Estrategias con Opciones

Script para obtener IV rank

Fuente: https://pastebin.com/kF0M9WeD

1. # chart_labels.ts - CHART LABELS - Adds handy quick-reference labels to the chart
2. #
3. # This study provides the following functionality:
4. #
5. # • Implied Volatility Rank (IV Percentile)
6. # • Price Rank (Price Percentile)
7. # • Significant Recent Price Move
8. # • Next Expiration Friday and DTE
9. # • Optimal Expiration Friday (user-provided target DTE) and DTE
10. # • Earnings Warning
11. # • Dividend Warning
12. #
13. # Each label may be independently enabled or disabled. Various display
14. # options are configurable for the Expiration Friday labels, such as
15. # toggling display of day and/or month of expiration Friday. Labels are
16. # color-coded to show proximity of the event (earnings and dividends)
17. # or based on the relative position of events (expiration Fridays) or
18. # depending on the actual value (IV & price ranks and significant price
19. # move). Labels are decluttered automatically if there are no applicable
20. # conditions or events.
21. #
22. # Additional details, including an explanation of the various colors,
23. # are contained in the comments in each section below.
24. #
25. # By: Chris Baker <ChrisBaker97@gmail.com> twitter: @ChrisBaker97
26. # The various studies collected here are also available in individual
27. # modules at: https://bitbucket.org/ChrisBaker97/thinkscript
28. #
29. # This thinkScript is designed for use in the Charts tab.
30. #
31. # This code should be considered to be in beta status, and bugs are
32. # likely. Date handing in thinkScript is notoriously lacking, and there
33. # may be boundary cases that are unaccounted for or incorrectly coded.
34. # I have not yet extensively tested this script against a range of potential
35. # dates. Please report any bugs or anomalous behavior to me at the email
36. # listed above.
37. #
38. # This work is licensed under the Creative Commons Attribution-ShareAlike
39. # 3.0 Unported License. To view a copy of this license, visit:
40. # http://creativecommons.org/licenses/by-sa/3.0/deed.en_US
41.  
42. declare upper ;
43. declare once_per_bar ;
44. declare hide_on_intraday ; # most functions are only relevant for daily aggregation
45.  
46. # * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * *
47. #
48. # GLOBAL CONSTRUCTS
49. #
50. # The user input brightness can range from 0 to 100 and controls the
51. # intensity of the plot's red-green color scheme. A lower brightness will
52. # show up better on a light background, and vice versa.
53.  
54. input brightness = 80 ;
55.  
56. # Check bounds and convert brightness input to an intensity factor between 0.2 and 1.0
57. def intensity = if brightness < 0 then 0.2
58. else if brightness > 100 then 1.0
59. else 0.2 + (brightness * 0.008) ;
60.  
61.  
62. # * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * *
63. #
64. # IMPLIED VOLATILITY RANK - Adds a colored label to the chart showing IV Rank
65. #
66. # This study simply places a label on the chart showing the current IV
67. # Rank, otherwise known as IV Percentile. In addition, the label is
68. # color-coded to hint at the IV Rank, where lower values appear red and
69. # higher values are green, suggesting greater premium available to be
70. # sold at a higher IV Rank. The period for IV calculation is the same as
71. # the chart duration. This data may be nonexistant or unreliable with
72. # other than a daily chart aggregation period.
73. #
74. # For a more complex visual presentation of IV Rank on the lower
75. # subgraph, see my other thinkScript: http://pastebin.com/0Vumd8Gt
76. #
77. # Credit goes to Allen Everhart (http://www.smalldoginvestor.com) for the
78. # original idea and implementation of IV Percentile as a chart label.
79. #
80. # Portions of this code are derived from the IV_percentile Scan tab
81. # thinkScript included with the thinkorswim platform by TD Ameritrade.
82.  
83. input ShowIvRank = yes ;
84.  
85. # Clean the IV data to remove any gaps
86.  
87. def ivClean = if IsNaN(ImpVolatility()) # if IV data doesn't exist for a particular period ...
