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SKEW

Options Oscillator [PRO] IVRank, IVx, Call/Put Volatility Skew𝗧𝗵𝗲 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. SP:SPX AMEX:SPY NASDAQ:QQQ NASDAQ:TLT NASDAQ:NVDA , etc.. ), and we are continuously expanding the compatible watchlist here: www.tradingview.com 🔶 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 AMEX: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 NASDAQ: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.
Pine Script®指標
由TanukiTrade提供
Expected Range and SkewThis is an open source and updated version of my previous "Confidence Interval" script. This script provides you with the expected range over a given time period in the future and the skew of that range. For example, if you wanted to know the expected 1 standard deviation range of MSFT over the next 20 days, this will tell you that. Additionally, this script will also tell you the skew of the expected range. How to use this script: 1) Enter the length, this will determine the number of data points used in the calculation of the expected range. 2) Enter the amount of time you want projected forward in minutes, hours, and days. 3) Input standard deviation of the expected range. 4) Pick the type of data you want shown from the dropdown menu. Your choices are either the expected range or the skew of the expected range. 5) Enter the x and y coordinates of the label (optional). This is useful so it doesn't impede your view of the plot. Here are a few notes about this script: First, the expected range line gives you the width of said range (upper bound - lower bound), and the label will tell you specifically what the upper and lower bounds of the expected range are. Second, this script will work on any of the default timeframes, but you need to be careful with how far out you try to project the expected range depending on the timeframe you're using. For example, if you're using the 1min timeframe, it probably won't do you any good trying to project the expected range over the next 20 days; or if you're using the daily timeframe it doesn't make sense to try to project the expected range for the next 5 hours. You can tell if the time horizon you're trying to project doesn't work well with the chart timeframe you're using if the current price is outside of either the upper or lower bounds provided in the label. If the current price is within the upper and lower bounds provided in the label, then the time horizon that you're projecting over is reasonable for the chart timeframe you're using. Third, this script does not countdown automatically, so the time provided in the label will stay the same. For example, in the picture above, the expected range of Dow Futures over the next 23 days from January 12th, 2021 is calculated. But when tomorrow comes it won't count down to 22 days, instead it will show the range over the next 23 days from January 13th, 2021. So if you want the time horizon to change as time goes on you will have to update this yourself manually. Lastly, if you try to set an alert on this script, you will get a warning about it possibly repainting. This is because of the label, not the plot itself. The label constantly updates itself, which triggers the warning. I tested setting alerts on this script both with and without the inclusion of the label, and without the label the repainting warning did not occur. So remember, if you set an alert on this script you will get a warning about it possibly repainting, but this is because of the label constantly updating, not the plot itself.
Pine Script®指標
由SegaRKO提供
6
Implied Volatility SuiteThis is an updated, more robust, and open source version of my 2 previous scripts : "Implied Volatility Rank & Model-Free IVR" and "IV Rank & IV Percentile". This specific script provides you with 4 different types of volatility data: 1)Implied volatility, 2) Implied Volatility Rank, 3)Implied Volatility Percentile, 4)Skew Index. 1) Implied Volatility is the market's forecast of a likely movement, usually 1 standard deviation, in a securities price. 2) Implied Volatility Rank, ranks IV in relation to its high and low over a certain period of time. For example if over the past year IV had a high of 20% and a low of 10% and is currently 15%; the IV rank would be 50%, as 15 is 50% of the way between 10 & 20. IV Rank is mean reverting, meaning when IV Rank is high (green) it is assumed that future volatility will decrease; while if IV rank is low (red) it is assumed that future volatility will increase. 3) Implied Volatility Percentile ranks IV in relation to how many previous IV data points are less than the current value. For example if over the last 5 periods Implied volatility was 10%,12%,13%,14%,20%; and the current implied volatility is 15%, the IV percentile would be 80% as 4 out of the 5 previous IV values are below the current IV of 15%. IV Percentile is mean reverting, meaning when IV Percentile is high (green) it is assumed that future volatility will decrease; while if IV percentile is low (red) it is assumed that future volatility will increase. IV Percentile is more robust than IV Rank because, unlike IV Rank which only looks at the previous highs and lows, IV Percentile looks at all data points over the specified time period. 4)The skew index is an index I made that looks at volatility skew. Volatility Skew compares implied volatility of options with downside strikes versus upside strikes. If downside strikes have higher IV than upside strikes there is negative volatility skew. If upside strikes have higher IV than downside strikes then there is positive volatility skew. Typically, markets have a negative volatility skew, this has been the case since Black Monday in 1987. All negative skew means is that projected option contract prices tend to go down over time regardless of market conditions. Additionally, this script provides two ways to calculate the 4 data types above: a)Model-Based and b)VixFix. a) The Model-Based version calculates the four data types based on a model that projects future volatility. The reason that you would use this version is because it is what is most commonly used to calculate IV, IV Rank, IV Percentile, and Skew; and is closest to real world IV values. This version is what is referred to when people normally refer to IV. Additionally, the model version of IV, Rank, Percentile, and Skew are directionless. b) The VixFix version calculates the four data types based on the VixFix calculation. The reason that you would use this version is because it is based on past price data as opposed to a model, and as such is more sensitive to price action. Additionally, because the VixFix is meant to replicate the VIX Index (except it can be applied to any asset) it, just like the real VIX, does have a directional element to it. Because of this, VixFix IV, Rank, and Percentile tend to increase as markets move down, and decrease as markets move up. VixFix skew, on the other hand, is directionless. How to use this suite of tools: 1st. Pick the way you want your data calculated: either Model-Based or VixFix. 2nd. Input the various length parameters according to their labels: If you're using the model-based version and are trading options input your time til expiry, including weekends and holidays. You can do so in terms of days, hours, and minutes. If you're using the model-based version but aren't trading options you can just use the default input of 365 days. If you're using the VixFix version, input how many periods of data you want included in the calculation, this is labeled as "VixFix length". The default value used in this script is 252. 3rd. Finally, pick which data you want displayed from the dropdown menu: Implied Volatility, IV Rank, IV Percentile, or Volatility Skew Index.
Pine Script®指標
由SegaRKO提供
38
Volatility SkewThis indicator measure the historical skew of actual volatility for an individual security. It measure the volatility of up moves versus down moves over the period and gives a ratio. When the indicator is greater than one, it indicators that volatility is greater to the upside, when it is below 1 it indicates that volatility is skewed to the downside. This is not comparable to the SKEW index, since that measures the implied volatility across option strikes, rather than using historical volatility.
Pine Script®指標
由jwammo12提供
5
Skew Index Rank-Buschi English: a quick and simple tampering with the SKEW Index (also known as the "Black Swan Index") Personally, I find it quite difficult to use the SKEW Index as a reliable indicator. Nevertheless I implemented a ranking system (from 0 to 100) with the option to include a certain time period (default: 252 trading days (units)) and a moving average (default: 21 days (units)). Feedback is most welcome to modify / improve the script. Deutsch: eine schnelle und einfache Bearbeitung des SKEW Index (auch als "Schwarzer Schwan Index" bekannt) Persönlich finde ich es recht schwierig, den SKEW Index als verlässlichen Indikator zu verwenden. Trotzdem habe ich hier einfach einmal ein Ranking-System (von 0 bis 100) aufgesetzt mit der Option, einen gewissen Zeitrahmen (Standardwert: 252 Handelstage (Einheiten)) und einen gleitenden Durchschnitt (Standardwert: 21 Tage (Einheiten)) einzubinden. Feedback ist sehr willkommen, um das Skript zu überarbeiten / zu verbessern.
Pine Script®指標
由MagicEins提供
3