Black–Scholes model - Options premium calculatorBlack-Scholes Options Pricing Calculator in Pine Script Introduction
The Black-Scholes model is one of the most widely used mathematical models for pricing options. It provides a theoretical estimate of the price of European-style options based on factors such as the underlying asset price, strike price, time to expiration, volatility, risk-free rate, and option type.
This Pine Script implementation of the Black-Scholes options pricing model enables traders to calculate call and put option prices directly within TradingView, helping them assess potential trades more efficiently.
What Does This Script Do?
This script allows traders to input essential option parameters and instantly calculate both call and put option prices using the Black-Scholes formula. It provides:
• A user-friendly interface for inputting option parameters.
• Automatic computation of option prices.
• Real-time updates as market data changes.
Key Features:
• Uses the Black-Scholes formula to compute European call and put option prices.
• User-defined inputs for stock price, strike price, time to expiration, volatility, and risk-free rate.
• Displays calculated option prices on the TradingView chart.
Understanding the Black-Scholes Formula:
The Black-Scholes model is given by the following equations:
C=S0N(d1)−Xe−rtN(d2)C = S_0 N(d_1) - Xe^{-rt} N(d_2) P=Xe−rtN(−d2)−S0N(−d1)P = Xe^{-rt} N(-d_2) - S_0 N(-d_1)
Where:
• CC = Call option price
• PP = Put option price
• S0S_0 = Current stock price
• XX = Strike price
• rr = Risk-free interest rate
• tt = Time to expiration (in years)
• σ\sigma = Volatility of the stock (annualized)
• N(x)N(x) = Cumulative standard normal distribution
• d1d_1 and d2d_2 are given by:
d1=ln(S0/X)+(r+σ2/2)tσtd_1 = \frac{ \ln(S_0/X) + (r + \sigma^2/2)t }{ \sigma \sqrt{t} } d2=d1−σtd_2 = d_1 - \sigma \sqrt{t}
This script implements these calculations efficiently in Pine Script to help traders quickly determine fair values for options based on current market conditions.
Example Calculation:
(The following example values were true at the time of publishing this script. Option prices fluctuate constantly, so actual values may vary.)
• Underlying asset price (NIFTY): 23,519.35
• ATM Call Strike Price: 23,500
• ATM Put Strike Price: 23,550
• IV (Implied Volatility) for Call Option: 8.1%
• IV (Implied Volatility) for Put Option: 10.1%
• Expiry Date: April 3, 2025
Using the Black-Scholes model, the calculated theoretical prices are:
• Theoretical ATM CE price: ₹129
• Theoretical ATM PE price: ₹118
For comparison, the actual option prices from the option chain table at the time of writing were:
• Actual ATM CE price: ₹139.70
• Actual ATM PE price: ₹120.30
As we can see, there is a larger difference between the theoretical price and actual market price for the ATM Call option compared to the ATM Put option.
If you're an experienced trader, you likely know how to use this kind of information to identify potential market inefficiencies or trading opportunities.
How to Use This Script:
1. Add the script to your TradingView chart.
2. Input the necessary parameters such as stock price, strike price, volatility, risk-free rate, and time to expiration.
3. View the calculated call and put option prices directly on the chart.
This Black-Scholes options pricing calculator provides a convenient way to compute theoretical option prices within TradingView. It helps traders analyse whether an option is fairly priced based on market conditions.
While the Black-Scholes model has its limitations (e.g., it does not account for early exercise of American options or dividend payments), it remains a powerful tool for European-style options pricing and a foundational concept in financial markets.
A handy little tool! Unfortunately, this script requires manual data entry since automatic data capture is currently not possible. If this ever becomes feasible in the future, an updated version will be released.
Try it out and let me know your feedback!
Disclaimer:
Please note that this is only for study/educational purpose and is just one of the many tools a trader may use.
Use it at your own risk.
Regards!
Cerca negli script per "Implied volatility"
VIX Implied Move Bands for ES/Emini futuresThis script uses the close of the VIX on a daily resolution to provide the 'implied move' for the E-mini SP500 futures. While it can be applied to any equity index, it's crucial to know that the VIX is calculated using SPX options, and may not reflect the implied volatility of other indices. The user can adjust the length of the moving average used to calculate the bands, the window of days used to calculate the implied move, and the multiplier that effects the width of the bands.
IV/HV Ratio's [Nic]IV is implied volatility
HV is historic realized volatility
Seneca teaches that we often suffer more in our minds than in reality, and the same is true with the stock market. This indicator can help identify when people are over paying for implied volatility relative to real volatility . This means that short sellers are over paying for puts and can be squeezed into covering their positions, resulting in a massive rally.
