Covered Calls Optimizer

//@version=5
indicator("Covered Calls Optimizer", overlay=true, max_labels_count=500)

// ═══════════════════════════════════════════════════════════════════
// 📊 COVERED CALLS OPTIMIZER - TradingView Pine Script
// ═══════════════════════════════════════════════════════════════════
// Advanced indicator for covered calls strategy analysis
// Features:
// - Optimal strike price calculation
// - Premium yield analysis
// - Risk/reward visualization
// - Support/resistance levels
// - Volatility-based recommendations
// ═══════════════════════════════════════════════════════════════════

// ══════════ INPUT PARAMETERS ══════════

// Position Settings
positionSize = input.int(100, "Position Size (shares)", minval=100, step=100,
                         tooltip="Number of shares owned (must be multiple of 100)")
avgCost = input.float(0, "Average Cost (0 = current price)", minval=0,
                      tooltip="Your average entry price. Use 0 for current price")

// Strategy Settings
daysToExpiration = input.int(30, "Target DTE", minval=7, maxval=90,
                            tooltip="Target days to expiration")
riskLevel = input.string("Moderate", "Risk Level",
                        options=["Conservative", "Moderate", "Aggressive"],
                        tooltip="Conservative=Low risk/low premium, Aggressive=Higher risk/premium")
targetPremium = input.float(1.0, "Min Premium %", minval=0.1, step=0.1,
                           tooltip="Minimum premium percentage per month")

// Technical Settings
showSupport = input.bool(true, "Show Support/Resistance", group="Display")
showTargets = input.bool(true, "Show Strike Targets", group="Display")
showZones = input.bool(true, "Show Risk Zones", group="Display")
showTable = input.bool(true, "Show Stats Table", group="Display")

// ══════════ CALCULATIONS ══════════

// Current price
currentPrice = close
costBasis = avgCost > 0 ? avgCost : currentPrice

// Calculate ATR for volatility
atr = ta.atr(14)
atrPercent = (atr / currentPrice) * 100

// Historical Volatility (20-day)
returns = math.log(close / close[1])
hvol = ta.stdev(returns, 20) * math.sqrt(252) * 100

// Risk level multipliers
deltaTarget = riskLevel == "Conservative" ? 0.20 :
              riskLevel == "Moderate" ? 0.30 : 0.40

otmPercent = riskLevel == "Conservative" ? 5.0 :
             riskLevel == "Moderate" ? 3.0 : 2.0

// ══════════ STRIKE PRICE CALCULATIONS ══════════

// Calculate target strike based on delta approximation
// Delta ≈ 0.5 + (ln(S/K) / (σ√T)) / 2
// Simplified: Higher strike = Lower delta
strikeMultiplier = 1 + (otmPercent / 100)
targetStrike = currentPrice * strikeMultiplier

// Round to nearest $5 for stocks > $100, $2.5 for $50-$100, $1 for < $50
strikeIncrement = currentPrice > 100 ? 5.0 :
                  currentPrice > 50 ? 2.5 : 1.0
targetStrikeRounded = math.round(targetStrike / strikeIncrement) * strikeIncrement

// Alternative strikes
conservativeStrike = math.round((currentPrice * 1.07) / strikeIncrement) * strikeIncrement
moderateStrike = math.round((currentPrice * 1.04) / strikeIncrement) * strikeIncrement
aggressiveStrike = math.round((currentPrice * 1.02) / strikeIncrement) * strikeIncrement

// ══════════ PREMIUM ESTIMATION ══════════

// Rough premium estimation using volatility
// Premium ≈ Stock Price × IV × √(DTE/365) × Delta
ivEstimate = math.max(hvol, atrPercent * 2)
timeValue = math.sqrt(daysToExpiration / 365)
premiumEstimate = currentPrice * (ivEstimate / 100) * timeValue * deltaTarget

// Adjust for strike distance
strikeDistance = (targetStrikeRounded - currentPrice) / currentPrice
premiumAdjusted = premiumEstimate * (1 - strikeDistance)

// Calculate yield
contracts = math.floor(positionSize / 100)
totalPremium = premiumAdjusted * contracts * 100
premiumYieldPct = (totalPremium / (currentPrice * positionSize)) * 100
annualizedYield = premiumYieldPct * (365 / daysToExpiration)

