SPY 1 Minute Day TraderWhen scalping options, users are looking for where breakouts are going to occur instead of sitting thru areas choppy price action that drain delta and cause them to lose value even if price is up trending. This script tries to identify when a trend reversal is expected based on one minute price action on the SPY. It alerts users to prepare for potential breakout when 5 out of the 6 key optimized parameters are discovered by showing a white L or S. Once all six trigger, it informs the user at the close of that candle with a golden triangle with Pivot Up or Pivot Down. As scalping options is something that is expected to be short in duration, a take profit and stop loss of 30 cents of price actions is established. If five or more parameters occur after the pivot is initiated, then stop losses and take profits are adhered to; however, if there are less, then it waits to take profit or stop the trade, as likely it is just noise and it will finish trend with an additional breakout.
This script has been created to take into account how the following variables impact trend for SPY 1 Minute:
ema vs 13 ema : A cross establishes start of trend
MACD (Line, Signal & Slope) : If you have momentum
ADX : if you are trending
RSI : If the trend has strength
The above has been optimized to determine pivot points in the trend using key values for these 6 indicators
bounce up = ema5 > ema13 and macdLine < .5 and adx > 20 and macdSlope > 0 and signalLine > -.1 and rsiSignal > 40
bounce down = ema5 < ema13 and macdLine > -.5 and adx > 20 and signalLine < 0 and macdSlope < 0 and rsiSignal < 60
White L's indicate that 5 of 6 conditions are met due to impending uptrend w/ missing one in green below it
Yellow L's indicate that 6 of 6 conditions still are met
White S's indicate that 5 of 6 conditions are met due to impending downtrend w/ missing condition in red above it
Yellow S's indicate that 6 of 6 conditions still are met
After a downtrend or uptrend is established, once it closes it can't repeat for 10 minutes
Won't open any trades on last two minutes of any hours to avoid volatility
Will close any open trades going into last minute of hour to avoid large overnight random swings.
Options
BEST ABCD Pattern Screener Deribit:DVOL BTC DXY scannerModified this script by Daveatt (based on Ricardo Santos Fractals)
to scan patterns in BTCUSD, ETHUSD, DVOL, DXY, DVOL/VV
Monthly Options Expiration 2023Monthly options expiration for the year 2023.
Also you can set a flag X no. of days before the expiration date. I use it at as marker to take off existing positions in expiration week or roll to next expiration date or to place new trades.
All the best traders.
AIO Key LevelsAll In One Key Levels - Displays key levels for any type of chart.
Over 30 levels at your complete disposal.
Filled with a host of features that allow you to customise the appearance and display of the indicator to suit your individual trading style.
The result is a clear and concise indicator that helps traders easily identify key levels.
- The indicator is easy to use and does not need a detailed description.
- With customisable input parameters such as display style, line style, font style, offset, threshold and index.
- The colours for the key levels can also be customised.
- The script uses a 'switch' function and selected input parameters to set display, line and font styles.
- The key levels are constructed using the data received and the selected styles and colours.
- A unique cycle helps to improve the readability of the levels without "polluting" the graph with multiple labels
- In addition, I have left hints in the indicator to help you understand it better.
For Pine coders.
Why did I create it when there are many counterparts?
Simply because counterparts have very large and complex code and modest functionality and flex.
Here I have managed to fit it into 100 lines still readable.
You can learn how to call lots of lines and marks with just one function.
I also created a unique loop that connects labels if they are too close together for better visibility on a plot.
I have left detailed comments for each action.
I would be glad if someone could tell me how to make it more easier.
Morning Option Pullback IndicatorI designed this indicator to help me identify Option CALL and PUT signals for the QQQ and SPY on the 1 min chart.
