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1. Set the put and call strike inputs to values of your choosing.

2. Select "days to expiration".

3. Set the put and call standard deviations using the output table.

The indicator is meant help price a strangle using historical data and a volatility model. By default, the model is an ewma-method historical volatility . After selecting strikes and standard their corresponding standard deviation, theoretical values and probabilities will be shown in the table. The script is initialized with -1 for several inputs, and won't show any data until these are adjusted.

The theoretical values shown assume a strangle was bought or sold on every historical bar, and averaging their value at expiration.

For example, if you choose the $50 call and $40 put when the underlying is at $45 and there are 30 days until expiration, suppose the volatility is N and

these strikes correspond to M standard deviations. Input those and the resulting theoretial values shown will be based on opening a 30 dte call and put at M standard deviations with respect to the volatility at each bar.

- Past volatility forecasts are plotted in blue, and hidden by default.

- The current volatility forecast is drawn as a blue line.

- The put and call strikes are drawn as red lines.

This indicator is only meant for the daily chart!

Since I won't be able to edit this description later, also check the release notes and script comments for important changes.

Versionshinweise:
future projections now use bar time, should end on the right bars

- some cosmetic changes

Note: this script is meant for the daily chart.

- The lines now end on the correct calendar day (previously they extended one day extra).

Versionshinweise:
cleaned up code

Versionshinweise:
fixed call line being off by one