OPEN-SOURCE SCRIPT
更新済 0_dte
USAGE
This script guages the probability of an underlying moving a certain amount on expiration day, to aid the popular "0 dte" strategy. The script counts how many next-day moves exceeded a given magnitude in the past, under similar conditions. The inputs are:
mark_mode:
- "open": measures the magnitude as "open to close"--a true 0 dte.
- "previous close": for lazy people who don't want to wake up early. measures magnitude from the previous day's close.
move_mode:
- "percent": measures moves that exceed a given percentage.
- "absolute": measures moves that exceed a point value.
move-dir: measure only up moves, down moves, or both.
vol_model: the model for realized volatility. (may add more later).
min_vol: only measure moves when realized vol is above this value.
max_vol: only measure moves when realized vol is below this value.
precision: number of digits printed in the output table.
EXAMPLE:
- mark_mode: "previous close"
- move_mode: "percent"
- move_dir: "up"
- move_mag: 0.07
- vol_model: hv30
- min_vol: 0.2
- max_vol: 0.5
These settings will count the number of trading days that closed 7% higher than the previous day's close, when the previous day's realized volatility (annualized) was between 20% and 50%. The outputs are:
- current vol: green plot. Today's realized vol. Shown for convenience.
- max and min vol: red plots. Also shown for convenience.
- count: the number of days that exceeded the chosen magnitude, when the previous day's realized volatility was within the chosen bounds.
- total: the total number of days where realized volatility was within the chosen bounds
- probability: count / total. the percentage of days that exceeded the move when volatility was within the bounds.
- move: plotted as a purple line. purple "X" labels are plotted above
- bars where the move exceeded the magnitude threshold and volatility was in-bounds. a "hit".
CONCLUSION
This script is based on the idea that realized volatility has some bearing on future volatility. By seeing what happened in the past when volatility was close to its current value, we may be able to assess the probability that our short put will be in the money, tomorrow, and our account devastated.
NOTE: Unlike many of my other scripts, all percentages--both inputs and outputs--are given in fractional form. E.g., 0.01 means 1%.
This script guages the probability of an underlying moving a certain amount on expiration day, to aid the popular "0 dte" strategy. The script counts how many next-day moves exceeded a given magnitude in the past, under similar conditions. The inputs are:
mark_mode:
- "open": measures the magnitude as "open to close"--a true 0 dte.
- "previous close": for lazy people who don't want to wake up early. measures magnitude from the previous day's close.
move_mode:
- "percent": measures moves that exceed a given percentage.
- "absolute": measures moves that exceed a point value.
move-dir: measure only up moves, down moves, or both.
vol_model: the model for realized volatility. (may add more later).
min_vol: only measure moves when realized vol is above this value.
max_vol: only measure moves when realized vol is below this value.
precision: number of digits printed in the output table.
EXAMPLE:
- mark_mode: "previous close"
- move_mode: "percent"
- move_dir: "up"
- move_mag: 0.07
- vol_model: hv30
- min_vol: 0.2
- max_vol: 0.5
These settings will count the number of trading days that closed 7% higher than the previous day's close, when the previous day's realized volatility (annualized) was between 20% and 50%. The outputs are:
- current vol: green plot. Today's realized vol. Shown for convenience.
- max and min vol: red plots. Also shown for convenience.
- count: the number of days that exceeded the chosen magnitude, when the previous day's realized volatility was within the chosen bounds.
- total: the total number of days where realized volatility was within the chosen bounds
- probability: count / total. the percentage of days that exceeded the move when volatility was within the bounds.
- move: plotted as a purple line. purple "X" labels are plotted above
- bars where the move exceeded the magnitude threshold and volatility was in-bounds. a "hit".
CONCLUSION
This script is based on the idea that realized volatility has some bearing on future volatility. By seeing what happened in the past when volatility was close to its current value, we may be able to assess the probability that our short put will be in the money, tomorrow, and our account devastated.
NOTE: Unlike many of my other scripts, all percentages--both inputs and outputs--are given in fractional form. E.g., 0.01 means 1%.
リリースノート
- annualize volatility with 252, rather than 365 trading periods- fixed misnamed condition
オープンソーススクリプト
TradingViewの精神に則り、この作者はスクリプトのソースコードを公開しているので、その内容を理解し検証することができます。作者に感謝です！無料でお使いいただけますが、このコードを投稿に再利用する際にはハウスルールに従うものとします。
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。
オープンソーススクリプト
TradingViewの精神に則り、この作者はスクリプトのソースコードを公開しているので、その内容を理解し検証することができます。作者に感謝です！無料でお使いいただけますが、このコードを投稿に再利用する際にはハウスルールに従うものとします。
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。