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Standard Deviation Lines based on options expiration
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Created: by greg9 Attachments:18

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Standard Deviation Lines based on options expiration

  #31 (permalink)
Trading for Fun
St Paul, MN, USA
 
Futures Experience: Advanced
Platform: Abacus
Broker/Data: RJO, Interactive Brokers
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FWIW, here's an image of one of the tools from Hoadley that draws probability bands/cones. It's not the most beautiful thing in the world, but it has more inputs than some I've seen. I guessed at some parameters for the S%P 500 - 1850, 1.5% dividend yield and 14% annualized volatility.

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Standard Deviation Lines based on options expiration-capture.png  
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  #32 (permalink)
Elite Member
Sofia, Bulgaria
 
Futures Experience: Advanced
Platform: IB,TOS
Broker/Data: IB
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rmejia View Post
This could be it:

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Hi, i am trying to adapt this code but no success, can u help me? I want starting point to be custom date, is it possible ?
Thank you!

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  #33 (permalink)
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SLC, UT
 
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alchemist74 View Post
Hi, i am trying to adapt this code but no success, can u help me? I want starting point to be custom date, is it possible ?
Thank you!

Sorry @alchemist74 i'm not using TOS anymore, I've left the platform for another and haven't looked at this code since starting this thread. What I would do is make the input both a start and end date and then run the calculation off that. That would allow you to adjust it easily.

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  #34 (permalink)
Trading Apprentice
minneapolis + minnesota
 
Futures Experience: Beginner
Platform: thinkorswim
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Posts: 6 since Oct 2015
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TOS does a probability of expiring cone study that you may be interested in.
It would probably do something similar to what you are looking for. I can't load TOS right now so I can't see exactly what it is called.

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  #35 (permalink)
Trading Apprentice
minneapolis + minnesota
 
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"Probability of Expiring Cone"

I'd post a picture but can't figure out how/if I can upload one here.

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