PROTECTED SOURCE SCRIPT
更新済 NSE BSE Option Chain with Greeks [Bluechip Algos]
This indicator provides option chain information along with greeks of Delta, Vega, Theta, Gamma and Rho.
Make sure inputs are correctly entered; Symbol, reference spot price of ATM, Expiry date and Distance between strikes
Here’s a brief explanation of the logic used for calculating the Greeks in your Pine Script:
Implied Volatility (IV):
Implied Volatility is found using Black-Scholes formula by comparing the market price of the option to its theoretical price. An iterative process is used to adjust the volatility value until the theoretical price matches the market price, effectively reversing the pricing model to deduce the market’s expectation of volatility.
Delta:
Delta is calculated by estimating the probability of the option expiring in the money. This probability is derived using statistical methods based on price movement expectations. It is computed using the cumulative normal distribution function normDist
Gamma:
Gamma is calculated by evaluating how Delta changes when the underlying price moves slightly, giving a sense of the stability of Delta across different price levels. It is computed based on the derivative of Delta concerning the spot price
Theta:
Theta calculates the time decay of an option's value. It estimates how much the option's price will reduce as it gets closer to expiry, assuming all other factors remain constant. For this, the time left to expiry is broken into daily increments to assess the decay rate.
Vega:
Vega is determined by analyzing how the option's price would react to changes in market volatility. It uses the relationship between volatility and option pricing to measure this sensitivity, helping traders understand the impact of fluctuating volatility levels.
Rho:
Rho is calculated by estimating how much the option's price would change for a small increase in the risk-free interest rate. The calculation involves using Black-Scholes to assess how interest rate changes alter the discounted value of the option's payoff.
All computations depend on parameters like the spot price S, strike price X, time to expiry t, risk-free rate r, and volatility σ.
Make sure inputs are correctly entered; Symbol, reference spot price of ATM, Expiry date and Distance between strikes
Here’s a brief explanation of the logic used for calculating the Greeks in your Pine Script:
Implied Volatility (IV):
Implied Volatility is found using Black-Scholes formula by comparing the market price of the option to its theoretical price. An iterative process is used to adjust the volatility value until the theoretical price matches the market price, effectively reversing the pricing model to deduce the market’s expectation of volatility.
Delta:
Delta is calculated by estimating the probability of the option expiring in the money. This probability is derived using statistical methods based on price movement expectations. It is computed using the cumulative normal distribution function normDist
Gamma:
Gamma is calculated by evaluating how Delta changes when the underlying price moves slightly, giving a sense of the stability of Delta across different price levels. It is computed based on the derivative of Delta concerning the spot price
Theta:
Theta calculates the time decay of an option's value. It estimates how much the option's price will reduce as it gets closer to expiry, assuming all other factors remain constant. For this, the time left to expiry is broken into daily increments to assess the decay rate.
Vega:
Vega is determined by analyzing how the option's price would react to changes in market volatility. It uses the relationship between volatility and option pricing to measure this sensitivity, helping traders understand the impact of fluctuating volatility levels.
Rho:
Rho is calculated by estimating how much the option's price would change for a small increase in the risk-free interest rate. The calculation involves using Black-Scholes to assess how interest rate changes alter the discounted value of the option's payoff.
All computations depend on parameters like the spot price S, strike price X, time to expiry t, risk-free rate r, and volatility σ.
リリースノート
Added auto tracking of Spot, Fut and Synth Fut in settingsAdded IV rank and IV Percentile
Increased no. of strikes in option chain
保護スクリプト
このスクリプトのソースコードは非公開で投稿されています。 無料かつ制限なしでご利用いただけます ― 詳細についてはこちらをご覧ください。
免責事項
これらの情報および投稿は、TradingViewが提供または保証する金融、投資、取引、またはその他の種類のアドバイスや推奨を意図したものではなく、またそのようなものでもありません。詳しくは利用規約をご覧ください。
保護スクリプト
このスクリプトのソースコードは非公開で投稿されています。 無料かつ制限なしでご利用いただけます ― 詳細についてはこちらをご覧ください。
免責事項
これらの情報および投稿は、TradingViewが提供または保証する金融、投資、取引、またはその他の種類のアドバイスや推奨を意図したものではなく、またそのようなものでもありません。詳しくは利用規約をご覧ください。