Summary of how it works
1. It identifies the Pre-Market channel High and Low and draws green and red lines for the day at these levels.
2. Waits for a morning or afternoon sessions breakout/breakdown of price out of that channel.
3. The buy a CALL or PUT signal is when price pulls back to the EMA Medium line after breaking out of the channel.
4. Settings allow adjusting of when the signal happens
5. EMA Short (5) and EMA Medium (20) must stay apart for a selectable number of bars
6. For a CALL signal, the Price and EMA Medium (20) must be above the Pre Market High line when price pulls back to EMA Medium (20) line
7. There is a selectable adjustment to allow the signal to trigger when the price comes within a close enough range of the EMA Medium and PM High lines
8. There is a TICK.US filter that you can use to only signal a CALL when the TICK.US 10 min chart shows the average of the EMA5 and EMA20 is over 100
9. It has Buy and Sell signal Alerts and user adjustable Stop Loss and Profit Taker settings.
10. EMA Settings are adjustable and can show up to 3 EMA's on the chart. I personally like the EMA5 and 20. Others may use something similar like 9 and 21. It's user selectable.
Generalized Smooth StepHello, folks. Sorry for not posting anything for a long time, just busy with my university studies for the moment.
Quick script for today — Smooth Step.
You can search for it in Wikipedia, but saying shortly and informatively, this is just an advanced type of oscillator, used as momentum indicator.
In the codes across the Internet everybody uses the 3rd order equation, BUT I found it kinda boring to use indicator this simple, so I made an option to choose the order of the equation in the settings — parameter "Order of the equation". This why it is called generalized smooth step, as it makes possible to use equation of virtually any order.
It is limited to 18 because very strange behaviour that you get after passing 18th order (it jsut becomes not tradeable any longer).
As I've mentioned above, it is an advanced version of classical oscillator, used as momentum indicator .
How to use it?
If smooth step is above 50, then the price momentum is bullish;
If smooth step is below 50, then the price momentum is bearish.
As simple as it is, it becomes useful enough on the higher timeframes (>=1H), so feel free to play with it and find optimal settings for yourself.
Hints
Try perform different smoothing and leading methods (developed by Ehler) to get better results;
You can use smooth step as confirmation/filter for trend-following trades.
Hope you will find it valueable.
Take your profits!
- Tarasenko Fyodor
RU:
Привет, ребята. Извините, что долго ничего не выкладывал, просто сейчас занят учебой в университете.
Быстрый скрипт на сегодня — Smooth Step.
Вы можете поискать его теоретическое обоснование в Википедии, но если говорить кратко и информативно, то это совершенствованный тип классического осциллятора, используемый в качестве моментум-индикатора .
В кодах в интернете все используют уравнение 3-го порядка, НО Мне было скучно пользоваться таким простым индикатором, поэтому я сделал возможность выбирать порядок уравнения в настройках — параметр " Порядок уравнения». Поэтому он называется обобщеннымsmooth step, так как позволяет использовать уравнение практически любого порядка.
Я ограничил порядок уравнения 18 , потому что индикатор показывает начинается очень странное поведение, когда вы делаете порядок больше 18 (индикатор просто начинается вести семя хаотично, что ли).
Как я уже упоминал выше, это усовершенствованная версия классического осциллятора, используемого в качестве моментум-индикатора .
Как им пользоваться?
Если smooth step выше 50, то импульс цены бычий;
Если smooth steз\p ниже 50, то импульс цены медвежий.
Хоть это и очень простой индикатор, он может оказаться достаточно полезным на старших таймфреймах (>=1H), так что не стесняйтесь играть с ним и находить оптимальные настройки для себя.
Советы
Попробуйте использовать различные методы сглаживания и лидирования (разработан Джоном Элером (John Ehler)), чтобы получить лучшие результаты;
Вы можете использовать smooth step в качестве подтверждения/фильтра для сделок, следующих за трендом.
Надеюсь, этот скрипт будет вам полезен.
Получите прибыль!
- Тарасенко Фёдор
Orb breakout Buy condition =>ORB range 9:20-9:25. On 5 min TF if candle breaks high and next candle break high of that candle. buy signal when third candle breaks high of 2nd candle
Sell condition=>ORB range 9:20-9:25. On 5 min TF if candle breaks low and next candle break low of that candle. sell signal when third candle breaks low of 2nd candle
this indicator is extended version of my previous indicator i got a comment request from @RISHISAKHARE to devlope indicator based on above mention rule ....
SPX_Strikes_OpcionSigmaThis is a tool to know the strikes to use for Iron Condor.
You can change the colors for the lines.
