New Price Spike indicators!

Written on Feb 02, 2012 // Options Trading, Uncategorized.

Using the mathematical concepts Jeff Augen presents in The Volatility Edge in Options Trading, I am happy to present my adaptation of his “price spike” graphs. I made four indicators based on his articles and books about differential volatility. Though Augen recommends developing a database/spreadsheet system for personal research, I have developed these indicators to give a very rapid graphical representation of price change history, using pricing information already supplied by thinkorswim. This means that no database or subscription service is necessary with these indicators.
The indicator shown at the bottom plots overnight volatility (yesterday’s close to today’s open) as measured in standard deviations of the recent close-to-open price change volatility. The “recent” period I refer to is user-defined; I use a default 20-period sliding window, but it can be set to however many periods you like.
Any close-to-open price change larger than 1.5 standard deviations is indicated by an upward green or downward red spike. However, the minimum highlighted spike size is also user defined. I use a default of 1.5 standard deviations.
This indicator is used to get a graphical representation of historical volatility, but not in the conventional close-to-close measurement, but rather a more specific 17.5 hour close-to-open measurement. It is useful for finding equities or indexes that have high or low overnight volatility, and for planning your options positions accordingly. I will talk about possible strategies later.
Also, I have made an identical indicator which measures close-to-close volatility, and one for open-to-close (intraday) volatility. These are not shown in this photo.
Another feature in this indicator (not shown) is the ability to toggle on a day-of-week bubble for each large price spike. This is useful for statistical observations and possible higher probability setups based on day of week information.
The indicator above the lower one is a line graph of each volatility mentioned: close-to-close, close-to-open, and open-to-close, along with a plot of implied volatility. I created this indicator as well, using the same formulas for calculating volatility as I did in the price spike indicators.
Email me if you would like to purchase any of these indicators.

8 responses so far, say something?

  1. James

    Like your site. Do you know what Jeff Augen is doing nowadays?

  2. Atanas

    Dear Seth,

    Please advise price of your 4 indcators based on Jeff Augen’s books.

  3. seth

    Thanks for your interest!
    I am asking for $15 for all three price spike indicators together (Open-Close, Close-Close, and Close-Open volatility).
    For the Volatility Comparison indicator, I am asking $10. This indicator shows Open-Close, Close-Close, Close-Open, and Implied Volatility each as a line plot..
    Shoot me an email if you are interested.

  4. seth

    Your comment slipped through the cracks until now.
    Thank you for your comment.
    All I know about Jeff Augen’s recent activity is that he is an active contributor to SFO Magazine, at The digital subscription is free, and his articles are great reads. I highly recommend the publication.

  5. lewis

    I am super interested in purchasing all your indicators and in having you explain how to use them. I trade on the think or swim platform. Will I be able to have you or someone at think or swim install these 4 indicators on my tos platform? Will I be able to communicate with you to learn how to properly use these indictors. I trade weekly options on the spx and these indicators could be very useful to my trading. Please respond. You are obviously brilliant and I would like to learn from you, tx, Lew

  6. Arthur

    Hi Seth, I want to know how I can purchase your new price spike indicators. Will look for your reply, Arthur

  7. Arthur

    Hi Seth, I had to reload my charts and indicators and found an error in your ( PriceSpike_HighLow ) indicator, when loaded to add studies on TOS, it turns completely Red In the Price pane area. I opened the code scroll and found two things that were red, one at number 14 and the other at number 16. If all this is correct then I’m okay but if not could you resend the correct files. I purchased her indicator a while back and I don’t love you had any updates or new information. Will look for your reply. Thank you, Arthur

  8. Arthur

    Hi Seth, still waiting for reply to the email I sent about the error. Will look for your reply, Arthur


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