88. then ivClean[1] # ... set it to the previous value so it won't taint the hi/lo
89. else ImpVolatility() * 100 ; # TOS expresses IV as a decimal - convert it to a percent
90.  
91. def ivHi = HighestAll(ivClean) ; # highest IV over range
92. def ivLo = LowestAll(ivClean) ; # lowest IV over range
93.  
94. def ivRank = Round( 100 * ( (ivClean - ivLo) / (ivHi - ivLo) ), 0) ;
95.  
96. # Define a color level from 0 to 255 based on current IV rank
97. def ivLevel = ivRank * 2.55;
98.  
99. # Calculate red and green color levels (modified by intensity) for the color function
100. def ivRed = intensity * (255 - ivLevel) ;
101. def ivGrn = intensity * (ivLevel) ;
102.  
103. # There seems to be an error in thinkScript, where certain symbols throw a color value out of range error,
104. # even when the ivRed and/or ivGrn values are verified well within range 0-255, when CreateColor() is called
105. # directly from within AddLabel(). Unfortunately, in these cases, the entire study fails, and absolutely
106. # nothing is displayed. As a workaround, I create a hidden plot, colored accordingly, and then steal that
107. # color value to shade the label. So far, this seems to function in all cases.
108. plot ivKludge = Double.NaN;
109. ivKludge.AssignValueColor(CreateColor(ivRed, ivGrn, 0)) ; # color according to IV rank
110. ivKludge.Hide() ;
111. ivKludge.HideTitle() ;
112.  
113. # Add label, colored according to current IV rank.
114. AddLabel(ShowIvRank, "IV Rank: " + ivRank + "%", ivKludge.TakeValueColor()) ;
115.  
116.  
117. # * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * *
118. #
119. # PRICE RANK - Adds a colored label to the chart showing Price Rank
120. #
121. # Similar to IV Rank, this displays at a glance where the current price is in
122. # relation to its range over the entire chart period. The color-coding is
123. # identical to IV Rank.
124.  
125. input ShowPriceRank = yes ;
126.  
127. # Clean the price data to remove any gaps
128. def pClean = if IsNaN(close) # if price data doesn't exist for a particular period ...
129. then pClean[1] # ... set it to the previous value so it won't taint the hi/lo
130. else close ;
131.  
132. def pHi = HighestAll(pClean) ; # highest price over range
133. def pLo = LowestAll(pClean) ; # lowest price over range
134.  
135. def pRank = Round( 100 * ( (pClean - pLo) / (pHi - pLo) ), 0) ;
136.  
137. # Define a color level from 0 to 255 based on current price rank
138. def pLevel = pRank * 2.55;
139.  
140. # Calculate red and green color levels (modified by intensity) for the color function
141. def pRed = intensity * (255 - pLevel) ;
142. def pGrn = intensity * (pLevel) ;
143.  
144. # There seems to be an error in thinkScript, where certain symbols throw a color value out of range error,
145. # even when the ivRed and/or ivGrn values are verified well within range 0-255, when CreateColor() is called
146. # directly from within AddLabel(). Unfortunately, in these cases, the entire study fails, and absolutely
147. # nothing is displayed. As a workaround, I create a hidden plot, colored accordingly, and then steal that
148. # color value to shade the label. So far, this seems to function in all cases.
149. plot pKludge = Double.NaN;
150. pKludge.AssignValueColor(CreateColor(pRed, pGrn, 0)) ; # color according to price Rank
151. pKludge.Hide() ;
152. pKludge.HideTitle() ;
153.  
154. # Add label, colored according to current IV Rank.
155. AddLabel(ShowPriceRank, "Price Rank: " + pRank + "%", pKludge.TakeValueColor()) ;
156.  
157.  
158. # SHOW SIGNIFICANT PRICE MOVE - pricePercent
159. #
160. # If the underlying has moved more than a specified amount (default 5%) in the last few (default 10) bars,
161. # highlight that fact with a color-coded Percent Price Move label.
162. #
163. # Adapted from code by Shah H. Development 2013
164.  
