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Implied Volatility w/ Deviation Levels

  • Post #1
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  • First Post: Dec 29, 2017 5:34pm Dec 29, 2017 5:34pm
Hello, I was wondering if anyone could point me in the direction of an indicator, for any platform, MT4, thinkorswim, ninjatrader, etc, that can calculate the implied volatility for a given time period (i.e. week, day, hour, 15 minutes, etc) and then provide standard deviation levels for that time period. I.e. it calculates the last 4 hours implied volatility and gives me standard deviation deviation levels for the next 4 hours time period. Any help would be appreciated.
I think the use for such an indicator isn't really useful to regular FX trading however, I believe it is useful for those of us trading Forex Options, or any options for that matter. To be able to have an indicator that can project the possible range of an instrument for a given time period can help in buying/selling options.

For those of you who aren't familiar, platforms like Nadex, offer hourly all the way to weekly options for Forex, and they aren't the typical binary options where it is all or nothing. You can buy and sell the option as the price appreciates or depreciates.

An example of how I would use these standard deviation levels are, if I see an option priced for $10, I know if it reaches the STRIKE price then the option will be worth $50. I do not have to worry about being stopped out, all I care about is if price touches this point and before the expiration time. Therefore an indicator that can calculate the volatility given a time period, and project the deviation levels for the current time frame would really benefit this strategy.

My current strategy is to buy out of the money options that I believe have a high probability of touching the strike price. My original option is worth 5x what I bought it for, and I can sell for a profit. All without having to care about stop losses, just focusing on price ranges and time.
If anyone is willing to code this indicator, I would not mind providing compensation.

The indicator should be able to calculate the expected volatility for the next minute, 5 minutes, 15 minutes, 30 minutes, hour, 4 hour, daily time frame using calculations given the previous minute, 5 minutes, 15 minutes, 30 minutes, hour 4 hour daily, weekly etc. It should simply project the price range for a future time frame given a previous time frame. The deviation levels can be manually entered, 10%, 30%, 68%, etc.
  • Post #4
  • Quote
  • Edited at 1:06pm Jan 1, 2018 4:38am | Edited at 1:06pm
You'd need to either find a programmer who's familiar with option pricing models (Black-Scholes?), or otherwise provide a specification with a complete, step-by-step explanation of the exact calculations required. My understanding is that the B-S pricing model can't be deconstructed, and hence you'd need to use some kind of iterative approximation process..... but it's been a long time since I tinkered with options, and I can't remember.

It sounds like an interesting project, but because I no longer trade options myself, then I'm sorry but it wouldn't be worth my while to spend a lot of time on it.
You could try all the obvious channels like upwork, or perhaps options trading forums, or a Google search.
Good luck, I hope that you can find a programmer to do the work.
Hi there Hanover.

Greetings and much appreciation for your generosity (been reading your comments).

Do you know of an Indicator that draws a vertical line on chart, the user input being a specified number of candles from the current (open) candle?.

All the ones I have seen are "time specific" as opposed to "candle specific".

Thanking you.

Krismitt.
Quoting Nghtmre
If anyone is willing to code this indicator, I would not mind providing compensation. The indicator should be able to calculate the expected volatility for the next minute, 5 minutes, 15 minutes, 30 minutes, hour, 4 hour, daily time frame using calculations given the previous minute, 5 minutes, 15 minutes, 30 minutes, hour 4 hour daily, weekly etc. It should simply project the price range for a future time frame given a previous time frame. The deviation levels can be manually entered, 10%, 30%, 68%, etc.
the simplest prediction is to predict that next bar volatility will be the same as current bar volatility. therefore calculate current bar range and assume it will be the same range next bar
Quoting Nghtmre
Hello, I was wondering if anyone could point me in the direction of an indicator, for any platform, MT4, thinkorswim, ninjatrader, etc, that can calculate the implied volatility for a given time period (i.e. week, day, hour, 15 minutes, etc) and then provide standard deviation levels for that time period. I.e. it calculates the last 4 hours implied volatility and gives me standard deviation deviation levels for the next 4 hours time period. Any help would be appreciated.

Apex Investing has one for Ninja.
Quoting Nghtmre
Hello, I was wondering if anyone could point me in the direction of an indicator, for any platform, MT4, thinkorswim, ninjatrader, etc, that can calculate the implied volatility for a given time period (i.e. week, day, hour, 15 minutes, etc) and then provide standard deviation levels for that time period. I.e. it calculates the last 4 hours implied volatility and gives me standard deviation deviation levels for the next 4 hours time period. Any help would be appreciated.
The simpliest and accurate way is (MathLog(Close / Close[1]) * Sqrt(Time) )*ZScore
The results are very realistic in showing the possible deviation boundaries.....
RandomWalk All Time Return: 10.3%
Quoting Nghtmre
Hello, I was wondering if anyone could point me in the direction of an indicator, for any platform, MT4, thinkorswim, ninjatrader, etc, that can calculate the implied volatility for a given time period (i.e. week, day, hour, 15 minutes, etc) and then provide standard deviation levels for that time period. I.e. it calculates the last 4 hours implied volatility and gives me standard deviation deviation levels for the next 4 hours time period. Any help would be appreciated.
Did you ever find anyone to code this for you? I also trade OTM Nadex options and would be interested. Thanks, Jeff
Quoting jeffie1
{quote} Did you ever find anyone to code this for you? I also trade OTM Nadex options and would be interested. Thanks, Jeff
OTM Nadex is my bread/butter. PM me.
Quoting JR97
{quote} OTM Nadex is my bread/butter. PM me.
sorry JR...I haven't made enough posts to qualify for PM's yet. Maybe you can PM me as I'd like to make contact with you on these OTM's.
Quoting JR97
{quote} OTM Nadex is my bread/butter. PM me.
How can I pm I want to learn
  • Post #13
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  • Last Post: Jul 12, 2020 4:24pm Jul 12, 2020 4:24pm
Quoting GoldTheHun
{quote} The simpliest and accurate way is (MathLog(Close / Close[1]) * Sqrt(Time) )*ZScore The results are very realistic in showing the possible deviation boundaries.....

First of all, I'm sorry for my mistakes in English! That square for calculating the volatility that you mentioned as it would be using the excel spreadsheet? So, what would the MathLog function look like in excel and my question is also about the Sqrt (time) function? Thank you very much in advance!
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