It uses the VIX to estimate the movement of the SPX index.
VIX/VOLI RatioWe all know TVC:VIX . But what is NASDAQ:VOLI ?
VOLI is basically a measure of expectations for market volatility over the next 30 calendar days as expressed by ATM options on AMEX:SPY
nations.com
So why is this VIX /VOLI ratio important? It's because it can give an important measure of options skew.
It can show the premium of OTM options (particularly puts) over ATM.
It can show if traders are interested in owning wings in AMEX:SPY
Not a lot of info can be taken by just looking at the ratio as a standalone nominal value. Plus, the ratio is noisy and spotting a clear trend can be hard.
For these reasons, I decided to code this indicator (which is best used on the Daily chart).
I added two EMA clouds, 7 and 12 and color code them with respect to their positions. If 7 > 12, cloud will be green. If 7 < 12, cloud will be red. This will give a better view of how the ratio is trending.
I then added a lookback period that can be changed from the indicator's setting (along with the fast and slow EMAs).
The lookback period will be used to get the following parameters:
- highest value
- lowest value
- 10th, 30th, 50th, 70th and 90th percentiles
- Percentile Rank
- Average, Median and Mode
Having all these values in a table will give a better idea of where the current ratio sits.
Divergence and Pivot - Detector For Any IndicatorI present to you an indicator capable of determining the divergence and convergence points for any indicator you choose. It will also determine Pivot points.
All you need to do is add the indicator to your favorites and call it. Next, you need a second indicator for which you want to find divergences or pivots. Next you need choise 'Oscillator Source' section in my indicator, after that you need to choose the name of the indicator for which you want to find divergences . - Done!
Thanks to the developers of TradingView for posting the source code of the "Divergence Indicator" indicator.
Extreme Volume Support Resistance LevelsExtreme Volume Support Resistance Levels are S/R levels(zones, basically), based on extreme volume .
Settings:
Lookback -- number of bars, which algorithm will be using;
Volume Threshold Period -- period of MA (Volume MA), which smoothers volume in order to find the extremes;
Volume Threshold Multiplier -- multiplier for Volume MA, which "lift" Volume MA and thus will provide the algorithm with more accurate extreme volume ;
Number of zones to show -- number of last S/R zones, which will be shown on the chart.
RU:
Extreme Volume Support Resistance Levels — это уровни S/R (зоны, в основном), основанные на избыточном объеме.
Параметры:
Lookback -- число баров, которое алгоритм будет использовать для расчётов;
Volume Threshold Period -- период MA (Volume MA), которая сглаживает объем для нахождения экстремумов объёма;
Volume Threshold Multiplier -- множитель для Volume MA, который "поднимает" Volume MA и тем самым обеспечивает алгоритм более точными значениями экстремального объёма;
Количество зон для отображения -- количество оставшихся зон S/R, которые отображаются на графике.
(2) Two AlertsCurrent Trading View free plan allows only ONE active alert.
This simple indicator Allows to trigger this ONE and ONLY alert when price reaches Higher, or Lower price level.
You can set levels and turn alerts for them on/off in settings, or by just drag-n-dropping Horizontal lines on the chart.
To set the only alert you need to create new alert, and change it's following parameters :
condition : 2alerts
Any alert function() call
Feel free to modify it on your needs.
[ChasinAlts] A New Beginning[MO]Hello Tradeurs, firstly let me say this… Please do not think that this dump is over (so I want to gift you one of the best gifts I CAN gift you at the PERFECT TIME...which is now) but I believe it to be the final one before a New Beginning is upon us. I hope that anybody that sees this within the next day or so listens to me when I tell you this… Follow the instructions below, IF ANYTHING, just to set the alert to be notify you so you can see why I’m about to tell you everything that I’m about to tell you. That being that this indicator is pure magic…..BUT you must stay in your lane when using it (ie. ultimately, understand its use case) and most importantly, how many people you expose it to. The good thing about it is it produces very few alerts. In fact, it was built SOLELY to find the very tips of MAJOR dumps/pumps (with its current default settings). I honestly cannot remember where I acquired the code so if anyone recognizes it please direct me to the source so I can give a shoutout. In the past it has been so astonishingly accurate that I didn’t want to publish it but I've just been...in the mood I suppose recently.
