GX Credit Spread Signal

The GX Credit Spread Signal is an advanced indicator designed for traders who trade options strategies on the SPX index, especially using vertical credit spreads. It combines traditional technical analysis with volatility and option pricing concepts to provide relevant signals and projections on the chart.

Main features:

Trend analysis: Uses opening gap, position relative to VWAP and simple moving average (SMA 50) to indicate bullish or bearish bias right after the first 15-minute candle.

Safe range projection: Calculates a range based on the ATR (Average True Range) multiplied by a safety factor, suggesting potential strikes for credit spreads.

Quantitative estimates:

Calculates the estimated delta of options via the Black-Scholes formula approximation.

Estimated probability of expiring out of the money (OTM).

Chart visualizations: Displays projected ATR lines, previous day's levels (high, low, close) and an informative panel with strikes, delta, OTM probability, ATR and VWAP data.

Configurable alerts: Notifications for detected bullish or bearish bias, helping the trader to identify opportunities quickly.

This indicator is ideal for those who day trade with SPX options, facilitating decision-making by combining technical analysis, volatility and option probabilities in one place.