The indicator can track this spread over many time frames, when the short time frame is much higher than the lower time frames, consider it a signal-of-interest.
Implied minus Historical VolatilityJust a simple comparison of 30 day historical volatility versus 30 day implied volatility(VIX). In general, when VIX is way above realized or historical Vol, in general that is quite bullish. Backtest will be available soon.
VIX Implied MovesKey Features:
Three Timeframe Bands:
Daily: Blue bands showing ±1σ expected move
Weekly: Green bands showing ±1σ expected move
30-Day: Red bands showing ±1σ expected move
Calculation Methodology:
Uses VIX's annualized volatility converted to specific timeframes using square root of time rule
Trading day convention (252 days/year)
Band width = Price × (VIX/100) ÷ √(number of periods)
Visual Features:
Colored semi-transparent backgrounds between bands
Progressive line thickness (thinner for shorter timeframes)
Real-time updates as VIX and ES prices change
Example Calculation (VIX=20, ES=5000):
Daily move = 5000 × (20/100)/√252 ≈ ±63 points
Weekly move = 5000 × (20/100)/√50 ≈ ±141 points
Monthly move = 5000 × (20/100)/√21 ≈ ±218 points
This indicator helps visualize expected price ranges based on current volatility conditions, with wider bands indicating higher market uncertainty. The probabilistic ranges represent 68% confidence levels (1 standard deviation) derived from options pricing.
Tomas' Financial Conditions Z Score"The indicator is a composite z-score comprised of the following four components (equally-weighted):
Credit spreads - ICE BofA High Yield Option Adjusted Spread (BAMLH0A0HYM2) and ICE BofA Corporate Index Option Adjusted Spread (BAMLC0A0CM)
Volatility indexes - VIX (S&P 500 implied volatility) and MOVE (US Treasury bond implied volatility)
I've got it set to a 160-day lookback period, which I think is roughly the best setting after some tinkering.
When the z-score is above zero, it throws a red signal - and when the z-score is below zero, it throws a green signal.
This indicator is a follow-on from the "traffic light financial conditions indicator" that I wrote a thread about a couple of months ago.
I moved on from that previous indicator because it is based on the Federal Reserve's NFCI, which is regularly revised, but I didn't take that into account at the time.
So not a great real-time indicator, if the signal can be subsequently revised in the opposite direction weeks later.
This new indicator is based on real-time market data, so there's no revisions, and it also updates daily, as opposed to weekly for the NFCI"
IV Rank/Percentile with Williams VIX FixDisplay IV Rank / IV Percentile
This indicator is based on William's VixFix, which replicates the VIX—a measure of the implied volatility of the S&P 500 Index (SPX). The key advantage of the VixFix is that it can be applied to any security, not just the SPX.
IV Rank is calculated by identifying the highest and lowest implied volatility (IV) values over a selected number of past periods. It then determines where the current IV lies as a percentage between these two extremes. For example, if over the past five periods the highest IV was 30%, the lowest was 10%, and the current IV is 20%, the IV Rank would be 50%, since 20% is halfway between 10% and 30%.
IV Percentile, on the other hand, considers all past IV values—not just the highest and lowest—and calculates the percentage of these values that are below the current IV. For instance, if the past five IV values were 30%, 10%, 11%, 15%, and 17%, and the current IV is 20%, the IV Rank remains at 50%. However, the IV Percentile is 80% because 4 out of the 5 past values (80%) are below the current IV of 20%.
IV Rank & IV PercentileThis indicator is meant to be a substitute for Implied Volatility Rank and Percentile for traders who do not have access to readily available options data. This indicator is based on the William's VixFix which is an indicator that mirrors the VIX, which charts the implied volatility of the SPX. The great thing about the VixFix is that it can be applied to any security, not just the SPX.
IV Rank is calculated by taking the highest and lowest values over the past however many periods you choose, and seeing what percentage of the way between those values the current IV value is. For example if over the past 5 periods the highest IV value was 30 and the lowest IV value was 10, and the current is 20; then the IV Rank would be 50% because 20 is 50% of the way between 10 & 30.
IV Percentile is calculated by looking at all of the past values, not just the highest and lowest, and seeing how many of those values were below the current. For example lets say over the past five periods the IV values were : 30,10,11,15, & 17; while the current IV value is 20. As stated before the IV Rank would be 50%, while the IV Percentile would be 80%, given that 4/5 of the values were below the current IV value of 20.
IV Rank and IV Percentile are often wrongly used interchangeably, but as shown here they are very different. Most people use IV Rank as their main options tool; while IV percentile is a great way to give IV Rank context. Whichever you choose to use, or even both, does not really matter as long as you use either one or both consistently.
