TradingView
juicySkew
4 déc. 2022 16:43

SPX Implied Probability of closing above/below 

SP:SPX1D
S&P 500SP

Description

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This is a recreation of the work done by Michael Rechenthin aka "Dr.Data" from Tastytrade back in 2016 (this indicator is for SP:SPX only)
You can watch the episode where "Dr.Data", Tom and Tony go over this concept on the following link:
https://www.tastytrade.com/shows/the-skinny-on-options-data-science/episodes/spreadsheet-for-calculating-expected-moves-05-05-2016

The following are my personal additions:
- ability to choose between TVC:VIX and NASDAQ:VOLI as the IV input
- ability to choose between 252 and 365 for the number of days

Note that I’m displaying 4 decimal places (#.####) to be as accurate as possible but sometimes you will see 0% or 100% displayed which means that more decimal places are needed (0% could be 0.00005% or 100% could be 99.99995%).
statisticseducationalSPX (S&P 500 Index)VIX CBOE Volatility Indexvoliexpectedmoveimpliedmove
Commentaires
chuckaschultz
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Is very interesting. Thanks for putting in the effort to recreate. Was just looking at the performance for today and data was within expectations.
Plus