OPEN-SOURCE SCRIPT
SPX Options Days Drop By Delta
Simple script that uses the percentage drop for a particular options delta and DTE to show how often you would be assigned on selling cash secured Puts (or naked Puts). Calculate the estimated percentage drop by finding your desired delta in the options chain and divide that price by the current price. For example a Delta of 10% could be $4055 with a current price of $4161 on a given day. The price differential is 2.5%. We test for how many times a 2.5% drop is encountered for our days to expiry (DTE) as this will be the number of times you would be assigned for that position. The lower the Delta the more the price has to drop ie a Delta of 7% would require a 4% drop etc. Objective is to NEVER be "assigned" and make "fee money" selling premium ie Puts.
SPX options expire 3 times a week as do SPY options
SPX options use the European model
SPX options settle in cash ie you are not assigned
NOTE: If you change your DTE you change your Delta and therefore your percentage differential.
SPX options expire 3 times a week as do SPY options
SPX options use the European model
SPX options settle in cash ie you are not assigned
NOTE: If you change your DTE you change your Delta and therefore your percentage differential.
Script open-source
In pieno spirito TradingView, l'autore di questo script lo ha pubblicato open-source, in modo che i trader possano comprenderlo e verificarlo. Un saluto all'autore! È possibile utilizzarlo gratuitamente, ma il riutilizzo di questo codice in una pubblicazione è regolato dal nostro Regolamento. Per aggiungerlo al grafico, mettilo tra i preferiti.
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