Now…it is SPECIFICALLY meant for the 1min TF. I’ll say it again… It is meant for ONE MINUTE CHARTS…it was built for 1min charts, it will only work as well as I’m describing to you on the…you guessed it…ONE MINUTE CHART (again, with the default settings how they are, that is). If any of you use it for this present dump (November 8, 2022) and want to thank me for it or speak very highly about it or give it a bunch of likes… DO NOT!!! I will reword this so you fully comprehend my urgency on this matter. I do not want this indicator getting out for every Joe Schmoe (or stupid YouTuber) to use and spread because the manipulators will see to it that it will no longer work. Things that will happen that will cause it to gain the popularity that I do not want it to have are the following:
1) You "like" the indicator in TradingView to show appreciation/that your using it so that it will show up in your indicators list (to get past this you need to select all of the text of the script on the indicator's page and copy and paste it into the “Pine Editor”. Then select "save" and name it as you wish. Now, it is in your indicator list under the name that you saved it as.
2) You *favorite* the indicator in TradingView
3) You leave comments in the comments section on the indicators page in TradingView (I really do love hearing comments about anything regarding my indicators(positive or negative..though I haven't gotten any negative yet SO BRING IT ON), even though I don’t get too many of them, so if you are grateful (or hateful) PLEASE message me privately (and really I truly truly do appreciate getting comments/messages so if it has benefited you make sure to message me as I might have more for those that do express their gratitude) and tell me anything that you want to tell me or ask me anything that you wanna ask me there).
One major thing that will help to suppress its popularity will be that if anybody goes back on historical charts to see its accuracy they most likely will not be able to go far back enough on the 1min TF to be able to Witness its efficacy so I'm banking on that helping to keep a lid on things.
The settings used (as well as the TF used) really should not be changed if using it for its intended purpose. On little dumps that last for a few hours os so will produce points somewhere in the 40 to 60 range at the dumps/pumps peak. Each coin is worth one point and there are 40 coins per set and 2 sets (that you will have to link together) and when the under the hood indicator is triggered for that coin it will add a point to the score. With the settings how they are and on the 1min TF(if I hadn't mentioned it yet. lol) a good point alert threshold to use to catch the apex of heavy pumps/dumps would be between 70 to 80 points(80 is max). Ultimately is the users choice to input the alert threshold of points in the indicators settings(default is 72). If you’re trying to nail the very bottom of a hard pump/dump, DO NOT fall for times where it peaks at 50 to 60. You’re looking for 70 or above.
*** This is the most important thing to do as you will not receive an alert if you do not do this correctly. You have to add the indicator two times to the chart. One of the indicators needs to be under “Coin Set 1“ and the other under “Coin Set 2“. Now, in “Set 1“ you need to go to the setting entitled “Select New Beginning Count Plot from drop-down“ and you need to open the drop-down and select the plot entitled “A New Beginning Count Plot”. This will link both the indicators and since there are 40 coins per iteration of the script, when you link them it could give you a max of 80 points total at the very peak of a very strong dump...which will obviously be rare. You CAN use only one copy of the script (but need to change the alert setting to a MAX of 40) but in my experience it's best to use both of them and to link them. It gives you a more well-rounded outcome. Good luck my people and always remember...Much love...Much Love. May the force be with your trades. -ChasinAlts out.
4C Expected Move (Weekly Options)This indicator plots the Expected Move (EM) calculated from weekly options pricing, for a quick visual reference.
The EM is the amount that a stock is predicted to increase or decrease from its current price, based on the current level of implied volatility.
This range can be viewed as support and resistance, or once price gets outside of the range, institutional hedging actions can accelerate the move in that direction.
The EM range is based on the Weekly close of the prior week.
It can be useful to know what the weekly EM range is for a stock to understand the probabilities of the overall distance, direction and volatility for the week.
To use this indicator you must have access to a broker with options data (not available on Tradingview).
Look at the stock's option chain and find the weekly expected move. You will have to do your own research to find where this information is displayed depending on your broker.
