclusions. - Option-data update frequency: According to TradingView's regulations and guidelines, we can update external data a maximum of 5 times per day. We strive to use these updates in the most optimal way: (1st update) 15 minutes after U.S. market open (2nd, 3rd, 4th updates) 1.5–3 hours during U.S. market open hours (5th update) 10 minutes before market close. You don’t need to refresh your window, our last refreshed data-pack is always automatically applied to your indicator , and you can see the time elapsed since the last update at the bottom of your indicator. - Skewed Curves: The delta, expected move, and standard deviation curves also appear relevantly on a daily or intraday timeframe. Data loss is experienced above a daily timeframe: this is a TradingView limitation. - Weekly illiquid expiries: Especially for instruments where weekly options are illiquid: the weekly expiration STD1 data is not relevant. In these cases, we recommend checking in the "Display only Monthly labels" checkbox to avoid displaying not relevant weekly options expirations. -Timeframe Issues: Our option indicator visualizes relevant data on a daily resolution. If you see strange or incorrect data (e.g., when the options data was last updated), always switch to a daily (1D) timeframe. If you still see strange data, please contact us. Disclaimer: Our option indicator uses approximately 15min-3 hour delayed option market snapshot data to calculate the main option metrics. Exact realtime option contract prices are never displayed; only derived metrics and interpolated delta are shown to ensure accurate and consistent visualization. Due to the above, this indicator can only be used for decision support; exclusive decisions cannot be made based on this indicator . We reserve the right to make errors.This indicator is designed for options traders who understand what they are doing. It assumes that they are familiar with options and can make well-informed, independent decisions. We work with public data and are not a data provider; therefore, we do not bear any financial or other liability.

Historical Volatility Rank Same formulation of IVR but based on Historical Volatility instead. Serves the same purpose as IV rank.

IVR = implied volatility rank for volatility products use this indicator on VOLATILITY products such as OVX, VIX, GVX .... (search for "volatility")