This products includes two separate indicators/studies. The narrow thinkorswim IV Slope Indicator, which tracks single point IV slope across out-of-the-money (OTM) options (ie. 9% to 11% or 0% to 10%) and the wide thinkorswim IV Slope Indicator which tracks them all from 0% to 20%.
Both studies work the same way. The study natively calculates the slope of the implied volatility of n% of OTM options on any ticker. To do so, the study interpolates the value of the IV premium for a fixed 22 trading days to expiry. They use the first 3 tenors in the regression. For example, using the 10% OTM option, the indicator interpolates the IV of the 11% and 9% OTM options and captures that slope as it crosses the 10% OTM strike.
The narrow IV slope study collects the n% OTM slope across both puts and calls for the same % both ways and displays the net difference in slopes.
The wide IV slope study works similarily, but for all options in the 1% to 20% OTM range. The wide IV slope study includes the weighted total slope curve which sums each interpolated IV slope values for 1% to 20% OTM options and weighs them. Using 10% as an example, it uses a ratio of the 10% OTM strike over the spot pricing. This value is a naïve inference of supply and demand of each side of the option chain.
The indicator works on any aggregation period, stock, index etf, and indexes. The product includes a how-to guide with detailed usage instructions.
The information contained therein, or inferred from the product therein, are not intended as, and shall
not be construed or understood to be financial advise or any promise of success, profit or guarantee of
such. The creator of this product is neither a financial advisor, attorney or an accountant, or holding out to
be, and the information contained therein or inferred from the product therein is not, and should not be
seen or interpreted to be financial advise of any kind. The creator of this product is absolutely no aware
of your individual circumstances and making any guarantee, implied or not, of any performance result:
positive or negative. The creator has attempted, to the best of his ability, to generate a useful product for
those interested in engaging in trading of the underlying securities mentioned therein. Nothing contained
herein should be viewed as a substitute to professional financial advise fit for your situation and your
individual circumstances. In addition to this, the purchase of the materials implies that you agree that any reproduction, resale,
reuse or usage not otherwise permitted by the owner is strictly prohibited.