See screenshot example on the chart. This is the Thinkorswim platform's option chain, and the Implied Volatility % and the calculated EM is circled in red. Use the +- number in parentheses, NOT the % value.
Input that number into the indicator on a weekly basis, ideally on the weekend sometime after the cash market close on Friday, and before the Market open at the beginning of the trading week.
The indicator must be manually updated each week.
It will automatically start over at the beginning of the week.
RedK Magic Ribbon JeetendraGaurCross Over Strategy
Moving average Cross Over Strategy
Please use in 1 minute Expiry
Moving Averages SelectionHello everyone, I present my first script. In it I collect a group of fully configurable moving averages, both in color, value and selection of the ones we want to observe.
The moving averages I collect are 3 of each of the following types:
EMA: An exponential moving average ( EMA ) is a type of moving average (MA) that places a greater weight and significance on the most recent data points.
SMA: It is simply the average price over the specified period. The average is called "moving" because it is plotted on the chart bar by bar, forming a line that moves along the chart as the average value changes.
HMA: The Hull Moving Average ( HMA ) attempts to minimize the lag of a traditional moving average while retaining the smoothness of the moving average line. Developed by Alan Hull in 2005, this indicator makes use of weighted moving averages to prioritize more recent values and greatly reduce lag.
RMA: The Rolling Moving Average, sometimes referred to as "Smoothed Moving Average", gives the recent prices most weighting, though the historic prices are also weighted, each given less weighting further back in time.
WMA: The weighted moving average ( WMA ) is a technical indicator that traders use to generate trade direction and make a buy or sell decision. It assigns greater weighting to recent data points and less weighting on past data points.
I am open to any opinion and advice for improvement, greetings, I hope you find it useful :)
LazyScalp BoardThis indicator allows you to quickly view all important parameters in the table.
The table consists of a daily volume indicator, an average volume for a certain period, a volatility indicator (normalized ATR) and a correlation coefficient.
All parameters can be flexibly customized. You can also customize the table display, styles, and more.
This indicator is primarily useful for intraday traders and scalpers to quickly select an instrument to trade.
Higher Time Frame Average True RangesPurpose: This script will help an options trader asses risk and determine good entry and exit strategies
Background Information: The true range is the greatest of: current high minus the current low; the absolute value of the current high minus the previous close; and the absolute value of the current low minus the previous close. The Average True Range (ATR) is a 14-day moving average of the true range. Traders use the ATR indicator to assess volatility in stocks and decide when to enter and exit trades. It is important to note the limitations of using True Range and ATR: These indications cannot tell you the direction of your options trade (call vs. put) and they cannot tell you whether a particular trend is about to reverse. However, it can be used to assess if volatility has peaked for a particular direction and time period.
How this script works: This indicator calculates true range for the daily (DTR), weekly (WTR), and monthly (MTR) time frames and compares it to the Average True Range (ATR) for each of those time frames (DATR, WATR, and MATR). The comparison is displayed into a colored table in the upper right-hand corner of the screen. When a daily, weekly, or monthly true range reaches 80% of its respective ATR, the row for that time frame will turn Orange indicating medium risk for staying in the trade. If the true range goes above 100% of the respective ATR, then the row will turn Red indicating high risk for staying in the trade. When the row for a time period turns red, volatility for the time period has likely peaked and traders should heavily consider taking profits. It is important to note these calculations start at different times for each time frame: Daily (Today’s Open), Weekly (Monday’s Open), Monthly (First of the Month’s Open). This means if it’s the 15th of the month then the Monthly True Range is being calculated for the trading days in the first half of the month (approximately 10 trade days).
The script also plots three sets of horizontal dotted lines to visually represent the ATR for each time period. Each set is generated by adding and subtracting the daily, weekly, and monthly ATRs from that time periods open price. For example, the weekly ATR is added and subtracted from Mondays open price to visually represent the true range for that week. The DATR is represented by red lines, the WATR is represented by the green lines, and the MATR is represented by the blue lines. These plots could also be used to assess risk as well.
