#hint: <b>Expected Move - Weekly</b> \n This study draws the expected move levels based on implied volatility.
#hint show_weeks: Add vertical lines to delineate weeks. (Values: SHOW_WKS - shows vertical line, HIDE_WKS - hides vertical line, NUM_WKS - shows verical line and weeks number label)
#hint bkgrnd_theme: Chooose color scheme for your default background theme.
#hint breach_notify: Add notification if the expected move is breached.
##################################################################################
##
## This code is a script that will draw vertical line on the chart at the
## beginning of each week. Then the expected move levels are drawn.
## 1) The user may select Add vertical lines to delineate weeks.
## 2) The user may select whether to indicate breaches of the expected move at
## expiration.
## 3) Volitility for select futures contracts is derived from a corresponding
## ETF's volitility.`
##
## 10/15/2017 Implemented by Tim Sayre - ThinkorSwim thinkScript
## 11/17/2017 tjs - Added theme color select and weekly vertical line switch.
##
## NO ACTUAL OR IMPLIED WARRANTIES OFFERED - USE AT YOUR OWN DISCRETION
##################################################################################
declare hide_on_intraday;
declare upper;
input show_weeks = { default SHOW_WKS, HIDE_WKS, NUM_WKS };
input bkgrnd_theme = { default DARK, LIGHT };
input breach_notify = yes;
# implied volatility
# using proxies for futures
def iv = if (GetSymbol() == "/ES") then close("VIX") / 100
else if (GetSymbol() == "/CL") then close("OIV") / 100
else if (GetSymbol() == "/GC") then close("GVX") / 100
else if (GetSymbol() == "/SI") then close("VXSLV") / 100
else if (GetSymbol() == "/NQ") then close("VXN") / 100
else if (GetSymbol() == "/RTY") then close("RVX") / 100
else if (GetSymbol() == "/YM") then close("VXD") / 100
else if (GetSymbol() == "/6E") then close("EVZ") / 100
else if (GetSymbol() == "/6J") then close("JYVIX") / 100
else if (GetSymbol() == "/6B") then close("BPVIX") / 100
else if (GetSymbol() == "/ZN") then close("TYVIX") / 100
else if (GetSymbol() == "/ZW") then close("WIV") / 100
else if (GetSymbol() == "/VX") then close("VVIX") / 100
else if (GetSymbol() == "/ZB") then imp_volatility("TLT")
else if (GetSymbol() == "/ZC") then imp_volatility("CORN")
else if (GetSymbol() == "/ZS") then imp_volatility("SOYB")
else if (GetSymbol() == "/KT") then imp_volatility("JO")
else if (GetSymbol() == "/NG") then imp_volatility("UNG")
else if (GetSymbol() == "/6S") then imp_volatility("FXF")
else imp_volatility();
def iv_df = if ( !IsNaN( iv ) ) then iv else iv[-1];
def today = GetDayOfWeek(GetYYYYMMDD());
def first_DOW = today >= 1 && today[1] > today;
def wk_open;
def exp_mv;
def up_lim;
def down_lim;
if ( first_DOW )
then {
wk_open = open(GetSymbol());
## Friday is day 5. So make start day zero based index
exp_mv = wk_open * iv_df * Sqrt( ( 5 - ( today - 1 ) ) / 360);
up_lim = wk_open + exp_mv;
down_lim = wk_open - exp_mv;
} else {
wk_open = CompoundValue( 1, wk_open[1], Double.NaN );
exp_mv = CompoundValue( 1, exp_mv[1], Double.NaN );
up_lim = CompoundValue( 1, up_lim[1], Double.NaN );
down_lim = CompoundValue( 1, down_lim[1], Double.NaN );
}
## Plot expected move levels.
plot up_sd = up_lim;
up_sd.SetPaintingStrategy( PaintingStrategy.HORIZONTAL );
up_sd.SetDefaultColor( if bkgrnd_theme == bkgrnd_theme.DARK then Color.WHITE else Color.GRAY );
up_sd.SetLineWeight( 5 );
plot down_sd = down_lim;
down_sd.SetPaintingStrategy( PaintingStrategy.HORIZONTAL );
down_sd.SetDefaultColor( if bkgrnd_theme == bkgrnd_theme.DARK then Color.WHITE else Color.GRAY );
down_sd.SetLineWeight( 5 );
## Show breach.
def settle = close( GetSymbol() );
def breaches;
if ( today == 5 && ( up_lim < settle or settle < down_lim ) ) then {
breaches = CompoundValue( 1, breaches[1], 0 ) + !isNaN( close );
} else {
breaches = CompoundValue( 1, breaches[1], 0 );
}
def total_wks;
if ( first_DOW ) then {
total_wks = CompoundValue( 1, total_wks[1], 0 ) + !isNaN( close );
} else {
total_wks = CompoundValue( 1, total_wks[1], 0 );
}
AddChartBubble( today == 5 && breach_notify && up_lim < settle, high, "Breach " + breaches, Color.DARK_GREEN, yes );
AddChartBubble( today == 5 && breach_notify && down_lim > settle , low, "Breach " + breaches, Color.LIGHT_GREEN, no );
## Add label if we used an EFT proxy for Volatility.
def is_etf;
if (GetSymbol() == "/ZB") or
(GetSymbol() == "/ZC") or
(GetSymbol() == "/ZS") or
(GetSymbol() == "/KT") or
(GetSymbol() == "/NG") or
(GetSymbol() == "/6S")
then {
is_etf = yes;
} else {
is_etf = no;
}
AddLabel( breach_notify, Concat( breaches, Concat( " breaches in ", Concat( total_wks, Concat( " weeks.", if is_etf then " Used the ETF's volatility." else "" )))), Color.LIGHT_GRAY );
## Display vertical line at the begining of each week.
def show_lines = show_weeks == show_weeks.SHOW_WKS or show_weeks == show_weeks.NUM_WKS;
def show_labels = show_weeks == show_weeks.NUM_WKS;
AddVerticalLine( first_DOW && show_lines, if show_labels then Concat( "WK - ", total_wks ) else "", Color.LIGHT_GRAY, Curve.SHORT_DASH );
## Debug Stuff.
##AddChartBubble( yes, high, iv, Color.LIGHT_GREEN, yes );
##AddChartBubble( yes, high, exp_mv, Color.LIGHT_RED, yes );