IV Rank and IV Percentile are mainly used in this way: when IVR/IVP <50, buy options, when IVR/IVP >50 sell options. The reason that you buy options when IVR/IVP is low is because IV is mean reverting, so you would expect IV to eventually start increasing towards the mean, causing prices to move. The reason you would sell options when IVR/IVP is high is because IV is mean reverting and you would expect IV to decrease towards the mean, causing prices to move sideways.
In this script there are two lines, one denoting IVR and one denoting IVP. IVR is the line which is green when it's above 50 and red when below 50. IVP is the line which is aqua when above 50 and orange when below 50.
VIX Strategy : Risk-ON, Risk-OFF
VRatio is the ratio of VIX3M and VIX. This ratio rises above 1.1; in a bear market, it decreases and goes below 1. VRatio=VIX3M/VIX. More details in Part 2.
VRatio > 1: Risk-On signal
Contango is the ratio of VX2 (first back-month contract) and VX1 (front-month contract) minus one. In a bull market, this indicator rises above 5%’ in a downtrend market, this indicator goes below -5%. More details in Part 2.
Contango > -5%: Risk-On signal
Contango Roll is the ratio of VX2 first back-month contract) and the VIX minus one. In a bull market, this indicator rises above 10%’ in a downtrend market, this indicator goes below -10%. More details in Part 2.
Contango Roll > 10%: Risk-On signal
Volatility Risk Premium (VRP) compares the implied volatility to the recent realized volatility; it attempts to quantify how much “extra” premium (in volatility term) S&P500 option sellers are charging investors for the protection of their portfolio. It can be seen as an insurance premium. A simple way to compute the VRP is VRP= VIX -HV10 where HV10 is the 10-day historical volatility of S&P500. Some people also look at the 5-day moving average of the VRP to smooth this indicator.
VRP > 0: Risk-On signal
Fast Volatility Risk Premium (FVRP) is a variant of the VRP. FVRP=EMA(VIX,7)-HV5 where HV5 the 5-day historical volatility of S&P500.
FVRP > 0: Risk-On signal
Volatility Momentum compares today’s VIX to last 50 days. It has, therefore, quite a bit of lag but it is a useful measure when combined with other indicators. Volatility Momentum=SMA(VIX,50) -VIX.
Volatility Momentum > 0: Risk-On signal
VIX Mean Reversion looks at today’s VIX compared to certain thresholds. We avoid investing in the S&P500 when the VIX is too high (above 20) or too low (below 12).
VIX Mean Reversion > 12 and VIX Mean Reversion < 20: Risk-On signal
VIX3M Mean Reversion works the same way as VIX Mean Reversion.
VIX3M Mean Reversion > 12 and VIX3M Mean Reversion < 20: Risk-On signal
India VIXThe VIX chart represents the Volatility Index, commonly referred to as the "Fear Gauge" of the stock market. It measures the market's expectations of future volatility over the next 30 days, based on the implied volatility of NSE index options. The VIX is often used as an indicator of investor sentiment, reflecting the level of fear or uncertainty in the market.
Here’s a breakdown of what you might observe on a typical VIX chart:
VIX Value: The y-axis typically represents the VIX index value, with higher values indicating higher levels of expected market volatility (more fear or uncertainty), and lower values signaling calm or stable market conditions.
VIX Spikes: Large spikes in the VIX often correspond to market downturns or periods of heightened uncertainty, such as during financial crises or major geopolitical events. A high VIX is often associated with a drop in the stock market.
VIX Drops: A decline in the VIX indicates a reduction in expected market volatility, usually linked with periods of market calm or rising stock prices.
Trend Analysis: Technical traders might use moving averages or other indicators on the VIX chart to assess the potential for future market movements.
Inverse Relationship with the Stock Market: Typically, there is an inverse correlation between the VIX and the stock market. When stocks fall sharply, volatility increases, and the VIX tends to rise. Conversely, when the stock market rallies or remains stable, the VIX tends to fall.
A typical interpretation would be that when the VIX is low, the market is relatively stable, and when the VIX is high, the market is perceived to be uncertain or volatile.
NSE & BSE Option Chain - Auto Option Data InputDefinition
An options chain is a list of all available option contracts for a specific security, organized by expiration date and strike price.
What Is an Options Chain ?
Understanding how to read and analyze options chains is crucial for investors venturing into options trading. These display all available option contracts for a particular security, typically in a table format that organizes contracts by expiration date and strike price. The tool provides a wealth of information at a glance, including present prices, trading volume, and implied volatility (IV) for both call and put options.
