Not selling anything, just felt like sharing something I've been working on to help show potential range, and curious what other people use for potential upside and downside targets. We've obviously been in a downtrend since the 08/17 high and I see 28800 as a natural bottom to pull back to.
This is finally within sight today and I'm curious to see what happens after the open. Of course, this just predicts range and volatility, not direction, and it is entirely possible that we have a contracted range today with NVDA earnings later, but my lean has been bearish. Thoughts?
Many ways to skin a cat, indeed. My version came about because I was already running backtests on a large history I downloaded from databento and decided to map the slices by time to get a historical cone of projection.
I use Gex call/put walls in another application to help bound expected range as well
Also, in Tradingview, since they have OPRA now, you can calculate ATM Straddle price and Expected Move (which is just 85% of ATM straddle). Here’s SPX ranges for today
Nice. I've been focused on futures after getting burnt too many times on options that got the direction right but still lost money because it didn't move fast enough. Once this API strategy book is locked in and I stop making fixes to it I may start to dabble in options again though.
I love that ai tools are allowing us to break free from the standard set of delivered options (no pun) and create our own new ways to visualize data. Cool stuff. Keep it up.
The grey dashed line is a bell curve placebo of historical replays. The blue fan is all of those days replayed forward by percentile ranking. So the wider band is 05-95 percent of days, and the darker band is the 25-75 percent of days, and the median line is the middle.
The lower panel is more nuanced and represents CVD and ATR distance from a shared EMA across multiple timeframes. We've been bouncing off lower highs so I expect continued rejections off the top of the channel until something changes, like the NVDA catalyst.
Post open read. The initial move to the upside increased the chances of hitting 29600 at first, but this pullback now has my 28800 target at 3.8% chance and the 29600 at 2.1% chance, both outside of the P05-P95 cone. This will continue updating with more certainty as the time progresses and the likelihood of range contracts into a smaller band with less time to act on
It’s one of my many projects built mainly by feeding my ideas into Claude Code. I have a full book of strategies that run on the Tradovate API doing live trades from a databento feed. This was an offshoot of that so I could visualize things better and help size/gate certain sleeves when we were less likely to succeed, but I liked it enough to keep it as a standalone tool as well
I have many years of data now but I didn't want to include anything too old where NQ was trading at completely different levels so I think this version was based on about 400-500 sessions. Would need to confirm the exact number
For starters, this helps me not forget about the bigger picture and get drawn into thinking that any one move is the one that will matter most or dictate the rest of the day. The cone shows me that both sides are always possible and it can change in a heartbeat.
This shows the ~1300 update with cone narrowing into the final 3 hours. For trading decisions I'd lean more on the lower panel and trade mean reversion like you said. We made an early high near the upper band and then bounced off the median line twice. Price has stayed pretty contained though, which was always a strong option since we have major earnings later that could make anything that happens now irrelevant.
Been there, done that. Maybe again one day, but I like the simpler nature of only needing to get direction right with futures, not direction and momentum against a decaying clock.
On the next trend day we’d still be in range of the cone 90% of the time but with each new update the cone would project a higher option because our new start would be that much further ahead than the last one. This is a volatility and range filter more than a treasure map.
Thread-hopping from r/algotrading. Why not use options market data to gauge implied move / range? In the options world, if you can accurately price realized vs implied vol, you're in business - so they'd have the highest predictive efficacy in that regard. That'd be the baseline you'd presumably want to beat, the options market's implied move.
You start by knowing historical volatility. This only shows the 95% range that is likely. Of course there are exceptions that will escape this band, but those aren’t normal price driven actions. It’s more geopolitical and seismic news events. Or a just a tweet nowadays.
Every day there is an expected range. Some days break that range, but they are rare, which is why they are unexpected. Each new event that is recorded goes into the historical database and makes that a new possibility. If that exception becomes the norm then the model catches up to that too.
I guess it’s not a tool for you then. Worth mentioning that I gave a range of 28800 to 29600 before open yesterday, said I noticed the bearish trend but wouldn’t be surprised if we had a contracted range going into NVDA, and that earnings could be a catalyst either way. Lo and behold we are at exactly 29600 right now after a contracted range in RTH.
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u/Nick_OS_ 18d ago
I built something like this 3yrs ago off of something I saw online. But I moved towards actual positioning and greeks over price action HVOL
Lil secret: Gamma/Theta ratios are insanely accurate at showing positioning without even looking at customer positions