vol_bracket

9 sept. 2021

This simple script shows an "N" standard deviation volatility bracket, anchored at the opening price of the current month, week, or quarter. This anchor is meant to coincide roughly with the expiration of options issued at the same interval. You can choose between a manually-entered IV or the hv30 volatility model.

Unlike my previous scripts, which all show the volatility bracket as a rolling figure, the anchor helps to visualize the volatility estimate in relation to price as it ranges over the (approximate) lifetime of a single, real contract.

13 sept. 2021

Notes de version

- Fixed a bug where the monthly bracket started one day late for instruments with an overnight session.
- Added a daily bracket.

13 sept. 2021

Notes de version

Added an "efficiency" table. Efficiency is the ratio of periods in which price closed within the period's bracket (both), below the top bound (up), or above the bottom bound (down), to those in which it did not.

14 sept. 2021

Notes de version

- added table to display current vol and model

17 déc. 2021

Notes de version

to make the script more readable:

- color brackets "blue" if close is inside, "fuchsia" if outside
- changed the bracket to "circles" style on the daily chart... stepline style is too messy