AlgoStorm Expected Move Levels (EML)AlgoStorm Expected Move Levels (EML)
A precision options-implied range mapping tool that plots daily and weekly ±1σ and ±2σ expected-move bands from the ATM straddle, from implied volatility, or from an automatic average-range fallback — with a live meter showing how much of the average daily and weekly range has already been consumed.
The AlgoStorm Expected Move Levels (EML) indicator is designed for index and futures traders who trade with the options market's own forecast. The at-the-money straddle is the market's priced bet on how far the underlying travels before expiry; the expected move derived from it defines the range the market is paid to defend. Gamma levels show where dealers defend — the expected move shows how far the market is priced to travel . Together they form the complete options-informed map for index futures, and EML is the second half of that pair.
DATA INPUT — READ BEFORE LOADING
This indicator carries no built-in options data feed. Setup is a single paste. Our free browser-based GEX dashboard includes an Expected Move calculator that auto-fills spot and the ATM straddle from delayed CBOE quotes and emits one CSV line — 1,anchor,dailyStraddle,weeklyStraddle,multiplier (example: 1,6350.25,44.30,94.80,0.85). Drop that line into the EM Data field and every value is populated at once; the leading 1 is a format version the script validates, so a malformed or mismatched paste is flagged on the chart instead of silently plotting nonsense.
Prefer to work from your own options chain? The Manual Entry group still accepts an ATM straddle price (call + put at the strike nearest spot) or an annualized implied-volatility figure, and a valid paste simply takes precedence over it. With the paste field empty and both manual inputs at zero, the script runs standalone on its average-range fallback, so it works out of the box. Refresh the paste once per session, before the open.
Symbol Mode: SPX / ES plots pasted values as-is — SPX options are struck at the same levels ES trades. SPY mode divides the pasted anchor and straddles by 10. Scaling is applied to pasted values only; manual entries are always read in chart units.
Technical Architecture: Triple-Source Expected Move Pipeline
Versioned Paste Decoder: One string input carries anchor, daily straddle, weekly straddle and multiplier — validated on version and field count, with every absent slot decoding to zero so it falls through to the manual entries and then to the range fallback. The info table reports whether the live values came from the paste, from manual entry, or from the automatic fallback.
Straddle Conversion Engine: EM(1σ) = ATM straddle × 0.85. A straddle's price is its expected payout; under a normal approximation, roughly 85% of that payout equals the 1σ price range. The multiplier is exposed as an input — set 1.0 to use the raw straddle convention instead. A pasted line carries its own multiplier and takes precedence; when using the paste workflow, adjust the multiplier on the dashboard before copying.
Volatility Mode: EM(daily) = anchor × IV × √(1/252) and EM(weekly) = anchor × IV × √(5/252), the trading-day convention. Useful when you track IV but not option prices.
Automatic Fallback Cascade: Any zeroed input degrades gracefully — daily falls back to the Average Daily Range (default 14 days), weekly to the Average Weekly Range (default 8 weeks), and a missing weekly straddle first derives from the daily straddle × √5. The info table always displays which source is live, so there is never ambiguity about what the bands represent.
Chart-Side Lock Engine: The script contains zero request.security calls. Anchors and bands compute from the chart's own session boundaries and lock at the day/week open — they cannot move intraday, and there is no repaint path by construction.
Range Consumption Meter: Completed daily and weekly ranges feed fixed-length rolling windows; the current period's range is expressed as a percentage of its average ("today has used 78% of its average range") — the continuation/exhaustion filter the EM bands are read with.
Features & Functionality
Daily Expected Move Bands: ±1σ and optional ±2σ steplines around a configurable anchor — prior close (the desk-quoting convention, default), today's open, or the spot price carried in the paste.
Weekly Expected Move Bands: The identical structure anchored at the weekly boundary, off by default for chart cleanliness.
Anchor Lines: Dimmed reference steplines marking the exact price the bands are centred on.
Live Info Table: Effective daily and weekly EM with source labels, ADR/AWR values, day/week range-consumption percentages that highlight when a range is fully spent, and an EM Data row reporting paste / manual / fallback status.
Symbol Mode: SPX / ES one-to-one, or SPY with pasted values auto-scaled ÷10 — a chart label confirms whenever scaling is active.
Alert Suite: Seven conditions — daily ±1σ break, daily ±2σ break (tail move), weekly ±1σ break, and ADR exhausted (day range reaches 100% of average). All fire on confirmed closes; a crossed band cannot move away afterward.
Honest limitations: the expected move is model context, not a boundary — roughly one day in three closes outside the ±1σ band by construction, because that is what 1σ means . Straddle and IV inputs are static: re-enter them when the session rolls or the volatility regime shifts. ADR/AWR use chart-session ranges, which on continuous futures include the overnight session — usually what you want on full-Globex instruments, but know your convention.
Open-source under CC BY-NC-SA 4.0. Educational tool — not financial advice. Indicator
Options Buyer's Edge WeeklyOverview
Options Buyer's Edge — Weekly is a decision-support panel for the weekly index option buyer. Most option tools chase directional "smart-money flow," but on retail-dominated weeklies that flow is largely uninformed — so the durable edge for a buyer isn't direction, it's the premium environment you actually pay for: is implied volatility cheap or rich, is it expanding or crushing, how hard is theta biting toward expiry, and where is the pin magnet pulling price. This script auto-builds an ATM strike ladder for the current weekly, reads the option tape directly, adds a skew-gated directional layer, and then tests every call it makes against your own history. It is a context-and-timing map for buying premium — not a signal generator.
Why these components are ONE tool (mashup justification)
This is a deliberate dependency chain, not a stack of independent indicators. Each layer answers a question the previous one leaves open, and the buyer needs all of them to price what they're doing:
IV / straddle state (primary). The buyer's number-one enemy is paying rich premium into a crush. The ATM straddle gives an IV proxy (percentiled so "rich/cheap" is relative to this instrument's own history) and its slope tells you whether IV is expanding (tailwind) or crushing (bleed). A second read, Prem vs RV, compares that implied vol against realized vol — the variance-risk-premium — so "rich" means rich relative to what the market is actually delivering, not just rich in the abstract.
Theta clock (primary). Premium decays non-linearly into expiry. The panel converts hours-to-weekly-expiry into an escalating decay zone (Normal → Elevated → High → Extreme) so you know when time decay alone makes a long option a bad trade regardless of direction.
Pin magnet (primary). Option volume concentrates at a strike that price tends to gravitate toward near expiry. The tool finds the max-volume strike and draws it — the level a buyer is fighting against.
Underlying character (confirming). Futures basis pulse and India VIX behaviour describe whether the underlying move carries conviction or is unwinding — a cross-check on the directional read.
Directional flow (secondary, gated). A delta-weighted signed CE/PE buyer-pressure imbalance, gated by option skew and trusted only when the calibration Edge for it is positive. Directional option flow predicts returns mainly from informed traders and reverses at longer horizons; on retail weeklies it may be noise — so it earns trust from measured Edge, never from assertion.
The calibration harness (the honesty layer). Two forward tests run continuously: an underlying test (did a strong directional read actually precede a k×ATR move, versus the unconditional base rate?) and a thinner option-outcome test (did the ATM option gain the target % over the horizon?). Both resolve only on confirmed bars, and both are shown as Hit / Base / Edge so you can see whether any layer is carrying information on your instrument right now.
Remove any one layer and the buyer is flying on premium they can't price. The straddle is a picture; theta and pin are mechanics; flow is a hypothesis; the harness is the proof.
How it works
The ATM strike is anchored from spot at the start of the calculation window and held constant (Pine can't mint new option symbols per bar, and request symbols must be fixed, not per-bar series). A ±3 ladder of CE/PE symbols is auto-built for the weekly expiry and each leg's price and volume are requested; invalid or illiquid strikes simply return nothing and are ignored. From the ladder the tool derives the straddle and IV proxy, the IV slope, volume PCR, the pin strike, an OTM skew read, and the delta-weighted buyer-pressure imbalance. Futures basis and India VIX add the underlying-character read, and an optional lower-timeframe slice (the finest your plan serves) sharpens it.
How to use it
Read the guidance panel top to bottom: the verdict (CE-buyable / PE-buyable / Avoid–crush or decay / Wait), the premium environment (IV cheap/rich, expanding/crushing), Prem vs RV, VIX behaviour, the theta zone, the pin, PCR, and the two Edge readings. Lean toward buying premium in a direction only when the environment is supportive and the theta zone isn't extreme. The flow-side (Option) Edge tells you whether the directional layer is working here; if it's near zero, ignore the flow and lean on IV / theta / pin. Everything is descriptive context — it never tells you to trade.
Plan-adaptive & data note
Intrabar precision auto-selects the finest slice your plan serves (seconds on Premium+, else 1-minute, else chart bar) and every stream is na-safe — any leg or feed your plan or the market doesn't serve simply contributes nothing, and the panel shows live leg coverage (x/14). The tool needs an underlying with real option data; on a symbol without it, the legs read empty. It is fully self-contained (nothing exported), so the whole request budget serves accuracy.