165. input ShowPricePercent = yes ;
166. input PricePercentBars = 10 ;
167. input PricePercentType = ohlc4 ;
168. input PricePercentTrigger = 5.0 ;
169.  
170. def pricePercentChg = Round( 100 * ( PricePercentType / PricePercentType[PricePercentBars] - 1 ), 1 ) ;
171.  
172. AddLabel( ShowPricePercent and ( AbsValue(pricePercentChg) > PricePercentTrigger ),
173. PricePercentBars + "-Bar Price Move: " + pricePercentChg + "%",
174. if pricePercentChg > 0 then Color.UPTICK else Color.DOWNTICK ) ;
175.  
176. # NEXT AND OPTIMAL EXPIRATION DATES
177.  
178. input ShowFrontDTE = yes ;
179. input ShowOptimalDTE = yes ;
180. input ShowExpDay = no ;
181. input ShowExpMonth = yes ;
182. input OptimalDTE = 40 ;
183.  
184. # Test code. Leave commented out for normal usage.
185. # # # # # # # # # # # # # # # # # # # # # # # # # # #
186. # def day = 19 ;
187. # def month1 = 12 ;
188. # def year1 = 2013 ;
189. # # # # # # # # # # # # # # # # # # # # # # # # # # #
190.  
191. # Production code. Comment out to test other dates.
192. def day1 = GetDayOfMonth(GetYYYYMMDD()) ; # current date (DD)
193. def month1 = GetMonth() ; # current month (MM)
194. def year1 = GetYear() ; # current year (YYYY)
195.  
196. def month2 = ( month1 % 12 ) + 1 ; # next month
197. def year2 = year1 + RoundDown(month1 / 12, 0) ; # next month's year
198.  
199. def month3 = ( month2 % 12 ) + 1 ; # subsequent month
200. def year3 = year2 + RoundDown(month2 / 12, 0) ; # subsequent month's year
201.  
202. def month4 = ( month3 % 12 ) + 1 ;
203. def year4 = year3 + RoundDown(month3 / 12, 0) ;
204.  
205. # Calculate days of the week for the first days of the months.
206. def firstOfMonthDayOfWeek1 = GetDayOfWeek( ( year1 * 10000 ) + ( month1 * 100 ) + 1 ) % 7 ;
207. def firstOfMonthDayOfWeek2 = GetDayOfWeek( ( year2 * 10000 ) + ( month2 * 100 ) + 1 ) % 7 ;
208. def firstOfMonthDayOfWeek3 = GetDayOfWeek( ( year3 * 10000 ) + ( month3 * 100 ) + 1 ) % 7 ;
209. def firstOfMonthDayOfWeek4 = GetDayOfWeek( ( year4 * 10000 ) + ( month4 * 100 ) + 1 ) % 7 ;
210.  
211. # Calculate days of the month for third Fridays of the months.
212. def thirdFriday1 = 20 - firstOfMonthDayOfWeek1 ;
213. def thirdFriday2 = 20 - firstOfMonthDayOfWeek2 ;
214. def thirdFriday3 = 20 - firstOfMonthDayOfWeek3 ;
215. def thirdFriday4 = 20 - firstOfMonthDayOfWeek4 ;
216.  
217. # Calculate expiration Fridays.
218. def expFriday1 = ( year1 * 10000 ) + ( month1 * 100 ) + thirdFriday1 ;
219. def expFriday2 = ( year2 * 10000 ) + ( month2 * 100 ) + thirdFriday2 ;
220. def expFriday3 = ( year3 * 10000 ) + ( month3 * 100 ) + thirdFriday3 ;
221. def expFriday4 = ( year4 * 10000 ) + ( month4 * 100 ) + thirdFriday4 ;
222.  
223. # Determine if we've reached expiration Friday this month already.
224. def beforeExp = if thirdFriday1 > day1 then yes else no ;
225.  
226. # Calculate the next three expiration Fridays.