While the long list of prices and other information can look at first to be overly complicated, learning to navigate an options chain will significantly improve your ability to trade in these derivatives and identify prospects in the market. As options continue to gain popularity among retail investors, mastering the intricacies of the options chain has become an essential skill for those looking to expand their trading strategies beyond traditional stock investments.
Key Takeaways
An options chain displays all available option contracts for a security, organized by expiration date and strike price.
Options chains typically show each contract's bid price, ask price, volume, open interest, and implied volatility (IV).
Options chains can be used to identify trading prospects, such as mispriced options or favorable risk-reward scenarios.
Understanding Options Chains
Option chains list all available option contracts for a particular underlying security. For traders, they provide a snapshot of crucial information about each contract, including strike prices, expiration dates, and market prices.
Typically organized in a table, options chains have separate sections for call and put options. The rows represent different strike prices, while the columns show various data points for each contract. This lets traders quickly compare options with different characteristics to make informed decisions.
Decoding Options Chains
The columns of an option chain, as seen in the example chart above, include the following:
Strike price: The price the option holder can buy (for calls) or sell (for puts) the underlying asset.
Expiration date: The last day the option contract is valid.
1
Bid price: The highest price a buyer is willing to pay for the option.
Ask price: The lowest price a seller is willing to accept for the option.
Last price: The most recent trading price for the option.
Percentage change: The net change column reflects the direction (up, down, or flat) for the underlying asset, as well as the amount of the price shift.
Volume: The number of contracts traded during the current session.
2
Open interest: The total of outstanding contracts.
Mastering the art of reading options chains is essential for any serious options trader. It's where market sentiment, price inefficiencies, and trading prospects all come together.
In options trading, information is power. A well-analyzed option chain can reveal market inefficiencies that savvy traders can exploit. For example, comparing the bid-ask spread across different strike prices can help identify more liquid options, while analyzing open interest can help you understand market sentiment.
A skilled user can quickly decipher an options chain for what it says about price moves and where there are high and low levels of liquidity. For the best trades, this is critical information. For those not quite there yet, let's break down other parts of the options chain tables into manageable parts:
Calls vs. puts: Option chains typically separate call options (the right to buy) from put options (the right to sell). This division allows traders to focus straightaway on bullish or bearish strategies.
Filters and customization: Most trading platforms enable you to customize your options chain view. You can quickly filter by expiration date, strike price range, or specific Greek values to focus on the most relevant contracts.
The Bottom Line
The options chain is indispensable for options traders, providing a comprehensive view of all available contracts for a given security. By learning to read and analyze options chains, you can gain greater clarity about market sentiment, identify trading prospects, and make more informed decisions for your options strategies.
While it takes a bit of time to become proficient in interpreting all the data presented, mastering the options chain is crucial for those looking to leverage the full potential of options trading in their investment approaches.
Fully Auto Option Data Input for All Currently Available NSE Indices and Stock & BSE Sensex Indices
CSP Key Level Finder This script is designed for option sellers, particularly those using strategies like cash-secured puts (CSPs), to help automate the process of identifying key levels in the market. The core functionality is to calculate a specific price level where a 5% return can be achieved based on the historical volatility of the underlying asset. This level is visually plotted on a chart to guide traders in making more informed decisions without manually calculating the thresholds themselves.
The script incorporates implied volatility (IV) data to determine the volatility rank of the asset and calculates historical volatility (HV) based on price movements. These volatility measures help assess market conditions. The resulting key level is drawn as a line on the chart, along with a label that includes relevant information about volatility, making it easier for traders to evaluate potential option selling strategies.
Additionally, the script includes user input options, allowing users to control when to display the key level on the chart, offering flexibility based on individual needs. Overall, the script provides a visual aid for option sellers to streamline the process of identifying attractive entry points.
Magic LevelsPS MODS : This indicator calculate the levels based on IndiaVIX, volumes on FnO, cofficient and factor to reach on the level. Hope this can help you to understand the functionality of this Indicator
This indicator is used for draw levels or "Magic Levels/Lines" for Nifty, Bank Nifty and FnO futures, based on volatility (indiavix) calculations. This powerful tool is designed to provide insights into market volatility and assist traders and investors in making informed decisions in the Indian stock market.
As of now the indicator draws levels only on Bank Nifty and Nifty. Soon we'll publish the next update supporting all FnO Futures and stocks.
The India VIX, often referred to as the "Fear Index," is a popular measure of market volatility and investor sentiment. It quantifies the market's expectations of near-term volatility by calculating the implied volatility of NIFTY options. The VIX Levels Indicator utilizes these calculations to draw key levels on price charts, enhancing traders' understanding of potential market movements.
