Обновлено

DTE BE EM

The DTE BE EM (Days To Expiration Breakeven & Expected Move) indicator is a specialized institutional risk-mapping system built for TradingView in Pine Script v6. Rather than relying on static retail strike levels, it translates live option chain data into dynamic, dollar-denominated "Cost of Exposure" boundaries and expected volatility containers directly onto the underlying chart. Core Structural PhilosophyInstitutional market makers act as liquidity providers. Within expected straddle breakeven boundaries, they harvest options time decay ($\theta$). Once spot price breaks outside these dynamic breakeven thresholds, market makers transition into forced delta-hedging engines—dynamically buying or selling underlying futures into price movement to manage their balance sheet risk.

DTE BE EM maps these exact transition lines in real time across multiple expiration horizons.

Key Capabilities & Mechanics

Dynamic Straddle Breakeven Ratcheting (Dynamic BE)Real-Time RTH Tracking: As options decay during Regular Trading Hours (RTH, 09:30 – 16:00 EST), the indicator queries OPRA option prices bar-by-bar and tracks the minimum straddle price (min_straddle). It plots ratcheted step-lines ($Strike \pm min\_straddle$) representing the true shrinking risk boundary for options sellers.
16:00 EST Overnight Lock: At the cash close (16:00 EST), regular options trading halts. The indicator captures the final settled breakeven levels and automatically locks them as static horizontal reference rays that extend through Asia, London, and Globex overnight trading until the next RTH open.

Executed Expected Move (EM)True Open Implied Volatility Container: Calculates the $1.25\times$ executed straddle expected move strictly on the 09:30 AM RTH opening bar for the selected At-The-Money (ATM) strike. This anchors the session's single execution-based volatility envelope.

Real-Time Institutional Dashboard (HUD)A compact top-right dashboard displays critical session inventory metrics across up to four tracked strikes:

Open Straddle: The 1-minute high straddle price established at 09:30 AM EST.
Min Straddle: The session's lowest straddle value (active ratcheted cost of exposure).
Open Vol vs. Total Vol ($\Sigma\text{ Vol}$): Initial 5-minute opening volume versus cumulative session volume to monitor institutional position building.

Three-Layer Visual Hierarchy

Macro Layer (OI / Net GEX Pillars): Establishes the key anchor strikes ($10\text{k}+$ Open Interest / major GEX nodes) used for indicator inputs.
Container Layer (DTE BE EM Step-Lines): The actionable straddle breakeven boundaries derived by the indicator, establishing where market makers shift from mean-reversion rent collectors to volatility-amplifying hedgers.
Micro Layer (Intraday Volume GEX): Real-time order flow and VWAP interaction against the step-line boundaries.

Core Features & Applications

Dynamic BE Step-Lines: Tracks $Strike \pm min\_straddle$ during RTH to identify active institutional breakeven boundaries in real time.
Overnight Lock Mode: Anchors at the 16:00 EST close and projects static lines through Globex to define fixed overnight support and resistance for Asia and London sessions.
Executed Expected Move: Calculates $1.25 \times Open\ Straddle$ on the 09:30 AM open bar to define maximum statistical expected volatility limits for the session.
Multi-Strike Overlay: Concurrently tracks up to 4 custom strikes across different DTE chains to map cross-horizon risk confluences (e.g., 0DTE vs. 1DTE/2DTE step-lines).

Информация о релизе

fixed a line display format issue

KinetiCapital

Отказ от ответственности

Информация и публикации не предназначены для предоставления и не являются финансовыми, инвестиционными, торговыми или другими видами советов или рекомендаций, предоставленных или одобренных TradingView. Подробнее читайте в Условиях использования.

KinetiCapital