227. def firstExp = if beforeExp then expFriday1 else expFriday2 ;
228. def secondExp = if beforeExp then expFriday2 else expFriday3 ;
229. def thirdExp = if beforeExp then expFriday3 else expFriday4 ;
230.  
231. # Calculate days to go until each expiration.
232. def firstExpDist = DaysTillDate( firstExp) ;
233. def secondExpDist = DaysTillDate(secondExp) ;
234. def thirdExpDist = DaysTillDate( thirdExp) ;
235.  
236. # Calculate absolute proximity of each expiration to the optimalDTE.
237. def firstExpVariance = AbsValue(OptimalDTE - firstExpDist) ;
238. def secondExpVariance = AbsValue(OptimalDTE - secondExpDist) ;
239. def thirdExpVariance = AbsValue(OptimalDTE - thirdExpDist) ;
240.  
241. # Pick the closest one, above or below. (Tie goes to the shorter expiration cycle.)
242. def optimalExp = if firstExpVariance < secondExpVariance then firstExp
243. else if secondExpVariance < thirdExpVariance then secondExp
244. else thirdExp ; # Rare, but possible, depending on optimal DTE
245.  
246. # Recalculate days to go until chosen expiration Friday.
247. def optimalExpDist = DaysTillDate(optimalExp) ;
248.  
249. # Break down expiration Fridays YYYYMMDD back into component parts.
250. def firstExpYear = RoundDown(firstExp / 10000, 0);
251. def firstExpMonth = RoundDown(( firstExp - firstExpYear * 10000 ) / 100, 0) ;
252. def firstExpDay = firstExp - firstExpYear * 10000 - firstExpMonth * 100 ;
253.  
254. def optimalExpYear = RoundDown(optimalExp / 10000, 0);
255. def optimalExpMonth = RoundDown(( optimalExp - optimalExpYear * 10000 ) / 100, 0) ;
256. def optimalExpDay = optimalExp - optimalExpYear * 10000 - optimalExpMonth * 100 ;
257.  
258. # Label display code appears after earnings and dividend calculations, below.
259.  
260.  
261. # EARNINGS
262.  
263. input ShowEarnings = yes ;
264.  
265. # Determine latest earnings date. If earnings occurs before market open, then the effective
266. # earnings date is set to the previous trading day. For example, if XYZ has earnings on
267. # Wednesday morning, its earnings date is set to Tuesday. And, if ABC has earnings Monday
268. # morning, its earnings date is set to Friday, as this is the last opportunity to trade
269. # the options prior to earnings release. Performing the adjustment here keeps the
270. # subsequent code cleaner.
271. def nextEarningsDate = HighestAll( if HasEarnings(EarningTime.AFTER_MARKET ) then GetYYYYMMDD()
272. else if HasEarnings(EarningTime.BEFORE_MARKET) then GetYYYYMMDD()[1]
273. else 19700101 ) ;
274.  
275. # Calculate days until earnings. If earnings have passed, or there are no upcoming earnings
276. # data, set to NaN. (This includes stocks whose earnings were already released this morning.)
277. def daysTillEarnings = if DaysTillDate(nextEarningsDate) < 0 then Double.NaN
278. else DaysTillDate(nextEarningsDate) ;
279.  
280. # Generate comparison distance to earnings for color-coding. If earnings isn't a factor, we use
281. # optimal expiration distnce + 1.
282. def earningsDist = if isNaN(daysTillEarnings) then optimalExpDist + 1 else daysTillEarnings ;
283.  
284.  
285. # Display of earnings data come after expiration data.
286.  
287.  
288. # DIVIDENDS
289.  
290. input ShowDividends = yes ;
291.  
292. def nextDivDate = HighestAll( if !IsNaN(GetDividend()) then GetYYYYMMDD() else 19700101 ) ;
293.  
294. def daysTillDiv = if DaysTillDate(nextDivDate) < 0 then Double.NaN
295. else DaysTillDate(nextDivDate) ;
296.  
297. # Generate comparison distance to dividend for color-coding. If dividend isn't a factor, we use
298. # optimal expiration distnce + 1.