The indicator's main function is to identify critical support and resistance levels derived from IndiaVIX data. We considered to volatility of all the FnO instruments and calculated the mean value keeping the day into consideration while performing the calculations. These levels serve as significant reference points that can help traders gauge potential price reversals, breakouts, and trends. By integrating the Magic Levels Indicator into their analysis, traders can gain a comprehensive view of market dynamics and improve their timing for entering or exiting positions.
Traders can customize the VIX Levels Indicator to suit their preferences, adjusting parameters such as time period where the default is 1 day. This flexibility allows traders to adapt the indicator to different trading strategies and timeframes. Whether a trader focuses on intraday scalping or swing trading, the Magic Levels Indicator can be a valuable addition to their technical analysis toolkit.
MATHR3E WAVES█ OVERVIEW
MATHR3E WAVES automatically draws Elliott Waves on your charts with their potential associated targets.
█ CONCEPTS
Disclaimer
MATHR3E RETRACEMENTS indicator is intended for advanced traders and may fit your profile, whether you are a day trader or a long-term investor.
It was originally developed by a renowned market analyst and documented in numerous books. Among them is the author Jason Perl.
It is recommended to have read the trading techniques mentioned in the books covering this indicator beforehand.
How to use:
MATHR3E WAVES indicator can provide a roadmap of market direction that you can use to determine price targets and isolate exhaustion points from potential trends in conjunction with other indicators by the same author.
Be aware the indicator's approach is derived from the Elliott wave theory and may slightly diverge from the cardinal rules of Elliott waves.
Principle of the Elliott Wave Theory
Movement in the direction of the trend is unfolding in 5 waves (called motive wave) while any correction against the trend is in three waves (called corrective wave). The movement in the direction of the trend is labeled as 1, 2, 3, 4, and 5. The three-wave correction is labeled as a, b, and c. These patterns can be seen in the long term as well as short term charts.
Wave 1:
Wave one is rarely obvious at its inception. When the first wave of a new bull market begins, the fundamental news is almost universally negative. The previous trend is considered still strongly in force. Fundamental analysts continue to revise their earnings estimates lower; the economy probably does not look strong. Sentiment surveys are decidedly bearish, put options are in vogue, and implied volatility in the options market is high. Volume might increase a bit as prices rise, but not by enough to alert many technical analysts.
Wave 2:
Wave two corrects wave one, but can never extend beyond the starting point of wave one. Typically, the news is still bad. As prices retest the prior low, bearish sentiment quickly builds, and "the crowd" haughtily reminds all that the bear market is still deeply ensconced. Still, some positive signs appear for those who are looking: volume should be lower during wave two than during wave one, prices usually do not retrace more than 61.8% of the wave one gains, and prices should fall in a three-wave pattern.
Wave 3:
Wave three is usually the largest and most powerful wave in a trend. The news is now positive and fundamental analysts start to raise earnings estimates. Prices rise quickly, corrections are short-lived and shallow. Anyone looking to "get in on a pullback" will likely miss the boat. As wave three starts, the news is probably still bearish, and most market players remain negative; but by wave three's midpoint, "the crowd" will often join the new bullish trend. Wave three often extends wave one by a ratio of 1.618:1.
Wave 4:
Wave four is typically clearly corrective. Prices may meander sideways for an extended period, and wave four typically retraces less than 38.2% of wave three. Volume is well below that of wave three. This is a good place to buy a pullback if you understand the potential ahead for wave 5. Still, fourth waves are often frustrating because of their lack of progress in the larger trend.
Wave 5:
Wave five is the final leg in the direction of the dominant trend. The news is almost universally positive and everyone is bullish. Unfortunately, this is when many average investors finally buy-in, right before the top. Volume is often lower in wave five than in wave three, and many momentum indicators start to show divergences (prices reach a new high but the indicators do not reach a new peak).
Wave A:
Corrections are typically harder to identify than impulse moves. In wave A of a bear market, the fundamental news is usually still positive. Most analysts see the drop as a correction in a still-active bull market. Some technical indicators that accompany wave A include increased volume, rising implied volatility in the options markets, and possibly a turn higher in open interest in related futures markets.
Wave B:
Prices reverse higher, which many see as a resumption of the now long-gone bull market. Those familiar with classical technical analysis may see the peak as the right shoulder of a head and shoulders reversal pattern. The volume during wave B should be lower than in wave A. By this point, fundamentals are probably no longer improving, but they most likely have not yet turned negative.
Wave C:
Prices move impulsively lower in five waves. Volume picks up, and by the third leg of wave C, almost everyone realizes that a bear market is firmly entrenched. Wave C is typically at least as large as wave A and often extends to 1.618 times wave A or beyond.