Non-repainting & honesty
The script works on confirmed closed bars with no higher-timeframe lookahead, and both calibration harnesses log and resolve only on confirmed bars, so their statistics never repaint intrabar. Important limits, stated plainly: NSE exposes no per-strike option OI, no tick tape and no greeks to scripts, so IV, skew and delta here are OHLCV proxies and flow is a buyer-pressure proxy. Option streams are session-anchored — re-add the script if spot travels more than ~2 strikes (a drift warning fires). The option-outcome Edge is inherently thin because a weekly contract lives only ~5 days; the underlying Edge matures faster. All Edge figures are in-sample, forward-measured at a fixed horizon, with no costs — a study aid, not a backtest.
Originality
The building blocks are public: volume-concentration (pin/max-pain) analysis, put-call flow, value-area logic, the ATM-straddle implied-volatility approximation, and the variance-risk-premium comparison. What's original is the integration for the buyer specifically — the auto-built weekly ATM ladder read directly off the option tape, the skew-gated directional layer that is trusted only on measured Edge, and the dual forward-calibration harness (underlying + option-outcome) that scores every call against its own base rate. This is a clean-room implementation; no third-party script code is reused.
Concept credits
ATM-straddle → implied-volatility approximation — Brenner & Subrahmanyam
Variance-risk-premium framing (implied vs realized vol) — standard volatility-research technique
Pin / max-pain volume concentration, put-call ratio, value-area analysis, option skew — standard public options techniques
Disclaimer
Research and education only. Not financial advice, no recommendation, no guarantee. Options carry the risk of total loss of premium, and time decay works against buyers. The Edge figures are in-sample with no costs and do not predict price. Test out-of-sample and make your own decisions. The author accepts no liability for any use of this script. Indicator
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Multi Straddle-Strangle ChartThis powerful indicator is designed for options traders who want to visualize and track the combined premium of multiple straddle and strangle strategies in a single, dedicated pane.
Quickly analyze and compare up to five different options strategies at a glance, directly on your chart. This tool is perfect for monitoring volatility, tracking potential profits/losses on a position, and spotting key support and resistance levels based on option premiums.
Key Features:
Plot Up to 5 Strategies: Simultaneously plot any combination of up to 5 straddles or strangles.
Real-Time Data: Fetches live data for both Call and Put options to give you an up-to-the-second view of the combined price.
Dynamic Symbol Generation: Automatically detects the underlying symbol (e.g., NIFTY, BANKNIFTY, stocks) and builds the correct option symbols based on your input.
Customizable Inputs: Easily configure the expiry date, strike prices and line colors for each of the 5 lines.
In-Chart Summary Table: A clean and clear table in the corner of your chart provides a quick summary of each enabled strategy and its current price.
Important Note on Usage:
This tool requires you to input a strike price in all fields, even if you do not plan to use all five lines. This is necessary because of a fundamental rule in the Pine Script language: every input must have a constant, non-empty default value. The indicator is optimized to only fetch data for the lines you have explicitly enabled with the "Enable Line X" checkbox. Indicator
Straddle Charts - Live (Enhanced)Track options straddles with ease using the Straddle Charts - Live (Enhanced) indicator! Originally inspired by @mudraminer, this Pine Script v5 tool visualizes live call, put, and straddle prices for instruments like BANKNIFTY. Plotting call (green), put (red), and straddle (black) prices in a separate pane, it offers real-time insights for straddle strategy traders.
Key Features:
Live Data: Fetches 1-minute (customizable) option prices with error handling for invalid symbols.
Price Table: Displays call, put, straddle prices, and percentage change in a top-left table.
Volatility Alerts: Highlights bars with straddle price changes above a user-defined threshold (default 5%) with a yellow background and concise % labels.
Robust Design: Prevents plot errors with na checks and provides clear error messages.
How to Use: Input your call/put option symbols (e.g., NSE:NIFTY250814C24700), set the timeframe, and adjust the volatility threshold. Monitor straddle costs and volatility for informed trading decisions.
Perfect for options traders seeking a simple, reliable tool to track straddle performance. Check it out and share your feedback! Indicator
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Volume-Price PercentileDescription:
The "Volume-Price Percentile Live" indicator is designed to provide real-time analysis of the relationship between volume percentiles and price percentiles on any given timeframe. This tool helps traders assess market activity by comparing how current volume levels rank relative to historical volume data and how current price movements (specifically high-low ranges) rank relative to historical price data. The indicator visualizes the ratio of volume percentile to price percentile as a histogram, allowing traders to gauge the relative strength of volume against price movements in real time.