299. def divDist = if isNaN(daysTillDiv ) then optimalExpDist + 1 else daysTillDiv ;
300.  
301. # Display of dividend data come after expiration data.
302.  
303.  
304. # DISPLAY OPTION EXPIRATION, EARNINGS, AND DIVIDEND LABELS
305.  
306. # Construct the next expiration label, including friendly month names (and DTE).
307. AddLabel(ShowFrontDTE and firstExp != optimalExp, "Front: " +
308. ( if ShowExpDay and ShowExpMonth then Concat(firstExpDay, "") else "" ) +
309. ( if ShowExpMonth then
310. ( if firstExpMonth == 1 then "JAN ("
311. else if firstExpMonth == 2 then "FEB ("
312. else if firstExpMonth == 3 then "MAR ("
313. else if firstExpMonth == 4 then "APR ("
314. else if firstExpMonth == 5 then "MAY ("
315. else if firstExpMonth == 6 then "JUN ("
316. else if firstExpMonth == 7 then "JUL ("
317. else if firstExpMonth == 8 then "AUG ("
318. else if firstExpMonth == 9 then "SEP ("
319. else if firstExpMonth == 10 then "OCT ("
320. else if firstExpMonth == 11 then "NOV ("
321. else "DEC (" )
322. else "" ) +
323. firstExpDist + if ShowExpMonth then ")" else "",
324. if earningsDist == 0 then Color.MAGENTA
325. else if earningsDist < firstExpDist then Color.LIGHT_RED
326. else if divDist < firstExpDist then Color.YELLOW
327. else Color.GREEN ) ;
328.  
329. # Construct the optimal expiration label, including friendly month names (and DTE).
330. AddLabel(ShowOptimalDTE, OptimalDTE + "-Day: " +
331. ( if ShowExpDay and ShowExpMonth then Concat(optimalExpDay, "") else "" ) +
332. ( if ShowExpMonth then
333. ( if optimalExpMonth == 1 then "JAN ("
334. else if optimalExpMonth == 2 then "FEB ("
335. else if optimalExpMonth == 3 then "MAR ("
336. else if optimalExpMonth == 4 then "APR ("
337. else if optimalExpMonth == 5 then "MAY ("
338. else if optimalExpMonth == 6 then "JUN ("
339. else if optimalExpMonth == 7 then "JUL ("
340. else if optimalExpMonth == 8 then "AUG ("
341. else if optimalExpMonth == 9 then "SEP ("
342. else if optimalExpMonth == 10 then "OCT ("
343. else if optimalExpMonth == 11 then "NOV ("
344. else "DEC (" )
345. else "" ) +
346. optimalExpDist + if ShowExpMonth then ")" else "",
347. if earningsDist == 0 then Color.MAGENTA
348. else if earningsDist < optimalExpDist then Color.LIGHT_RED
349. else if divDist < firstExpDist and firstExpDist - divDist < 14 then Color.YELLOW
350. else Color.GREEN ) ;
351.  
352. # Construct the earnings label
353. AddLabel(ShowEarnings and daysTillEarnings >= 0, "Earn: " + daysTillEarnings,
354. if daysTillEarnings == 0 then Color.MAGENTA # today(!)
355. else if daysTillEarnings < 7 then Color.LIGHT_RED # in the next week
356. else if daysTillEarnings < firstExpDist then Color.DARK_ORANGE # first expiration
357. else if daysTillEarnings < optimalExpDist then Color.YELLOW # optimal expiration
358. else Color.GREEN ) ;
359.  
360. # Construct the dividend label
361. AddLabel(ShowDividends and daysTillDiv, "Div: " + daysTillDiv,
362. if daysTillDiv == 0 then Color.MAGENTA # today(!)
363. else if daysTillDiv < 7 then Color.LIGHT_RED # in the next week
364. else if daysTillDiv < firstExpDist then Color.DARK_ORANGE # first expiration
365. else if daysTillDiv < optimalExpDist then Color.YELLOW # optimal expiration
366. else Color.GREEN ) ;