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.
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開源腳本
本著TradingView的真正精神,此腳本的創建者將其開源,以便交易者可以查看和驗證其功能。向作者致敬!雖然您可以免費使用它,但請記住,重新發佈程式碼必須遵守我們的網站規則。
免責聲明
這些資訊和出版物並不意味著也不構成TradingView提供或認可的金融、投資、交易或其他類型的意見或建議。請在使用條款閱讀更多資訊。