█ FEATURES & BENEFITS
Versatile
The indicator works on relative price action, so you can apply it without having to change any of the default settings.
Targets:
Customize the high and low wave targets to identify possible price target areas.
Adjustable Rules:
• Shift Wave 2: if Wave 4 closes below the low close of Wave 2.
• Shift Wave 4: if Wave A closes below the low close of Wave 4.
• Allow Wave 4 to overlap Wave 1
• Allow truncated Wave 5
• Allow truncated Wave C
Price ratio:
Force waves 2/4 to retrace to a specific Fibonacci level.
Force Waves 3/5 size to a specific Fibonacci level.
Time Ratio:
Force selected waves to last a required number of bars.
Alerts:
Set up your alerts and receive notifications on wave completion.
Alerts format can be adapted to be received on Discord servers.
VXN (NQ100 VIX) Implied Move Bands for NQ futures.A spin-off of my similar script for ES futures. This script uses the VXN Index instead of the VIX, which represents the 30-day implied volatility of Nasdaq-100 options and then uses that value to plot bands on the chart, helping traders identify price extremes as identified by the options market. Users can modify the moving average, bands multiplier, and number of lookback days used in the calculation to suit their trading style.
Black Scholes Model [racer8]This is the Black Scholes Model. This indicator tells you the prices of both a call option & a put option.
Input variables are spot price, strike price, risk free rate %, days to maturity, and implied volatility %.
This indicator was made generally for educational purposes.
By using this indicator, you will develop a better understanding of how options are priced.
This indicator was made to be as simple as possible so that the user can easily understand it.
I recreated the Black Scholes Model because there is very little scripts on TV that are based on the Black Scholes Model.
I am aware that are Black Scholes Model (BSM) scripts already on TV, but mine is not the same. Correct me if I'm wrong, but I don't think there is a BSM script out there yet that relies on the exact same inputs that mine does.
Why use this indicator?
If you don't already have your own IV indicator...
You can use this indicator to approximate the value of implied volatility %.
You already know every input variable except IV%, and you know the call & put option prices.
So put in the numbers for each input and put a random number between 0 to 100 into the IV% input to get the options prices.
Adjust that random number for IV% until the output (options prices) matches correctly with what you already know they are to be.
This is called the trial and error method.
On the other hand, if you already know all input variables including IV%. Then you can use this indicator to find the call & put options prices directly.
Hope this helps. Enjoy 🙂
Helios Bollinger Bands with enters and exits by ZekisClassic Bollinger Bands with enters and exits from the channel
The purpose of Bollinger Bands is to provide a relative definition of high and low prices of a market. By definition, prices are high at the upper band and low at the lower band. This definition can aid in rigorous pattern recognition and is useful in comparing price action to the action of indicators to arrive at systematic trading decisions
The use of Bollinger Bands varies widely among traders. Some traders buy when price touches the lower Bollinger Band and exit when price touches the moving average in the center of the bands. Other traders buy when price breaks above the upper Bollinger Band or sell when price falls below the lower Bollinger Band . Moreover, the use of Bollinger Bands is not confined to stock traders; options traders, most notably implied volatility traders, often sell options when Bollinger Bands are historically far apart or buy options when the Bollinger Bands are historically close together, in both instances, expecting volatility to revert towards the average historical volatility level for the stock.
When the bands lie close together, a period of low volatility is indicated. Conversely, as the bands expand, an increase in price action/market volatility is indicated. When the bands have only a slight slope and track approximately parallel for an extended time, the price will generally be found to oscillate between the bands as though in a channel.
Traders are often inclined to use Bollinger Bands with other indicators to confirm price action. In particular, the use of oscillator-like Bollinger Bands will often be coupled with a non-oscillator indicator-like chart patterns or a trendline . If these indicators confirm the recommendation of the Bollinger Bands , the trader will have greater conviction that the bands are predicting correct price action in relation to market volatility .
en.wikipedia.org
Enjoy!
@Zekis
GEX and OI levelsIntroduction
Harness the power of institutional options flow analysis with the GEX & OI Levels indicator – an advanced tool that brings professional-grade options analytics directly to your TradingView charts. This comprehensive indicator visualizes Gamma Exposure (GEX) and Open Interest (OI) data, revealing hidden market forces that drive price action and potential reversal points. Designed for serious traders who understand that options positioning often precedes price movement.
What Is GEX & OI Levels?
GEX & OI Levels is a sophisticated indicator that analyzes options market positioning through the lens of dealer gamma exposure and open interest concentration. By visualizing where market makers must hedge their options positions, you can identify potential support/resistance levels, price magnets, and likely volatility zones. The indicator processes strike-by-strike options data to generate actionable insights about institutional positioning and potential price behavior.