Functionality:
Volume Percentile: Calculates the percentile rank of the current volume within a user-defined rolling period (default is 30 bars). This percentile indicates where the current volume stands in comparison to historical volumes over the specified period.
Price Percentile: Calculates the percentile rank of the current candle's high-low difference within a user-defined rolling period (default is 30 bars). This percentile reflects the current price movement's strength relative to past movements over the specified period.
Percentile Ratio (VP Ratio): The indicator plots the ratio of the volume percentile to the price percentile. This ratio helps identify periods when volume is significantly higher or lower relative to price movement, providing insights into potential market imbalances or strength.
Real-Time Data: By fetching data from a lower timeframe (e.g., 1-minute), the indicator updates continuously within the current timeframe, offering live, intra-candle updates. This ensures that traders can see the histogram change in real-time as new data becomes available, without waiting for the current candle to close.
How to Use:
Adding the Indicator: To use this indicator, add it to your chart on PulseWire by selecting it from the Indicators list once it is published publicly.
Setting Parameters:
Volume Period Length: This input sets the rolling window length for calculating the volume percentile (default is 30). You can adjust it based on the desired sensitivity or historical period relevance.
Candle Period Length: This input sets the rolling window length for calculating the price percentile based on the high-low difference of candles (default is 30). Adjust this to match your trading style or analysis period.
Interpreting the Histogram:
The histogram represents the volume percentile divided by the price percentile.
Above 1: A value greater than 1 indicates that volume is relatively strong compared to price movement, which may suggest high activity or potential accumulation/distribution phases.
Below 1: A value less than 1 suggests that price movement is relatively stronger than volume, indicating potential weakness in volume relative to price moves.
Near 1: Values close to 1 suggest a balanced relationship between volume and price movement.
Application: Use this indicator to identify potential breakout or breakdown scenarios, assess the strength of price movements, and confirm trends. When volume percentile consistently leads price percentile, it might signal sustained interest and support for the current price trend. Conversely, if volume percentile lags significantly, it might warn of potential trend weakness.
Best Practices:
Multiple Timeframe Analysis: While the indicator provides real-time updates on any timeframe, consider using it alongside higher timeframe analysis to confirm trends and volume behavior across different periods.
Customization: Adjust the period lengths based on the asset’s typical volume and price behavior, as well as your trading strategy (e.g., short-term scalping vs. long-term trend following).
Complement with Other Indicators: Use this indicator in conjunction with other volume-based tools, trend indicators, or momentum oscillators to gain a comprehensive view of market dynamics.
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0_dteUSAGE
This script guages the probability of an underlying moving a certain amount on expiration day, to aid the popular "0 dte" strategy. The script counts how many next-day moves exceeded a given magnitude in the past, under similar conditions. The inputs are:
mark_mode:
- "open": measures the magnitude as "open to close"--a true 0 dte.
- "previous close": for lazy people who don't want to wake up early. measures magnitude from the previous day's close.
move_mode:
- "percent": measures moves that exceed a given percentage.
- "absolute": measures moves that exceed a point value.
move-dir: measure only up moves, down moves, or both.
vol_model: the model for realized volatility. (may add more later).
min_vol: only measure moves when realized vol is above this value.
max_vol: only measure moves when realized vol is below this value.
precision: number of digits printed in the output table.
EXAMPLE:
- mark_mode: "previous close"
- move_mode: "percent"
- move_dir: "up"
- move_mag: 0.07
- vol_model: hv30
- min_vol: 0.2
- max_vol: 0.5
These settings will count the number of trading days that closed 7% higher than the previous day's close, when the previous day's realized volatility (annualized) was between 20% and 50%. The outputs are:
- current vol: green plot. Today's realized vol. Shown for convenience.
- max and min vol: red plots. Also shown for convenience.
- count: the number of days that exceeded the chosen magnitude, when the previous day's realized volatility was within the chosen bounds.
- total: the total number of days where realized volatility was within the chosen bounds
- probability: count / total. the percentage of days that exceeded the move when volatility was within the bounds.
- move: plotted as a purple line. purple "X" labels are plotted above
- bars where the move exceeded the magnitude threshold and volatility was in-bounds. a "hit".
CONCLUSION
This script is based on the idea that realized volatility has some bearing on future volatility. By seeing what happened in the past when volatility was close to its current value, we may be able to assess the probability that our short put will be in the money, tomorrow, and our account devastated.
NOTE: Unlike many of my other scripts, all percentages--both inputs and outputs--are given in fractional form. E.g., 0.01 means 1%. Indicator
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