Volume Volatility Indicator
vol: volume; vma: rma of volume
Cyan column shows (vol - vma)/vma, if vol > vma else shows 0
0 value means vol less than vma: good for continuation
0 < value < 1 means vol more than vma: good for trend
value > 1 means vol more than 2 * vma: good for reversal
tr: truerange; atr: averagetruerange
Lime column show -(tr - atr)/atr, if tr...
Boness 1964 Option Pricing Formula is an options pricing model that pre-dates Black-Scholes-Merton. This model includes Analytical Greeks.
Boness (1964) assumed a lognormal asset price. Boness derives the following value for a call option:
c = SN(d1) - Xe^(rho * T)N(d2)
d1 = (log(S / X) + (rho + v^2 / 2) * T) / (v * T^0.5)
d2 = d1 - (v * T^0.5)
where rho...
Inspired from Volume xSMA.
Few changes from Volume xSMA
1. MA changed from SMA to RMA (better smoothness and filtering)
2. xRMA plot modified to cloumn and stepline combined (for better visibility)
3. Color pallete changed (personal liking)
Thanks for the support.
This is purely an Intraday strategy. 5 ema is used for scalping , while 20 ema is for short term trading, 50 ema is for mid term while 200 ema is used for long term trading. Also, 15 min high and low is market. If candle closes above 15 min high then BUY or candle closes below 15 min low then sell.
Generalized Black-Scholes-Merton on Variance Form is an adaptation of the Black-Scholes-Merton Option Pricing Model including Numerical Greeks. The following information is an excerpt from Espen Gaarder Haug's book "Option Pricing Formulas". This version is to price Options using variance instead of volatility.
Black- Scholes- Merton on Variance Form
In some...
Asay (1982) Margined Futures Option Pricing Model is an adaptation of the Black-Scholes-Merton Option Pricing Model including Analytical Greeks and implied volatility calculations. The following information is an excerpt from Espen Gaarder Haug's book "Option Pricing Formulas". This version is to price Options on Futures where premium is fully margined. This...
Black-76 Options on Futures is an adaptation of the Black-Scholes-Merton Option Pricing Model including Analytical Greeks and implied volatility calculations. The following information is an excerpt from Espen Gaarder Haug's book "Option Pricing Formulas". This version is to price Options on Futures. The options sensitivities (Greeks) are the partial derivatives...
Garman and Kohlhagen (1983) for Currency Options is an adaptation of the Black-Scholes-Merton Option Pricing Model including Analytical Greeks and implied volatility calculations. The following information is an excerpt from Espen Gaarder Haug's book "Option Pricing Formulas". This version of BSMOPM is to price Currency Options. The options sensitivities...
True Range Score:
This study transforms the price similar to how z-score works. Instead of using the standard deviation to divide the difference of the source and the mean to determine the sources deviation from the mean we use the true range. This results in a score that directly relates to what multiplier you would be using with the Keltner Channel. This is...
This version of Keltner Channels take measures the average volatility. By taking the 75th percentile of the average absolute value of the difference between the Source and the Mean divided by the True Range and using that as our multiplier for our Keltner Channels we can have a statistically safe trading zone. You notice that its dynamic, this is because it take...
About
This signal appears based on 2nd candle break out of Bollinger Bands (called Momentum) with additional EMA 50 and EMA 200 as trend filters. so the concept is to take advantage of candle breakout by following trends.
How to use
Buy: When signal 'Buy' appears (following trend of upper timeframe)
Recommended stop loss: previous swing low
Sell: When signal...
Generalized Black-Scholes-Merton w/ Analytical Greeks is an adaptation of the Black-Scholes-Merton Option Pricing Model including Analytical Greeks and implied volatility calculations. The following information is an excerpt from Espen Gaarder Haug's book "Option Pricing Formulas". The options sensitivities (Greeks) are the partial derivatives of the...
Black-Scholes 1973 OPM on Non-Dividend Paying Stocks is an adaptation of the Black-Scholes-Merton Option Pricing Model including Analytical Greeks and implied volatility calculations. Making b equal to r yields the BSM model where dividends are not considered. The following information is an excerpt from Espen Gaarder Haug's book "Option Pricing Formulas". The...
Library "combin"
Description:
The combin function is a the combination function
as it calculates the number of possible combinations for two given numbers.
This function takes two arguments: the number and the number_chosen.
For example, if the number is 5 and the number chosen is 1,
there are 5 combinations, giving 5 as a result.
Reference:
...
This version of Bollinger Bands measures the average volatility. By taking the 75th percentile of the average absolute value of the difference between the Source and the Mean divided by the Standard Deviation and using that as our multiplier for our Bollinger bands we can have a statistically safe trading zone.
You notice that its dynamic, this is because it take...
Have you ever wondered how much the RSI can vary during an open session? How much wicks can make the RSI overshoots before it retraces for the close?
This indicator plots the RSI shadow, which is the area between the highest and lowest RSI values attained during each open session, from the high/low wick price candle (ie, not the open value).
Technically, we...
Library "norminv"
Description:
An inverse normal distribution is a way to work backwards
from a known probability to find an x-value. It is an informal term and
doesn't refer to a particular probability distribution. Returns the
value of the inverse normal distribution function for a specified value,
mean, and standard deviation.
Reference:
...
Script for applying Federal Net Liquidity to the SPX post-2020 monetary policy. Original indicator from jlb05013 with adjustments to make it more readable and usable. When the indicator is above 250 the SPX is overbought and when it's below -250 the SPX is oversold.
It's not perfect, I'm just publishing because I didn't see it already out there.
![WMT: Boness 1964 Option Pricing Formula [Loxx]](https://s3.tradingview.com/r/RjLacOHv_mid.png "Boness 1964 Option Pricing Formula [Loxx]")
![WMT: Generalized Black-Scholes-Merton on Variance Form [Loxx]](https://s3.tradingview.com/s/SHgHh05Y_mid.png "Generalized Black-Scholes-Merton on Variance Form [Loxx]")
![WMT: Asay (1982) Margined Futures Option Pricing Model [Loxx]](https://s3.tradingview.com/w/W362GSmU_mid.png "Asay (1982) Margined Futures Option Pricing Model [Loxx]")
![WMT: Black-76 Options on Futures [Loxx]](https://s3.tradingview.com/v/VpsGfVA5_mid.png "Black-76 Options on Futures [Loxx]")
![WMT: Garman and Kohlhagen (1983) for Currency Options [Loxx]](https://s3.tradingview.com/4/43KUMLqw_mid.png "Garman and Kohlhagen (1983) for Currency Options [Loxx]")
![XAUUSD: BB Signal v2.1 [ABA Invest]](https://s3.tradingview.com/m/MUsQbltj_mid.png "BB Signal v2.1 [ABA Invest]")
![WMT: BSM OPM 1973 w/ Continuous Dividend Yield [Loxx]](https://s3.tradingview.com/e/ecJOXGMw_mid.png "BSM OPM 1973 w/ Continuous Dividend Yield [Loxx]")
![WMT: Black-Scholes 1973 OPM on Non-Dividend Paying Stocks [Loxx]](https://s3.tradingview.com/f/FRZfgQ7U_mid.png "Black-Scholes 1973 OPM on Non-Dividend Paying Stocks [Loxx]")
