OPEN-SOURCE SCRIPT
Earnings Volatility Average
Thanks to Dead_Hunter for his ROCEM code which inspired me.
This code looks back over X number of earnings cycles (default is 8) and X number of bars in each earnings cycle (default is 15) to calculate the largest move in each defined earnings period.
The count of earnings cycles starts with the latest past earnings date. The code ignores all future earnings dates in its calculations.
Then the code finds the average price move of those X number of earnings periods.
Using the average price move value the code displays the Price Increase and Price Decrease based on the current price bar.
You can also define how many legs you would create for the option trade and the total commission to open and total commission to close, allowing you to better define your possible breakeven points.
This code was developed to use on a Daily chart.
This code looks back over X number of earnings cycles (default is 8) and X number of bars in each earnings cycle (default is 15) to calculate the largest move in each defined earnings period.
The count of earnings cycles starts with the latest past earnings date. The code ignores all future earnings dates in its calculations.
Then the code finds the average price move of those X number of earnings periods.
Using the average price move value the code displays the Price Increase and Price Decrease based on the current price bar.
You can also define how many legs you would create for the option trade and the total commission to open and total commission to close, allowing you to better define your possible breakeven points.
This code was developed to use on a Daily chart.
Open-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.
Open-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.