OPEN-SOURCE SCRIPT
Volatility Cone [ThetaLoop]
You are looking at a stock with 28% realized volatility on a 20-day window. Is that high? Is that low? Should you sell premium aggressively or wait for a better setup?
You cannot answer that question without context. 28% on Tesla might be below average. 28% on Coca-Cola might be a decade high. The number alone tells you nothing. The percentile tells you everything.
This indicator builds the classic Volatility Cone — a tool that has sat on institutional volatility trading desks since Burghardt and Lane described it in 1990 and Euan Sinclair popularized it in Volatility Trading. The best open-source version on TradingView was paywalled. This one is free.
What the table shows
Eight rows. Eight time windows. One complete picture.
Each row represents a different tenor — from 5-day (ultra short-term) to 252-day (one full year). For each tenor you see:
Current — The realized volatility right now for that window, annualized using the Parkinson (High-Low) estimator.
Rank — Where the current reading sits in the full history. "82nd" means current vol is higher than 82% of all historical readings for this tenor. This is the most important column.
Avg — The historical average for this tenor. Your baseline.
Min/Max — The full historical range. Tells you what the extremes looked like.
Status — Color-coded verdict. CHEAP (green, bottom 15%), LOW (teal, 15-35%), FAIR (white, 35-65%), ELEVATED (orange, 65-85%), EXPENSIVE (red, top 15%).
The bottom row shows the average percentile across all tenors — your one-number summary of whether vol is cheap or expensive for this stock right now.
How to use this for options selling
Find your DTE in the table. If you typically sell 14-day options, look at the 10d and 20d rows. If you sell monthlies, look at the 30d row. If you sell 45-DTE, look between 30d and 60d.
If your target tenor shows EXPENSIVE or ELEVATED — premiums are rich. The market is paying you above-average for the risk. This is when selling premium has the biggest statistical edge.
If it shows CHEAP or LOW — premiums are thin. You are being underpaid for the risk. Either skip this stock, wait, or tighten your position size.
If it shows FAIR — average conditions. No particular edge either way. Trade your standard size.
The term structure angle
Compare the status across tenors. When short-term vol (5d, 10d) ranks much higher than long-term vol (120d, 252d), short-term volatility is elevated relative to the longer trend — the vol term structure is inverted. This is similar to VIX backwardation at the single-stock level and often signals a stress event that may be temporary.
When long-term vol ranks higher than short-term, the stock has been volatile for months. Short-term conditions have calmed down but the annual number has not caught up yet. This is a normalizing pattern.
The time series plot
Below the chart, the 20-day realized vol percentile rank is plotted as a time series so you can see how the rank has evolved. Red zone (above 85) means vol has been consistently expensive. Green zone (below 15) means consistently cheap. This gives you the trend that the table snapshot cannot show.
Why Parkinson and not Close-to-Close?
The Parkinson estimator uses the full High-Low range of each bar rather than just the closing price. It extracts roughly five times more information per bar. This matters especially for shorter windows (5d, 10d) where you have very few data points — getting more information from each one dramatically improves the estimate.
Settings
History for Percentiles (default 252) — How far back to look when ranking current vol. One year (252) captures a full cycle. Two years (504) gives more stable rankings but may include regimes that are no longer relevant.
Main Plot — Show either the Percentile Rank (0-100 scale, recommended) or the raw Annualized Volatility for the 20-day tenor as a time series below the chart.
Alerts
20d Vol Expensive — Current 20-day realized volatility is in the top 15th percentile. Premiums are rich.
20d Vol Cheap — Current 20-day realized volatility is in the bottom 15th percentile. Premiums are thin.
You cannot answer that question without context. 28% on Tesla might be below average. 28% on Coca-Cola might be a decade high. The number alone tells you nothing. The percentile tells you everything.
This indicator builds the classic Volatility Cone — a tool that has sat on institutional volatility trading desks since Burghardt and Lane described it in 1990 and Euan Sinclair popularized it in Volatility Trading. The best open-source version on TradingView was paywalled. This one is free.
What the table shows
Eight rows. Eight time windows. One complete picture.
Each row represents a different tenor — from 5-day (ultra short-term) to 252-day (one full year). For each tenor you see:
Current — The realized volatility right now for that window, annualized using the Parkinson (High-Low) estimator.
