0DTE Expected Move & SD Ladder
IV ladder deviations, expected move daily.
0DTE Expected Move & SD Ladder
This indicator plots options-implied expected-move levels on any intraday chart, anchored to the session open.
HOW IT WORKS
Options prices imply how far the market expects price to move. This script converts an at-the-money implied volatility (IV) reading into a one-day expected move and draws standard-deviation levels around the open:
Expected Move (1 SD) = Open price × IV × √(DTE / 252)
Levels are drawn at ±0.25, ±0.50, ±0.75 and ±1.00 SD by default, with optional ±1.50 and ±2.00 SD.
Each label also shows the theoretical probability of price touching that level during the session, using the reflection principle:
P(touch) = 2 × (1 − Φ(k)), where k is the number of standard deviations.
Example: 0.25 SD ≈ 80%, 0.50 SD ≈ 62%, 0.75 SD ≈ 45%, 1.00 SD ≈ 32%.
HOW TO USE
1. Get the ATM implied volatility for the index underlying your future (e.g. NDX for NQ, SPX for ES) from your options data source.
2. Enter it in the settings as a decimal (0.194) or a percent (19.4).
3. Set the anchor time (default 9:30 New York for the cash open; 18:00 for the futures session open).
The script detects the anchor price automatically from 1-minute data, so it works on any intraday timeframe. A manual anchor price can be used instead.
FEATURES
- Automatic anchor detection at any time of day
- Up to six SD levels, upper and lower
- Touch-probability labels
- Ladder table with open, IV, expected move, distances, levels and probabilities
- Adjustable colours, line style, label size and table position
NOTES
- The levels are only as accurate as the IV you enter. Update it each session.
- Probabilities assume normally distributed returns with no drift. Real markets have fatter tails, so treat them as a guide, not a guarantee.
- IV is annualised using 252 trading days.
This script is for educational purposes and is not financial advice.
0DTE Expected Move & SD Ladder
This indicator plots options-implied expected-move levels on any intraday chart, anchored to the session open.
HOW IT WORKS
Options prices imply how far the market expects price to move. This script converts an at-the-money implied volatility (IV) reading into a one-day expected move and draws standard-deviation levels around the open:
Expected Move (1 SD) = Open price × IV × √(DTE / 252)
Levels are drawn at ±0.25, ±0.50, ±0.75 and ±1.00 SD by default, with optional ±1.50 and ±2.00 SD.
Each label also shows the theoretical probability of price touching that level during the session, using the reflection principle:
P(touch) = 2 × (1 − Φ(k)), where k is the number of standard deviations.
Example: 0.25 SD ≈ 80%, 0.50 SD ≈ 62%, 0.75 SD ≈ 45%, 1.00 SD ≈ 32%.
HOW TO USE
1. Get the ATM implied volatility for the index underlying your future (e.g. NDX for NQ, SPX for ES) from your options data source.
2. Enter it in the settings as a decimal (0.194) or a percent (19.4).
3. Set the anchor time (default 9:30 New York for the cash open; 18:00 for the futures session open).
The script detects the anchor price automatically from 1-minute data, so it works on any intraday timeframe. A manual anchor price can be used instead.
FEATURES
- Automatic anchor detection at any time of day
- Up to six SD levels, upper and lower
- Touch-probability labels
- Ladder table with open, IV, expected move, distances, levels and probabilities
- Adjustable colours, line style, label size and table position
NOTES
- The levels are only as accurate as the IV you enter. Update it each session.
- Probabilities assume normally distributed returns with no drift. Real markets have fatter tails, so treat them as a guide, not a guarantee.
- IV is annualised using 252 trading days.
This script is for educational purposes and is not financial advice.
Wyłączenie odpowiedzialności
Informacje i publikacje nie stanowią i nie powinny być traktowane jako porady finansowe, inwestycyjne, tradingowe ani jakiekolwiek inne rekomendacje dostarczane lub zatwierdzone przez TradingView. Więcej informacji znajduje się w Warunkach użytkowania.
Wyłączenie odpowiedzialności
Informacje i publikacje nie stanowią i nie powinny być traktowane jako porady finansowe, inwestycyjne, tradingowe ani jakiekolwiek inne rekomendacje dostarczane lub zatwierdzone przez TradingView. Więcej informacji znajduje się w Warunkach użytkowania.