How to use this script: Use the table to assess risk and determine potential exit strategies (Green=Low Risk, Orange=Medium Risk, Red=High Risk. Use the dotted lines to speculate what a stock’s price could be in a given time period (Daily=Red, Weekly=Green, and Monthly=Blue). And don’t forget the true range’s calculation and plots starts at the beginning of each time period!
Reset Strike Options-Type 2 (Gray Whaley) [Loxx]For a reset option type 2, the strike is reset in a similar way as a reset option 1. That is, the strike is reset to the asset price at a predetermined future time, if the asset price is below (above) the initial strike price for a call (put). The payoff for such a reset call is max(S - X, 0), and max(X - S, 0) for a put, where X is equal to the original strike X if not reset, and equal to the reset strike if reset. Gray and Whaley (1999) have derived a closed-form solution for the price of European reset strike options. The price of the call option is then given by (via "The Complete Guide to Option Pricing Formulas")
c = Se^(b-r)T2 * M(a1, y1; p) - Xe^(-rT2) * M(a2, y2; p) - Se^(b-r)T1 * N(-a1) * N(z2) * e^-r(T2-T1) + Se^(b-r)T2 * N(-a1) * N(z1)
p = Se^(b-r)T1 * N(a1) * N(-z2) * e^-r(T2-T1) + Se^(b-r)T2 * N(a1) * N(-z1) + Xe^(-rT2) * M(-a2, -y2; p) - Se^(b-r)T2 * M(-a1, -y1; p)
where b is the cost-of-carry of the underlying asset, a is the volatility of the relative price changes in the asset, and r is the risk-free interest rate. K is the strike price of the option, T1 the time to reset (in years), and T2 is its time to expiration. N(x) and M(a,b; p) are, respectively, the univariate and bivariate cumulative normal distribution functions. Further
a1 = (log(S/X) + (b+v^2/2)T1) / v*T1^0.5 ... a2 = a1 - v*T1^0.5
z1 = ((b+v^2/2)(T2-T1)) / v*(T2-T1)^0.5 ... z2 = z1 - v*(T2-T1)^0.5
y1 = (log(S/X) + (b+v^2/2)T1) / v*T1^0.5 ... y2 = a1 - v*T1^0.5
and p = (T1/T2)^0.5. For reset options with multiple reset rights, see Dai, Kwok, and Wu (2003) and Liao and Wang (2003).
Inputs
Asset price ( S )
Strike price ( K )
Reset time ( T1 )
Time to maturity ( T2 )
Risk-free rate ( r )
Cost of carry ( b )
Volatility ( s )
Numerical Greeks or Greeks by Finite Difference
Analytical Greeks are the standard approach to estimating Delta, Gamma etc... That is what we typically use when we can derive from closed form solutions. Normally, these are well-defined and available in text books. Previously, we relied on closed form solutions for the call or put formulae differentiated with respect to the Black Scholes parameters. When Greeks formulae are difficult to develop or tease out, we can alternatively employ numerical Greeks - sometimes referred to finite difference approximations. A key advantage of numerical Greeks relates to their estimation independent of deriving mathematical Greeks. This could be important when we examine American options where there may not technically exist an exact closed form solution that is straightforward to work with. (via VinegarHill FinanceLabs)
Numerical Greeks Outputs
Delta D
Elasticity L
Gamma G
DGammaDvol
GammaP G
Vega
DvegaDvol
VegaP
Theta Q (1 day)
Rho r
Rho futures option r
Phi/Rho2
Carry
DDeltaDvol
Speed
Strike Delta
Strike gamma
Things to know
Only works on the daily timeframe and for the current source price.