Rank — Where the current reading sits in the full history. "82nd" means current vol is higher than 82% of all historical readings for this tenor. This is the most important column.
Avg — The historical average for this tenor. Your baseline.
Min/Max — The full historical range. Tells you what the extremes looked like.
Status — Color-coded verdict. CHEAP (green, bottom 15%), LOW (teal, 15-35%), FAIR (white, 35-65%), ELEVATED (orange, 65-85%), EXPENSIVE (red, top 15%).
The bottom row shows the average percentile across all tenors — your one-number summary of whether vol is cheap or expensive for this stock right now.
How to use this for options selling
Find your DTE in the table. If you typically sell 14-day options, look at the 10d and 20d rows. If you sell monthlies, look at the 30d row. If you sell 45-DTE, look between 30d and 60d.
If your target tenor shows EXPENSIVE or ELEVATED — premiums are rich. The market is paying you above-average for the risk. This is when selling premium has the biggest statistical edge.
If it shows CHEAP or LOW — premiums are thin. You are being underpaid for the risk. Either skip this stock, wait, or tighten your position size.
If it shows FAIR — average conditions. No particular edge either way. Trade your standard size.
The term structure angle
Compare the status across tenors. When short-term vol (5d, 10d) ranks much higher than long-term vol (120d, 252d), short-term volatility is elevated relative to the longer trend — the vol term structure is inverted. This is similar to VIX backwardation at the single-stock level and often signals a stress event that may be temporary.
When long-term vol ranks higher than short-term, the stock has been volatile for months. Short-term conditions have calmed down but the annual number has not caught up yet. This is a normalizing pattern.
The time series plot
Below the chart, the 20-day realized vol percentile rank is plotted as a time series so you can see how the rank has evolved. Red zone (above 85) means vol has been consistently expensive. Green zone (below 15) means consistently cheap. This gives you the trend that the table snapshot cannot show.
Why Parkinson and not Close-to-Close?
The Parkinson estimator uses the full High-Low range of each bar rather than just the closing price. It extracts roughly five times more information per bar. This matters especially for shorter windows (5d, 10d) where you have very few data points — getting more information from each one dramatically improves the estimate.
Settings
History for Percentiles (default 252) — How far back to look when ranking current vol. One year (252) captures a full cycle. Two years (504) gives more stable rankings but may include regimes that are no longer relevant.
Main Plot — Show either the Percentile Rank (0-100 scale, recommended) or the raw Annualized Volatility for the 20-day tenor as a time series below the chart.
Alerts
20d Vol Expensive — Current 20-day realized volatility is in the top 15th percentile. Premiums are rich.
20d Vol Cheap — Current 20-day realized volatility is in the bottom 15th percentile. Premiums are thin.
オープンソーススクリプト
TradingViewの精神に則り、このスクリプトの作者はコードをオープンソースとして公開してくれました。トレーダーが内容を確認・検証できるようにという配慮です。作者に拍手を送りましょう！無料で利用できますが、コードの再公開はハウスルールに従う必要があります。
ThetaLoop | Algorithmic Options Research
🔍 Free CSP Score for any ticker — X-Ray Scanner:
thetaloop.app/xray
(Not financial advice)
🔍 Free CSP Score for any ticker — X-Ray Scanner:
thetaloop.app/xray
(Not financial advice)
免責事項
これらの情報および投稿は、TradingViewが提供または承認する金融、投資、取引、またはその他の種類の助言もしくは推奨であることを意図したものではなく、またこれらに該当するものでもありません。詳細は利用規約をご覧ください。
オープンソーススクリプト
TradingViewの精神に則り、このスクリプトの作者はコードをオープンソースとして公開してくれました。トレーダーが内容を確認・検証できるようにという配慮です。作者に拍手を送りましょう！無料で利用できますが、コードの再公開はハウスルールに従う必要があります。
ThetaLoop | Algorithmic Options Research
🔍 Free CSP Score for any ticker — X-Ray Scanner:
thetaloop.app/xray
(Not financial advice)
🔍 Free CSP Score for any ticker — X-Ray Scanner:
thetaloop.app/xray
(Not financial advice)
免責事項
これらの情報および投稿は、TradingViewが提供または承認する金融、投資、取引、またはその他の種類の助言もしくは推奨であることを意図したものではなく、またこれらに該当するものでもありません。詳細は利用規約をご覧ください。