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Niftyview

Implied and Historical Volatility v4There is a famous option strategy📊 played on volatility📈. Where people go short on volatility, generally, this strategy is used before any significant event or earnings release. The basic phenomenon is that the Implied Volatility shoots up before the event and drops after the event, while the volatility of the security does not increase in most of the scenarios. 💹 I have tried to create an Indicator using which you can analyse the historical change in Implied Volatility Vs Historic Volatility. To get a basic idea of how the security moved during different events. Notes: a) Implied Volatility is calculated using the bisection method and Black 76 model option pricing model. b) For the risk-free rate I have fetched the price of the “10-Year Indian Government Bond” price and calculated its yield to be used as our Risk-Free rate.
Penunjuk Pine Script®
oleh Aziz_PactionTrader
nifty_alchemistTimeframe : 5 Min *When Indicator show Buy signal look only for buy entries at CPR and 50 EMA High and low *When Indicator show Sell signal look only for sell entries at CPR and 50 EMA High Low for any quieries contact on twitter @nifty_alchemist
Penunjuk Pine Script®
oleh niftyalchemist1993
77

Pilihan data pasaran disediakan oleh perkhidmatan Data ICE. Pilihan data rujukan disediakan oleh FactSet. Copyright © 2025 FactSet Research Systems Inc.© 2025 TradingView, Inc.

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