You can adjust the text size to fit the screen
Writer Extendible Option [Loxx]These options can be exercised at their initial maturity date /I but are extended to T2 if the option is out-of-the-money at ti. The payoff from a writer-extendible call option at time T1 (T1 < T2) is (via "The Complete Guide to Option Pricing Formulas")
c(S, X1, X2, t1, T2) = (S - X1) if S>= X1 else cBSM(S, X2, T2-T1)
and for a writer-extendible put is
c(S, X1, X2, T1, T2) = (X1 - S) if S< X1 else pBSM(S, X2, T2-T1)
Writer-Extendible Call
c = cBSM(S, X1, T1) + Se^(b-r)T2 * M(Z1, -Z2; -p) - X2e^-rT2 * M(Z1 - vT^0.5, -Z2 + vT^0.5; -p)
Writer-Extendible Put
p = cBSM(S, X1, T1) + X2e^-rT2 * M(-Z1 + vT^0.5, Z2 - vT^0.5; -p) - Se^(b-r)T2 * M(-Z1, Z2; -p)
b=r options on non-dividend paying stock
b=r-q options on stock or index paying a dividend yield of q
b=0 options on futures
b=r-rf currency options (where rf is the rate in the second currency)
Inputs
Asset price ( S )
Initial strike price ( X1 )
Extended strike price ( X2 )
Initial time to maturity ( t1 )
Extended time to maturity ( T2 )
Risk-free rate ( r )
Cost of carry ( b )
Volatility ( s )
Numerical Greeks or Greeks by Finite Difference
Analytical Greeks are the standard approach to estimating Delta, Gamma etc... That is what we typically use when we can derive from closed form solutions. Normally, these are well-defined and available in text books. Previously, we relied on closed form solutions for the call or put formulae differentiated with respect to the Black Scholes parameters. When Greeks formulae are difficult to develop or tease out, we can alternatively employ numerical Greeks - sometimes referred to finite difference approximations. A key advantage of numerical Greeks relates to their estimation independent of deriving mathematical Greeks. This could be important when we examine American options where there may not technically exist an exact closed form solution that is straightforward to work with. (via VinegarHill FinanceLabs)
Numerical Greeks Output
Delta
Elasticity
Gamma
DGammaDvol
GammaP
Vega
DvegaDvol
VegaP
Theta (1 day)
Rho
Rho futures option
Phi/Rho2
Carry
DDeltaDvol
Speed
Things to know
Only works on the daily timeframe and for the current source price.
You can adjust the text size to fit the screen
Reset Strike Options-Type 1 [Loxx]In a reset call (put) option, the strike is reset to the asset price at a predetermined future time, if the asset price is below (above) the initial strike price. This makes the strike path-dependent. The payoff for a call at maturity is equal to max((S-X)/X, 0) where is equal to the original strike X if not reset, and equal to the reset strike if reset. Similarly, for a put, the payoff is max((X-S)/X, 0) Gray and Whaley (1997) x have derived a closed-form solution for such an option. For a call, we have
c = e^(b-r)(T2-T1) * N(-a2) * N(z1) * e^(-rt1) - e^(-rT2) * N(-a2)*N(z2) - e^(-rT2) * M(a2, y2; p) + (S/X) * e^(b-r)T2 * M(a1, y1; p)
and for a put,
p = e^(-rT2) * N(a2) * N(-z2) - e^(b-r)(T2-T1) * N(a2) * N(-z1) * e^(-rT1) + e^(-rT2) * M(-a2, -y2; p) - (S/X) * e^(b-r)T2 * M(-a1, -y1; p)
where b is the cost-of-carry of the underlying asset, a is the volatil- ity of the relative price changes in the asset, and r is the risk-free interest rate. X is the strike price of the option, r the time to reset (in years), and T is its time to expiration. N(x) and M(a, b; p) are, respec- tively, the univariate and bivariate cumulative normal distribution functions. The remaining parameters are p = (T1/T2)^0.5 and
a1 = (log(S/X) + (b+v^2/2)T1) / vT1^0.5 ... a2 = a1 - vT1^0.5
z1 = (b+v^2/2)(T2-T1)/v(T2-T1)^0.5 ... z2 = z1 - v(T2-T1)^0.5
y1 = log(S/X) + (b+v^2)T2 / vT2^0.5 ... y2 = y1 - vT2^0.5
b=r options on non-dividend paying stock
b=r-q options on stock or index paying a dividend yield of q
b=0 options on futures
b=r-rf currency options (where rf is the rate in the second currency)
Inputs
Asset price ( S )
Initial strike price ( X1 )
Extended strike price ( X2 )
Initial time to maturity ( t1 )
Extended time to maturity ( T2 )