// ══════════ RISK ZONES ══════════

// Support and Resistance levels
pivotHigh = ta.pivothigh(high, 10, 10)
pivotLow = ta.pivotlow(low, 10, 10)

var float[] resistanceLevels = array.new_float(0)
var float[] supportLevels = array.new_float(0)

// Store pivot points
if not na(pivotHigh)
    array.push(resistanceLevels, pivotHigh)
    if array.size(resistanceLevels) > 5
        array.shift(resistanceLevels)

if not na(pivotLow)
    array.push(supportLevels, pivotLow)
    if array.size(supportLevels) > 5
        array.shift(supportLevels)

// Find nearest resistance
nearestResistance = currentPrice
if array.size(resistanceLevels) > 0
    for i = 0 to array.size(resistanceLevels) - 1
        level = array.get(resistanceLevels, i)
        if level > currentPrice and (nearestResistance == currentPrice or level < nearestResistance)
            nearestResistance := level

// Find nearest support
nearestSupport = currentPrice
if array.size(supportLevels) > 0
    for i = 0 to array.size(supportLevels) - 1
        level = array.get(supportLevels, i)
        if level < currentPrice and (nearestSupport == currentPrice or level > nearestSupport)
            nearestSupport := level

// ══════════ VISUALIZATION ══════════

// Plot strike levels
plot(showTargets ? targetStrikeRounded : na, "Target Strike", color.new(color.blue, 0), 2, plot.style_line)
plot(showTargets ? conservativeStrike : na, "Conservative Strike", color.new(color.green, 50), 1, plot.style_linebr)
plot(showTargets ? aggressiveStrike : na, "Aggressive Strike", color.new(color.red, 50), 1, plot.style_linebr)

// Plot support/resistance
plot(showSupport and nearestResistance != currentPrice ? nearestResistance : na,
     "Resistance", color.new(color.red, 70), 1, plot.style_circles)
plot(showSupport and nearestSupport != currentPrice ? nearestSupport : na,
     "Support", color.new(color.green, 70), 1, plot.style_circles)

// Plot cost basis
plot(costBasis != currentPrice ? costBasis : na, "Cost Basis",
     color.new(color.orange, 30), 2, plot.style_cross)

// Background zones
assignmentRisk = close >= targetStrikeRounded * 0.98
safeZone = close < targetStrikeRounded * 0.95

bgcolor(showZones and assignmentRisk ? color.new(color.red, 90) : na, title="Assignment Risk")
bgcolor(showZones and safeZone ? color.new(color.green, 95) : na, title="Safe Zone")

// ══════════ ALERTS ══════════

// Price approaching strike
approachingStrike = ta.crossover(close, targetStrikeRounded * 0.95)
alertcondition(approachingStrike, "Approaching Strike", "Price approaching {{ticker}} strike level")

// Price above strike (assignment risk)
aboveStrike = ta.crossover(close, targetStrikeRounded)
alertcondition(aboveStrike, "Above Strike Price", "{{ticker}} above strike - assignment risk!")

// High volatility opportunity
highVolatility = hvol > hvol[1] * 1.2 and hvol > 30
alertcondition(highVolatility, "High IV Opportunity", "{{ticker}} showing high IV - good premium opportunity")

// ══════════ LABELS ══════════

// Label for target strike
if showTargets and barstate.islast
    label.new(bar_index, targetStrikeRounded,
              text="🎯 " + str.tostring(targetStrikeRounded, "#.##"),
              style=label.style_label_left,
              color=color.new(color.blue, 30),
              textcolor=color.white,
              size=size.normal)

// ══════════ STATISTICS TABLE ══════════

if showTable and barstate.islast
    var table statsTable = table.new(position.top_right, 2, 12,
                                     border_width=1,
                                     border_color=color.gray,
                                     frame_color=color.gray,
                                     frame_width=1)

    // Header
    table.cell(statsTable, 0, 0, "Covered Calls Strategy",
               bgcolor=color.new(color.blue, 70), text_color=color.white, text_size=size.normal)
    table.merge_cells(statsTable, 0, 0, 1, 0)

