HV/IV Options IndicatorThe Options HV/IV indicator helps in comparing the Scripts Historic Volatility with Implied Volatility (provided by user). The Indicator creates 5 zones, starting from the bottom
Zone 1 - Very Cheap
Zone 2 - Cheap
Zone 3 - Fair
Zone 4 - Expensive
Zone 5 - Very Expensive
The location of the Implied Volatility (Blue line) in the corresponding zone helps in understanding the options pricing as very cheap, cheap, fair, expensive or very expensive. This analysis helps in choosing the correct option strategy when planning options trades.
Use the link below to obtain access to this indicator.
Historic
Long Term Levels (4h, D, W, M, Q, & Y)This shows and labels the highs and lows from the previous 4h, daily, weekly, monthly, quarterly and yearly session. By default it only shows weekly, monthly and yearly. It also has an option to use small labels (M vs Monthly High) to save your eyeballs. You may need to adjust your charts right hand margin to see them properly.
Everything is shown in very tasteful shades of blue. For a faster loading version of this check my other indicators.
OHLC Volatility Estimators by @Xel_arjonaDISCLAIMER:
The Following indicator/code IS NOT intended to be a formal investment advice or recommendation by the author, nor should be construed as such. Users will be fully responsible by their use regarding their own trading vehicles/assets.
The embedded code and ideas within this work are FREELY AND PUBLICLY available on the Web for NON LUCRATIVE ACTIVITIES and must remain as is by Creative-Commons as TradingView's regulations. Any use, copy or re-use of this code should mention it's origin as it's authorship.
WARNING NOTICE!
THE INCLUDED FUNCTION MUST BE CONSIDERED AS DEBUGING CODE The models included in the function have been taken from openly sources on the web so they could have some errors as in the calculation scheme and/or in it's programatic scheme. Debugging are welcome.
WHAT'S THIS?
Here's a full collection of candle based (compressed tick) Volatility Estimators given as a function, openly available for free, it can print IMPLIED VOLATILITY by an external symbol ticker like INDEX:VIX.
Models included in the volatility calculation function:
CLOSE TO CLOSE: This is the classic estimator by rule, sometimes referred as HISTORICAL VOLATILITY and is the must common, accepted and widely used out there. Is based on traditional Standard Deviation method derived from the logarithm return of current close from yesterday's.
ELASTIC WEIGHTED MOVING AVERAGE: This estimator has been used by RiskMetriks®. It's calculation is based on an ElasticWeightedMovingAverage Standard Deviation method derived from the logarithm return of current close from yesterday's. It can be viewed or named as an EXPONENTIAL HISTORICAL VOLATILITY model.
PARKINSON'S: The Parkinson number, or High Low Range Volatility, developed by the physicist, Michael Parkinson, in 1980 aims to estimate the Volatility of returns for a random walk using the high and low in any particular period. IVolatility.com calculates daily Parkinson values. Prices are observed on a fixed time interval. n=10, 20, 30, 60, 90, 120, 150, 180 days.
ROGERS-SATCHELL: The Rogers-Satchell function is a volatility estimator that outperforms other estimators when the underlying follows a Geometric Brownian Motion (GBM) with a drift (historical data mean returns different from zero). As a result, it provides a better volatility estimation when the underlying is trending. However, this Rogers-Satchell estimator does not account for jumps in price (Gaps). It assumes no opening jump. The function uses the open, close, high, and low price series in its calculation and it has only one parameter, which is the period to use to estimate the volatility.
YANG-ZHANG: Yang and Zhang were the first to derive an historical volatility estimator that has a minimum estimation error, is independent of the drift, and independent of opening gaps. This estimator is maximally 14 times more efficient than the close-to-close estimator.
LOGARITHMIC GARMAN-KLASS: The former is a pinescript transcript of the model defined as in iVolatility . The metric used is a combination of the overnight, high/low and open/close range. Such a volatility metric is a more efficient measure of the degree of volatility during a given day. This metric is always positive.
BTC Prehistoric v1Another "hack" to overlay early BTCUSD trade data onto a daily or weekly chart. Data is a simplified high/lows from Mt. Gox. This should be easier to use than the "BTC Historic" indicator since you do not lose 2 days of the week. Also you can publish ideas where the old script you would be spamming XAUUSD or some other symbol.
Usage:
Add the indicator to your daily chart. Right click on the right axis, turn off "Scale series only"
Quick note:
Early stamp history will not align with this indicator since there are days when Stamp had no trades.
Will add another indicator soon to fill in the early data for BTCe.
Hope this helps.
