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Implied volatility for Ninja trader? :)
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Implied volatility for Ninja trader? :)

  #1 (permalink)
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Implied volatility for Ninja trader? :)

Hey fellow traders out there, ^^

Ive been looking everywhere but cant find what im looking for so i will try to ask here, maybe it will help others
aswell.

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Im looking for an indicator showing implied volatility,
Does this exist for ninjatrader? I want it to be like an oscilator going under the chart as in the picture above.

As you can see in the picture there is also another type of volatility std dev not sure about the full name? (standard deviation?)
I got told that it is statistical volatility so thats also what im looking for.

These indicators for Ninjatrader 8 would be awesome

Please i would be so grateful for all inputs.
Thank you so much
Dave.


Last edited by davethetrade; November 4th, 2017 at 06:30 PM.
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  #2 (permalink)
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@davethetrade: it's using IVolatility which is the daily average weighted Implied Volatility of the instrument's options.
You can't easily do this with Ninjatrader as options are not supported natively. It should be possible if you have access to options data, store the IV somewhere, then ask a NT indicator to read these values.
And BTW the TS definition is not clear enough to be sure to get the exact same value: is it all options, whatever the maturity? Is it weighted by OI or something else?

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  #3 (permalink)
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Thank you for answering,

yea youre right. I know it comes from options data and i really wonder how the guy with this chart did it. Implied volatility change
with maturity of the option, so closer to expiration implied volatility should go down?? It would give me very inacurate signals hm.

Is it maybe a way to get a Relative implied volatility that dont care that we get closer to expiration, an indicator that keep in mind the extrinsic value for the option?

God this is complicated ah,

It must be someone who has done like in the picture, please let me know

How can i save down the data to an excel btw? thanks.

Happy trading

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  #4 (permalink)
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Okey ive been thinking. To store the data in excel is probably easy and then to create a ninjascript should probably not be to hard.

We need to eliminate the timevalue somehow, any idas of how we can to this?

if we always could have the exact same time to expiration or do some calculation with extrinsic value.

Thanks in advance
Dave.

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The easier would be to get the IV directly, for example from Interactive Brokers, their API allows it.
There are methods to estimate the IV (example) but no need to reinvent the wheel if you can get it directly from IB.

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Thank you sam028 that was helpful,

i will look more into that.
Dave.

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