Key Features
Complete Gamma Exposure Analysis
Dynamic GEX histogram showing dealer positioning at each strike
Visual identification of positive and negative gamma zones
Smoothed total GEX calculation with customizable parameters
Zero gamma level identification - critical price points where dealer behavior changes
Critical Price Level Identification
Gamma flip points that often act as magnets for price
Gamma walls where significant hedging activity may create support/resistance
Golden strike detection where both call and put OI show unusual concentration
Max pain calculation showing the price point where options expiration causes maximum loss
Dealer Positioning Intelligence
Analysis of dealer hedging requirements for price movements
Calculation of expected dealer behavior during rallies and dips
Signal strength indicators showing potential hedging impact
Delta-adjusted GEX for more accurate near-expiration analysis
Comprehensive Data Visualization
Highly configurable visualization of GEX histogram with logarithmic scaling
Strike-by-strike data table with color-coded gamma values
Top OI levels for both calls and puts with customizable highlighting
Detailed metrics panel showing all key GEX and options analytics
Use Cases
1. Identifying Potential Price Magnets
Gamma flip points often act as magnets for price, especially near expiration
Zero gamma levels show where dealer hedging pressure changes direction
Golden strikes reveal where both call and put sellers have significant exposure
2. Discovering Support & Resistance Zones
Gamma walls indicate where dealer hedging may create price barriers
Top OI levels often become psychological support/resistance points
Max pain level shows where options writers have incentive to push price
3. Predicting Market Volatility
Low GEX environments signal potential for increased volatility
High GEX environments typically lead to price compression and reduced volatility
Dealer positioning metrics indicate whether market makers are dampening or amplifying moves
4. Timing Market Reversals
Extreme dealer positioning often precedes market reversals
Proximity to flip points provides timing signals for potential turns
Signal strength measurement helps quantify the potential impact
5. Enhancing Trading Strategy
Align your trades with or against dealer hedging flows
Use dealer positioning analysis to set more precise stop losses and targets
Combine with technical analysis for high-probability trading setups
Customization Options
The indicator offers extensive customization capabilities:
Data Input & Configuration
CSV data input for option chain information
Adjustable DTE (Days To Expiration) settings
Risk-free rate and implied volatility parameters
Custom symbol formatting for different data providers
Calculation Settings
Gamma weight multiplier for sensitivity adjustment
Strike range limitations to focus on relevant price zones
Gamma scaling options based on strike distance
Static IV mode for environments without option price data
Visualization Options
Customizable histogram appearance including scale and transparency
Color settings for positive/negative GEX, flip points, and gamma walls
OI level display with configurable number of levels
Strike data table with adjustable strike count
Analytics Settings
Delta-adjusted GEX for improved accuracy
Dealer positioning analytics with hedge efficiency parameters
Alerting capabilities for price approaching key levels
Golden strike highlighting for significant option activity zones
How to Use
Apply the indicator to your chart
Input your options data in CSV format using the required structure
Configure the expiration date to match your analysis timeframe
Adjust gamma calculation parameters based on your instrument
Use the GEX histogram and key levels to identify potential price targets
Monitor dealer positioning metrics to anticipate market behavior
Trade with confidence knowing where institutional hedging activity is concentrated
Perfect for options traders, futures traders, swing traders, and anyone who wants to incorporate institutional-level options analysis into their technical trading strategy.
Elevate your trading with GEX & OI Levels - where options positioning reveals future price action.
Z-Score Financial Market Conditions | JeffreyTimmermansZ-Score Financial Market Conditions
The Z-Score Financial Market Conditions indicator is a cutting-edge tool for measuring financial market stress and relaxation by combining eight critical financial metrics into a single composite Z-score. This dynamic indicator provides traders and analysts with actionable insights into the overall state of the financial markets, enabling informed decision-making across various trading and investment systems.
Purpose of the Indicator
This indicator serves as a comprehensive gauge of financial market conditions, offering a clear visualization of whether the markets are in a state of stress (elevated risks) or relaxation (normalized conditions). The Z-Score Financial Market Conditions tool is particularly effective for:
Macro-Level Risk Assessment: Identifying periods of high market stress or calmness.
Trend Following Systems: Gauging the market's underlying conditions to validate trends.
Mean Reversion Strategies: Using extreme Z-score levels to detect potential reversals.
Portfolio Risk Management: Adjusting asset exposure based on market-wide financial conditions.
This indicator works exclusively on the 1-day timeframe, as it is calibrated to analyze daily changes in the financial metrics that drive market behavior.
