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Implied volatility for Ninja trader? :)


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Implied volatility for Ninja trader? :)

  #1 (permalink)
 davethetrade 
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Hey fellow traders out there, ^^

I´ve been looking everywhere but cant find what i´m looking for so i will try to ask here, maybe it will help others
aswell.



I´m 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 that´s also what i´m looking for.

These indicators for Ninjatrader 8 would be awesome

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

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  #2 (permalink)
 
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 sam028 
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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)
 davethetrade 
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Thank you for answering,

yea you´re 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)
 davethetrade 
Gothenburg
 
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Okey i´ve 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 idéas 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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 sam028 
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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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  #6 (permalink)
 davethetrade 
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Thank you sam028 that was helpful,

i will look more into that.
Dave.

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  #7 (permalink)
futurenow
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sam028 View Post
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.

Hello

Seeing this post in from 2017, exactly 4 years ago, I'm wondering if actually (almost 2022) is there any way to get the Implied Volatility in NT8 for a Stock or Future just as TradeStation or Thinkorswim easily show.

For example about a way to get it from IB API or Connection to NT8, I only have a recent Demo account with IB and I don't know if it is possible to get the IV with a Demo account that can be streamed/exported to NT8. However I can't see in the TWS how to show the IV of a Stock/Future.


In the other hand, I have a couple weeks trying to get the IV (historical and live) in NT8, or even an approximation, but no possible for the moment. I see in TOS you just select the indicator called ImpVolatility and in 2 seconds you have all the historical and real-time IV you need of a optionable Stock/Future. I don't know if would be possible to have this specific TOS data in NT8 via the TDA connection. I know with a TDA/Kinetick connection in NT8 you can load the VIX index or others Cboe indices, but I don't know if would be possible to have the IV of optionable random symbols like TSLA just as example, or any other symbol from TOS to NT8.

I need something, even being approximate, even being with some minutes of delay, but to have this directly in NT8.


For other members here that have the same situation in the past and could get any alternative or solution, please share your solutions here.

Thank you

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  #8 (permalink)
futurenow
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futurenow View Post
For example about a way to get it from IB API or Connection to NT8, I only have a recent Demo account with IB and I don't know if it is possible to get the IV with a Demo account that can be streamed/exported to NT8. However I can't see in the TWS how to show the IV of a Stock/Future.


I found how to show the Implied Volatility in a IB TWS chart

You just need to have a chart opened and go to Edit / Chart Parameters... / Additional Data and Features, and in that section just check the "Option Implied Volatility" and if needed also the "Historical Volatility". Visual guide in the attached pictures below.

I see this instantly works for Stocks/Indices/ETFS, BUT not for Futures, and I can't find the way to show the Implied Volatility for Futures in the TWS, where if you load the chart with a Future like the ES, then both previous points ("Option Implied Volatility" and "Historical Volatility") are missing as you can see in the last picture. I tried inmultiple ways, just first loading a Future in the chart and then going the Chart Parameters, and also first loading a Indice to have pre-activated the Volatility features in the chart, however when you load a Future in the instrument search-box, everything about Volatility instantily dissapear, the Volatility sub-panels in the chart and the features into Chart Parameters.

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  #9 (permalink)
futurenow
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Posts: 49 since Feb 2017
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I can’t think that has to be so difficult to get IV data in NinjaTrader 8. In this case I need IV data in NT8 for both Futures and Stocks/Indices/ETFs. It would be perfect to have the IV historical-and-live data in the chart, but if not easily possible then a good start point would be to have the IV historical-and-live data to use it in NT8 as component for a custom indicator, but it's being a hard to find a way to get this IV data in NT8.


I hope others members here could have a similar situation in NT8 and could share the way about how they got this solved

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