OPEN-SOURCE SCRIPT

vertical_pricer

Actualizado

USAGE

1. Select the type of contract (call or put), the long strike, and the width.
2. Select the volatility model
3. The standard deviation is shown, enter it into the input.

The tool gives a theoretical price of a vertical spread, based on a
historical sample. The test assumes that a spread of equal width was sold on
every prior trading day at the given standard deviation, based on the
volatility model and duration of the contract. For example, if the 20 dte
110 strike is presently two standard deviations based on the 30 period
historical volatility, then the theoretical value is the average price all
2SD (at 20 dte) calls upon expiration, limited by the width of the spread and
normalized according to the present value of the underlying.

Other statistics include:
- The number of spreads in the sample, and percentage expired itm
- The median value at expiration
- The Nth percentile value of spreads at expiration
- The number of spreads that expired at max loss

Check the script comments and release notes for further updates, since Tradingview doesn't allow me to edit this description.

Notas de prensa

bug fix -- was using the wrong array for theo vals. should be working now.

Notas de prensa

Minor documentation changes.

Notas de prensa

- added far strike to description cell in the table
- set past forecast plot to be visible by default, since it doesn't clutter the view too much

Notas de prensa

fix lines, they should project the latest forecast for the proper number of bars now

Notas de prensa

- annualize with 252, rather than 365 periods

Note: this script is meant for the daily chart

Script de código abierto

Siguiendo fielmente el espíritu de TradingView, el autor de este script lo ha publicado en código abierto, permitiendo que otros traders puedan entenderlo y verificarlo. ¡Olé por el autor! Puede utilizarlo de forma gratuita, pero tenga en cuenta que la reutilización de este código en la publicación se rige por las Normas internas. Puede añadir este script a sus favoritos y usarlo en un gráfico.

¿Quiere utilizar este script en un gráfico?

taylor_o

Exención de responsabilidad

La información y las publicaciones que ofrecemos, no implican ni constituyen un asesoramiento financiero, ni de inversión, trading o cualquier otro tipo de consejo o recomendación emitida o respaldada por TradingView. Puede obtener información adicional en las Condiciones de uso.