Options Oscillator [PRO] IVRank, IVx, Call/Put Volatility Skew

10月3日

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. SPX SPY QQQ TLT NVDA, etc.. ), and we are continuously expanding the compatible watchlist here: https://www.tradingview.com/watchlists/156511666/

🔶 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 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 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.

11月16日

リリースノート

🟨 CHANGELOG 2024/11/16 UPDATE RELEASE 🟨

🔶 Expanded SPX Support for Extended Trading Hours (0-24 Markets)

At the request of our users, we’ve expanded the support for the SPX index to include 0-24 derivative markets. You can now chart the following extended-hour SPX exchanges:

• SPREADEX:SPX
  
• CAPITALCOM:US500
  
• VANTAGE:SP500
  
• PEPPERSTONE:US500
  
• ICMARKETS:US500
  
• GBEBROKERS:US500
  
• FUSIONMARKETS:US500
  
• BLACKBULL:US500
  
• MARKETSCOM:US500
  
• FPMARKETS:US500
  
• FOREXCOM:SPX500
  
• FX:SPX500
  
• EIGHTCAP:SPX500
  
• THINKMARKETS:SPX500
  
• TRADU:SPX500
  
• PHILLIPNOVA:SPX500
  
• OANDA:SPX500USD
  

For these SPX derivatives, we always display the most recent SPX values without any modifications.

The standard support for major SPX indices during regular trading hours remains unchanged, including:

• SP:SPX
  
• CBOE:SPX
  
• TVC:SPX
  

Please note: Since these exchanges derive their SPX data for extended trading hours using methods that are not fully transparent (somewhat different from /ES, but each exchange's spot price also varies), we advise caution when using these charts outside regular trading hours, especially for 0DTE strategies. Users are responsible for making informed decisions when trading during extended hours.




🔶 NEW SUPPORTED SYMBOLS

Driven by the needs of our members, the following symbols have been added to the TanukiTrade Options Indicators:
MU AFRM HIMS CELH

New symbol updates will be arrive at monday market open if you've updated your script in tradingview.

11月25日

リリースノート

New Symbols Added to the Indicator: IBIT MSTR

Additionally, the long-awaited ES1! support has arrived! From now on, all /ES futures will display options data.

It’s important to note that we are not currently using the /ES options chain directly. Instead, we employ AI-powered mapping from the SPX, the most liquid S&P 500 options chain, and this data is presented in the indicator. For IV data, you will see the SPX chain fully reflected.

Last week’s test drive showed that this new version significantly supported /ES futures traders, so we are now making it publicly available.
Enjoy it!

11月25日

リリースノート

Small Bugfixes After the ES Release:

• For users without paid ES futures data, the script now works properly with delayed data.
  

12月3日

リリースノート

🟨GEX RELEASE UPDATES 2024/12/03 🟨

Major Update:
The existing GEX Profile indicator has been enhanced with new GEX metrics added to the Oscillator.


Specifically, we now display the Net GEX value for each expiration.


This makes it much easier to assess the gamma exposure for individual expirations and compare the relative magnitude of gamma exposure across them.
If you're not yet familiar with GEX levels, we recommend exploring our GEX Profile indicator for detailed insights.

12月3日

リリースノート

- bugfix - zDTE and sum NETGEX colored helptext
- bugfix - max height of the GEX bars
- pinescript v6 upgrade

12月4日

リリースノート

🟨 Indicator Update for GEX Levels 🟨

Following feedbacks from the 2 live trading day, we've made an update to improve the GEX experience .

Here is the cheat sheet:



To make it easier to navigate the complex world of GEX, we’ve added a dedicated colored arrows (▼▲) above for each expiration's NETGEX value in the Options Oscillator, corresponding to the specific HVL level. This dot also functions as a tooltip. With this feature, you can receive real-time updates on possible coming GEX profile changes, even before the NETGEX bar is updated.


For simplicity's sake:

1. If everything is green, the sentiment is bullish.
   
2. If everything is red, the sentiment is bearish.
   
3. If the picture is mixed, the tooltip provides guidance.
   

(Based on both the last known NETGEX and the current price's level relative to HVL.)

🔶 Here’s how it works:

We’ve enhanced the functionality of the green and red dots in the GEX Profile indicator next to HVL. These dots now indicate in real-time whether the underlying stock is above or below the most recently updated HVL (Gamma Flip) level for the expiration. This is particularly useful when there's a quick paradigm shift during the day.

🟣 For example:

1. the NETGEX bars (volume bars in the Options Oscillator) may have been updated just two hours ago with positive NETGEX
   
2. but the red arrow (colored arrow ▼ ) will notify you of potential changes in CALL/PUT dominance in anticipation of the next update
   

This provides a faster notification of any potential NETGEX level shifts than waiting for the regular update.


🔶 Options Oscillator Indicator NETGEX Volume Bars:

The volume bars in the Options Oscillator (on the right) update only 5 times per day, so there may be a discrepancy between the most recent update and a change in sentiment based on the HVL levels, especially for 0DTE. For instance, if the volume bar remains red after the most recent update (say, from 2 hours ago), but the green dot next to the HVL line indicates a sentiment change, it means that the sentiment has shifted, and the volume bar will align with the next update.


🔶 Improved NETGEX Bar Display:
We’ve improved the visual representation of the NETGEX bars in the Options Oscillator to make them clearer in both intraday and daily views, reducing any time lag (as much as possible).


🔶 Tip for 0DTE Traders:
If you wish to use Renko charts intraday (for example, for 0DTE trading), we recommend using a 2-3 minute Renko chart. Our experience shows that this timeframe tends to work well.

Known Issues:

• There is an ongoing issue with exotic candle types (Renko, etc) where time does not progress linearly on the chart. This creates problems with the data.
  
• Additionally, timeframes longer than 1D (such as multi-day or weekly) can cause issues since we cannot access data from intermediate days. Therefore, we recommend using our tools for maximum 1-day timeframes and regular candles.
  
• We know that in certain cases, the HVL can obscure individual GEX levels. In the future, we will address this and improve the readability of the levels as well.
  

We also want to emphasize once again that, compared to the original documentation, we now update the GEX levels of 0DTE day five times throughout the day, just like the other metrics!

12月10日

リリースノート

🔶 RELEASE NOTE - RUNTIME ERROR BUGFIX 🔶

• The oscillator sometimes encountered a runtime error when TradingView did not provide consistent data, especially on lower timeframes where day traders operate (e.g., on 1- or 2-minute charts). We've finally found the source of the issue, and this case has been fixed.
  
• We also introduced an Easter egg beta feature. You will find no documentation there—only the help text for now. We will provide full documentation in the stable version.