The Eight Key Components and Their Importance
The composite Z-score integrates the Z-scores of the following eight financial metrics. These metrics have been selected for their complementary insights into various aspects of financial market conditions:
VIX (S&P 500 Volatility Index)
Reflects implied volatility in the U.S. equity market.
High VIX values indicate increased uncertainty and risk aversion among market participants.
MOVE (US Treasury Bond Volatility Index)
Captures volatility in U.S. Treasury bonds.
Essential for understanding risk in fixed-income markets, which significantly impact broader economic conditions.
ICE BofA High Yield Option Adjusted Spread (BAMLH0A0HYM2)
Measures the risk premium for high-yield corporate bonds.
Rising spreads suggest increased credit risk and potential economic stress.
ICE BofA Corporate Index Option Adjusted Spread (BAMLC0A0CM)
Tracks credit spreads in the investment-grade bond market.
Helps evaluate the health of higher-quality corporate debt, a key indicator of financial stability.
ICE BofA US High Yield Index Spread (BAMLH0A0HYM2)
Focuses on high-yield U.S. corporate bonds.
Provides localized insights into U.S. credit conditions and risk levels.
CDS (Credit Default Swap Spreads)
Measures the cost of insuring against bond defaults.
Rising CDS spreads signal growing concern over creditworthiness, often a leading indicator of financial stress.
Global Bond Spread (AGG)
Represents global fixed-income spreads.
Offers a broader perspective on international financial conditions beyond the U.S. market.
TED Spread (Treasury-EuroDollar Spread)
The difference between interbank lending rates and short-term U.S. Treasury yields.
Widely regarded as an indicator of systemic risk in the banking sector.
Features and Improvements
This script builds upon the original concept by introducing advanced features to enhance its precision and usability:
Lookback Period Adjustment
A customizable lookback period for Z-score calculations (default: 160 days).
Allows for greater flexibility in adapting to different market conditions.
Moving Average (MA) Smoothing
Optional smoothing of Z-scores using an exponential moving average (EMA) for enhanced clarity.
Default smoothing length: 8 days.
Individual Component Visibility
Plots for individual Z-scores can be enabled or disabled to focus on specific metrics.
Dynamic Background Coloring
Visual cues to indicate bullish (green) or bearish (red) financial conditions based on the composite Z-score.
Custom Inputs
Toggle on/off for each financial metric to tailor the indicator to specific use cases.
Customizable parameters for smoothing and moving averages.
Applications
This indicator is versatile and can be effectively used in various trading systems and strategies:
Long-Term Investment Decision-Making: Assess macroeconomic trends for portfolio rebalancing.
Systematic Trading: Incorporate market conditions into algorithmic models to enhance robustness.
Volatility-Based Strategies: Use Z-score fluctuations to anticipate periods of market turbulence or calm.
Credits
This indicator was inspired by and builds upon the work of TomasOnMarkets . While incorporating significant enhancements, it acknowledges the foundational concepts provided by this original source. Thank you for sharing your input on this important indicator. We are honored to use it and to further improve upon it.
-Jeffrey
VWAP Implied Volatility BandsThis script takes the built in VWAP function and creates bands using various Volatility Indexes from the CBOE. The script plots the bands at desired multiples, as well as the closing value of the prior day's first set of bands. Users can choose from the following:
VIX(ES), VXN(NQ), RVX(RTY), OVX(CL), GVX(GC), SIV(ZS), CIV(ZC), TYVIX(ZN), EUVIX(EURUSD), BPVIX(GBPUSD)
Upon selecting the desired volatility index, users must change the multiplier to fit the underlying product since the indexes are all calculated differently.
The goal with this script was to use market generated information (IV) to highlight potential trade locations.
MOVE/VXTLT CorrelationMany know of the VIX for equity trading. Yet, many are unaware that there is the same kind of volatility measure for trading bonds, called the MOVE Index.
"The Merrill Lynch Option Volatility Estimate (MOVE) Index is a yield curve weighted index of the normalized implied volatility on 1-month Treasury options which are weighted on the 2, 5, 10, and 30 year contracts."
With this script one can see the the correlation and divergences between bonds and its volatility measure to make educated decisions in trading or hedging.
The idea of this script comes from NicTheMajestic.
IVR = implied volatility rank for volatility productsuse this indicator on VOLATILITY products such as OVX, VIX, GVX .... (search for "volatility")
Volatility Tracker (VIX vs Realized)Plots Realized Volatility (historical, blue).
Plots Implied Volatility (VIX) (red).
Shows the spread between VIX and realized vol (gray), helping spot fear premium or complacency.
