0–14 DTE Volatility Screener (For Matt)

il y a 17 heures

ABOUT THIS SCRIPT – 0–14 DTE Volatility Screener

This indicator is designed to identify stocks and ETFs that are well-suited for short-dated options trading (0–14 days to expiration). Short-term options require the underlying ticker to exhibit sufficient realized volatility, consistent range, and clean trend structure to overcome rapid theta decay. This tool highlights instruments with the volatility characteristics needed to support high-quality intraday and short-term swing setups.

What the Indicator Measures

ATR % of Price (ATR%):
The script calculates ATR(14) and expresses it as a percentage of current price. This normalizes volatility across tickers of different price levels.

ATR% = (ATR / Close) × 100

Volatility Thresholds:
Two benchmark levels are plotted:

1.5% ATR → Minimum volatility required for 0–14 DTE setups

3.0% ATR → Preferred high-volatility zone for strong directional trades

Trend Bias (Internal Logic Only):
The script evaluates whether price is above or below the 20-EMA and 50-EMA.

Above both EMAs = long-biased context

Below both EMAs = short-biased context
(Displayed visually only if modifications are added.)

Optional IV Rank Filter:
A placeholder exists for IV Rank integration. If IV Rank data is available, the indicator can filter for environments where implied volatility is not too low or excessively inflated.

How to Interpret the Output

ATR% Line Below 1.5%:
The ticker lacks adequate range. Avoid 0–14 DTE trades unless a catalyst is imminent.

ATR% Between 1.5% and 3%:
Volatility is tradable but moderate. Suitable for structured setups and conservative premium deployment.

ATR% Above 3%:
High-quality volatility environment. The ticker is capable of large, directional moves that can support aggressive 0–14 DTE entries.

Background Highlighting (If Enabled):
The background turns on only when all volatility and IV conditions are satisfied, signaling a fully qualified short-dated options candidate.

Intended Use

This indicator is not a buy/sell signal. It is a volatility qualification tool that helps traders narrow their universe to symbols capable of producing meaningful intraday and multi-day moves. It is most effective when combined with:

Higher-time-frame trend analysis

Liquidity and spread evaluation

Catalyst awareness (earnings, news flow, macro events)

Summary

The 0–14 DTE Volatility Screener provides a normalized, objective measure of whether a ticker offers enough movement to justify short-dated options trading. It helps filter out low-range names and directs focus toward instruments with actionable volatility, cleaner structure, and meaningful opportunity.

Complete Workflow (Optimal)

Daily (1D) → Does the ticker qualify?

ATR ≥ 1.5% → tradeable

ATR ≥ 3% → high-quality

4H & 1H → HTF trend

Only allow trades in the direction of HTF structure

15m or 5m → Entry timing

il y a 17 heures

Notes de version

ABOUT THIS SCRIPT – 0–14 DTE Volatility Screener

This indicator is designed to identify stocks and ETFs that are well-suited for short-dated options trading (0–14 days to expiration). Short-term options require the underlying ticker to exhibit sufficient realized volatility, consistent range, and clean trend structure to overcome rapid theta decay. This tool highlights instruments with the volatility characteristics needed to support high-quality intraday and short-term swing setups.

What the Indicator Measures

ATR % of Price (ATR%):
The script calculates ATR(14) and expresses it as a percentage of current price. This normalizes volatility across tickers of different price levels.

ATR% = (ATR / Close) × 100

Volatility Thresholds:
Two benchmark levels are plotted:

1.5% ATR → Minimum volatility required for 0–14 DTE setups

3.0% ATR → Preferred high-volatility zone for strong directional trades

Trend Bias (Internal Logic Only):
The script evaluates whether price is above or below the 20-EMA and 50-EMA.

Above both EMAs = long-biased context

Below both EMAs = short-biased context
(Displayed visually only if modifications are added.)

Optional IV Rank Filter:
A placeholder exists for IV Rank integration. If IV Rank data is available, the indicator can filter for environments where implied volatility is not too low or excessively inflated.

How to Interpret the Output

ATR% Line Below 1.5%:
The ticker lacks adequate range. Avoid 0–14 DTE trades unless a catalyst is imminent.

ATR% Between 1.5% and 3%:
Volatility is tradable but moderate. Suitable for structured setups and conservative premium deployment.

ATR% Above 3%:
High-quality volatility environment. The ticker is capable of large, directional moves that can support aggressive 0–14 DTE entries.

Background Highlighting (If Enabled):
The background turns on only when all volatility and IV conditions are satisfied, signaling a fully qualified short-dated options candidate.

Intended Use

This indicator is not a buy/sell signal. It is a volatility qualification tool that helps traders narrow their universe to symbols capable of producing meaningful intraday and multi-day moves. It is most effective when combined with:

Higher-time-frame trend analysis

Liquidity and spread evaluation

Catalyst awareness (earnings, news flow, macro events)

Summary

The 0–14 DTE Volatility Screener provides a normalized, objective measure of whether a ticker offers enough movement to justify short-dated options trading. It helps filter out low-range names and directs focus toward instruments with actionable volatility, cleaner structure, and meaningful opportunity.

Complete Workflow (Optimal)

Daily (1D) → Does the ticker qualify?

ATR ≥ 1.5% → tradeable

ATR ≥ 3% → high-quality

4H & 1H → HTF trend

Only allow trades in the direction of HTF structure

15m or 5m → Entry timing

This creates a consistent volatility → trend → execution framework.