Risk-free rate ( r )
Cost of carry ( b )
Volatility ( s )
Numerical Greeks or Greeks by Finite Difference
Analytical Greeks are the standard approach to estimating Delta, Gamma etc... That is what we typically use when we can derive from closed form solutions. Normally, these are well-defined and available in text books. Previously, we relied on closed form solutions for the call or put formulae differentiated with respect to the Black Scholes parameters. When Greeks formulae are difficult to develop or tease out, we can alternatively employ numerical Greeks - sometimes referred to finite difference approximations. A key advantage of numerical Greeks relates to their estimation independent of deriving mathematical Greeks. This could be important when we examine American options where there may not technically exist an exact closed form solution that is straightforward to work with. (via VinegarHill FinanceLabs)
Numerical Greeks Ouput
Delta
Elasticity
Gamma
DGammaDvol
GammaP
Vega
DvegaDvol
VegaP
Theta (1 day)
Rho
Rho futures option
Phi/Rho2
Carry
DDeltaDvol
Speed
Things to know
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Fade-in Options [Loxx]A fade-in call has the same payoff as a standard call except the size of the payoff is weighted by how many fixings the asset price were inside a predefined range (L, U). If the asset price is inside the range for every fixing, the payoff will be identical to a plain vanilla option. More precisely, for a call option, the payoff will be max(S(T) - X, 0) X 1/n Sum(n(i)), where n is the total number of fixings and n(i) = 1 if at fixing i the asset price is inside the range, and n(i) = 0 otherwise. Similarly, for a put, the payoff is max(X - S(T), 0) X 1/n Sum(n(i)).
Brockhaus, Ferraris, Gallus, Long, Martin, and Overhaus (1999) describe a closed-form formula for fade-in options. For a call the value is given by
max(X - S(T), 0) X 1/n Sum(n(i))
describe a closed-form formula for fade-in options. For a call the value is given by
c = 1/n * Sum(S^((b-r)*T) * (M(-d5, d1; -p) - M(-d3, d1; -p)) - Xe^(-rT) * (M(-d6, d2; -p) - M(-d4, d2; -p))
where n is the number of fixings, p = (t1^0.5/T^0.5), t1 = iT/n
d1 = (log(S/X) + (b + v^2/2)*T) / (v * T^0.5) ... d2 = d1 - v*T^0.5
d3 = (log(S/L) + (b + v^2/2)*t1) / (v * t1^0.5) ... d4 = d3 - v*t1^0.5
d5 = (log(S/U) + (b + v^2/2)*t1) / (v * t1^0.5) ... d6 = d5 - v*t1^0.5
The value of a put is similarly
p = 1/n * Sum(Xe^(-rT) * (M(-d6, -d2; -p) - M(-d4, -d2; -p))) - S^((b-r)*T) * (M(-d5, -d1; -p) - M(-d3, -d1; -p)
b=r options on non-dividend paying stock
b=r-q options on stock or index paying a dividend yield of q
b=0 options on futures
b=r-rf currency options (where rf is the rate in the second currency)
Inputs
Asset price ( S )
Strike price ( K )
Lower barrier ( L )
Upper barrier ( U )
Time to maturity ( T )
Risk-free rate ( r )
Cost of carry ( b )
Volatility ( s )
Fixings ( n )
cnd1(x) = Cumulative Normal Distribution
nd(x) = Standard Normal Density Function
cbnd3() = Cumulative Bivariate Distribution
convertingToCCRate(r, cmp ) = Rate compounder
Numerical Greeks or Greeks by Finite Difference
Analytical Greeks are the standard approach to estimating Delta, Gamma etc... That is what we typically use when we can derive from closed form solutions. Normally, these are well-defined and available in text books. Previously, we relied on closed form solutions for the call or put formulae differentiated with respect to the Black Scholes parameters. When Greeks formulae are difficult to develop or tease out, we can alternatively employ numerical Greeks - sometimes referred to finite difference approximations. A key advantage of numerical Greeks relates to their estimation independent of deriving mathematical Greeks. This could be important when we examine American options where there may not technically exist an exact closed form solution that is straightforward to work with. (via VinegarHill FinanceLabs)
Things to know
Only works on the daily timeframe and for the current source price.
You can adjust the text size to fit the screen