    // Current Position
    table.cell(statsTable, 0, 1, "Current Price", text_halign=text.align_left)
    table.cell(statsTable, 1, 1, "$" + str.tostring(currentPrice, "#.##"),
               text_halign=text.align_right, text_color=color.white)

    table.cell(statsTable, 0, 2, "Cost Basis", text_halign=text.align_left)
    pnlColor = currentPrice >= costBasis ? color.green : color.red
    pnlPct = ((currentPrice - costBasis) / costBasis) * 100
    table.cell(statsTable, 1, 2, "$" + str.tostring(costBasis, "#.##") + " (" + str.tostring(pnlPct, "+#.##") + "%)",
               text_halign=text.align_right, text_color=pnlColor)

    // Strike Recommendations
    table.cell(statsTable, 0, 3, "Target Strike", text_halign=text.align_left)
    table.cell(statsTable, 1, 3, "$" + str.tostring(targetStrikeRounded, "#.##"),
               text_halign=text.align_right, bgcolor=color.new(color.blue, 80))

    table.cell(statsTable, 0, 4, "Strike Distance", text_halign=text.align_left)
    distPct = ((targetStrikeRounded - currentPrice) / currentPrice) * 100
    table.cell(statsTable, 1, 4, str.tostring(distPct, "+#.##") + "%",
               text_halign=text.align_right)

    // Premium Analysis
    table.cell(statsTable, 0, 5, "Est. Premium", text_halign=text.align_left)
    table.cell(statsTable, 1, 5, "$" + str.tostring(premiumAdjusted, "#.##") + "/contract",
               text_halign=text.align_right, text_color=color.yellow)

    table.cell(statsTable, 0, 6, "Total Premium", text_halign=text.align_left)
    table.cell(statsTable, 1, 6, "$" + str.tostring(totalPremium, "#") + " (" + str.tostring(contracts, "#") + " contracts)",
               text_halign=text.align_right, text_color=color.yellow)

    table.cell(statsTable, 0, 7, "Premium Yield", text_halign=text.align_left)
    yieldColor = premiumYieldPct >= targetPremium ? color.green : color.orange
    table.cell(statsTable, 1, 7, str.tostring(premiumYieldPct, "#.##") + "%",
               text_halign=text.align_right, text_color=yieldColor)

    table.cell(statsTable, 0, 8, "Annualized Yield", text_halign=text.align_left)
    table.cell(statsTable, 1, 8, str.tostring(annualizedYield, "#.##") + "%",
               text_halign=text.align_right, text_color=color.green)

    // Risk Metrics
    table.cell(statsTable, 0, 9, "Volatility (HV)", text_halign=text.align_left)
    volColor = hvol > 40 ? color.red : hvol > 25 ? color.yellow : color.green
    table.cell(statsTable, 1, 9, str.tostring(hvol, "#.#") + "%",
               text_halign=text.align_right, text_color=volColor)

    table.cell(statsTable, 0, 10, "Risk Level", text_halign=text.align_left)
    riskColor = riskLevel == "Conservative" ? color.green :
                riskLevel == "Moderate" ? color.yellow : color.red
    table.cell(statsTable, 1, 10, riskLevel,
               text_halign=text.align_right, text_color=riskColor)

    // Status
    table.cell(statsTable, 0, 11, "Status", text_halign=text.align_left)
    status = assignmentRisk ? "⚠️ At Risk" : safeZone ? "✅ Safe" : "📊 Monitor"
    statusColor = assignmentRisk ? color.red : safeZone ? color.green : color.yellow
    table.cell(statsTable, 1, 11, status,
               text_halign=text.align_right, text_color=statusColor, text_size=size.normal)

// ══════════ PLOTSHAPE FOR SIGNALS ══════════

// Good entry signal (high volatility + safe zone)
goodEntry = hvol > 25 and safeZone and barstate.islast
plotshape(goodEntry, "Good Entry", shape.triangleup, location.belowbar,
          color.new(color.green, 0), size=size.small)

// Warning signal (approaching strike)
warning = close >= targetStrikeRounded * 0.95 and close < targetStrikeRounded
plotshape(warning and barstate.islast, "Warning", shape.diamond, location.abovebar,
          color.new(color.orange, 0), size=size.small)

// Assignment risk signal
riskSignal = close >= targetStrikeRounded
plotshape(riskSignal and barstate.islast, "Assignment Risk", shape.triangledown, location.abovebar,
          color.new(color.red, 0), size=size.small)