Support Board
Date/Time: Sat, 01 Mar 2025 10:09:10 +0000
[User Discussion] - NOPE study - Net Option Pricing Effect
View Count: 2121
| [2021-02-15 21:24:25] |
| User71961 - Posts: 144 |
|
Does SierraChart have this study, and i just can't find it? NOPE = Net Option Pricing Effect (perhaps a SierraChart convention name for the study would be "Cumulative Net Delta Weighted Option Volume") The NOPE formula is intended to show the skew/bias of (greek) delta weighted option trading volume, normalized to underlying security volume (for all strikes + expiries in the option chains). The result is sortof an option based version of the study "Cumulative Delta Bars - Volume" NOPE shows the delta skew to Put or Call trading activity (for that day) and tracks that activity over time...with the assumption that the option dealer hedging activity may have a significant effect on the underlying price movement at extremes intraday. NOPE = Summation for i = 1 to N {Call volume(i) * delta(i) - Put volume(i) * delta(i)} / underlying total traded volume (assume risk free interest rate = 0 for the delta calc from Black Scholes) So, you must loop over the all the option chains (for all the expiry chains...weekly, monthly, quarterly) to get each option's traded volume and delta asof the current time for each bar, for each calc. This should result in values that can be used to create candles for the NOPE value that can be tracked over time. (see attached image, where Call and Put volume are cumulative live traded volume, and underlying volume is total volume traded, all for that day) an example of what NOPE looks like for SPY and a few other tickers can be found here (NOPE is on the left side scale)...its basically a kind of oscillator https://nopechart.com This would be for a study viewed on a chart for the underlying (so, using the ES option chain to calc and display on a chart of ES Futures) If SierraChart does not have this as a built-in study, can it be added? Since NOPE requires the entire option chain to calc and that could be a lot of data / iterations, it might make sense to put some throttling on this...maybe calcing once every x seconds, where x is something reasonable by default (15 seconds?) Also, would like to see 2 options in the study settings 1) divide Net Option Delta by underlying volume (yes/no) (the bottom portion of the NOPE equation) 2) reset at EOD (yes/no) (if no, this study just accumulates for lifetime of chart data) Date Time Of Last Edit: 2021-02-20 19:39:50
|
NOPE.jpg| [2021-02-22 16:10:19] |
| User71961 - Posts: 144 |
|
any comments on this? does this study perhaps already exist?
|
| [2021-03-07 16:57:58] |
| Industrii - Posts: 1 |
|
Would like to see this as well if someone is able to create it.
|
| [2021-09-30 03:28:54] |
| mcourt - Posts: 1 |
|
I am also be interested.
|
| [2021-09-30 03:35:47] |
| SKZ90 - Posts: 74 |
|
Sounds familiar to the HIRO indicator from SpotGamma that's for Bookmap
|
To post a message in this thread, you need to log in with your Sierra Chart account: