Dollar Gamma Calculation

samks_30

New member
2019 Donor
Does anyone here have an idea on how the GEX and DIX are calculated on https://squeezemetrics.com/monitor/dix? I try to multiply gamma by OI at every strike for both calls and puts to get an idea on where the market stands. Any help on calculating daily dollar/gamma exposure would be grateful. Thanks!
 
Last edited:

Join useThinkScript to post your question to a community of 21,000+ developers and traders.

Thanks for your reply @codydog! I read his white paper already and came up with the calculation that i mentioned in my initial post. For GEX he charges $1000/3 months not $100. I also follow tradingvolatility and spotgamma sites. But there is more to what's already there in public. I wanted to start a thread to check if there are any people working on gamma here so we could work together on building something useful for everyone here.
 
As a reminder, SocGen’s derivatives strategists wrote last month that most large daily moves in stocks (where “large” means magnitudes bigger than 1.5%) since May came “when the previous day’s aggregate gamma estimate was negative”. Wednesday’s action fit that description.
@skynetgen The Heisenberg is pretty good reading. He's got his ear to the ground. Whether he's correct or not, time will tell. I know of a few active traders that are into Gamma scalping. I stay away because of the day job, I'd hate to miss a turn...
 
@markos - i dont use it for gamma scalps, its useful to know whch way dealers are positioned and where their hedgin MAY kick in. Dealers tend to be long calls, short puts from customers but if selling calls stops being fun, it'll flip quickly. Although many swear by selling calls, the money in it has dropped as vol has, so, works until it doesnt i guess
 
Last edited:
In the options layout screen, choose custom column and use below formula to have dollar gamma displayed along side with delta and prob of touching as NextSignals.

Plot DollarGamma = Open_Interest() * gamma();
 
@samks_30 - how do i get the formula into the layout? I see the custom columns but dont understand the protocol for inserting the formula. Thanks
Typically you would create it as a new study, then go to the option chain, hit layout, customize and then the arrow and custom quotes and find it there. Didn't work for me either.
 
Within the options layout, go to customize layout and click on the icon on 'custom column' to open the script editor. Mouse click need to be on the left icon not on the column name.
 
Excellent ! Thank you

It was just pointed out to me, that tos can export RTD to excel, where we can make our own columns/rows. I haven't thought about RTD for years, does anyone have an example(s)?

Thanks
 
Last edited:
In the options layout screen, choose custom column and use below formula to have dollar gamma displayed along side with delta and prob of touching as NextSignals.

Plot DollarGamma = Open_Interest() * gamma();

That would be the code for "Gamma Open Interest". The formula for "Dollar Gamma" is "0.5 x Gamma x (Underlying Price x 1%)squared"!

Could someone please convert that formula into Thinkscript code. TIA...
 
but don't know what I'm doing. The thinkScript editor accepts the following code; however when I import the code as a custom column in the TOS options chain, I receive an error message stating "invalid symbol name"!

input symbol_1 = “(Gamma())*1/2" ;
input symbol_2 = “Sqr(getUnderlyingSymbol())*1/100” ;
Plot product = close(symbol_1) * (close(symbol_2));
product.SetDefaultColor(GetColor(0));

What I am attempting to code is the formula: 0.5 x Gamma x (Underlying Price x 1%)²

Would someone please help me code this formula?

Thanks in advance...
 
but don't know what I'm doing. The thinkScript editor accepts the following code; however when I import the code as a custom column in the TOS options chain, I receive an error message stating "invalid symbol name"!

input symbol_1 = “(Gamma())*1/2" ;
input symbol_2 = “Sqr(getUnderlyingSymbol())*1/100” ;
Plot product = close(symbol_1) * (close(symbol_2));
product.SetDefaultColor(GetColor(0));

What I am attempting to code is the formula: 0.5 x Gamma x (Underlying Price x 1%)²

Would someone please help me code this formula?

Thanks in advance...

Coding the formula is trivial but first things first.
My assumption is that you are creating a custom column DIRECTLY within the options chain, i.e. Trade > Options Chain > Customize...
Here then is the code for the formula you supplied above.

Code:
plot mydata = 0.5*gamma() * sqr(close*.01);

I'm taking it that you are conversant with the procedure of creating that directly within the option chain.
If you are unsure, please contact TOS live support so they can walk you through the specifics

I have just loaded that as a custom column within my option chain called "MyGamma"
The base layout I used was Impl Vol, Probability OTM, Delta.
Hence after the customization, my layout now becomes Impl Vol, Probability OTM, Delta, MyGamma

Looking at JPM expiration 3 JAN 20 (27) some of the values cannot currently be computed as the options market is closed
So you'll need to test this during RTH.
 

Not the exact question you're looking for?

Start a new thread and receive assistance from our community.

87k+ Posts
561 Online
Create Post

The Market Trading Game Changer

Join 2,500+ subscribers inside the useThinkScript VIP Membership Club
  • Exclusive indicators
  • Proven strategies & setups
  • Private Discord community
  • ‘Buy The Dip’ signal alerts
  • Exclusive members-only content
  • Add-ons and resources
  • 1 full year of unlimited support

Frequently Asked Questions

What is useThinkScript?

useThinkScript is the #1 community of stock market investors using indicators and other tools to power their trading strategies. Traders of all skill levels use our forums to learn about scripting and indicators, help each other, and discover new ways to gain an edge in the markets.

How do I get started?

We get it. Our forum can be intimidating, if not overwhelming. With thousands of topics, tens of thousands of posts, our community has created an incredibly deep knowledge base for stock traders. No one can ever exhaust every resource provided on our site.

If you are new, or just looking for guidance, here are some helpful links to get you started.

What are the benefits of VIP Membership?
VIP members get exclusive access to these proven and tested premium indicators: Buy the Dip, Advanced Market Moves 2.0, Take Profit, and Volatility Trading Range. In addition, VIP members get access to over 50 VIP-only custom indicators, add-ons, and strategies, private VIP-only forums, private Discord channel to discuss trades and strategies in real-time, customer support, trade alerts, and much more. Learn all about VIP membership here.
How can I access the premium indicators?
To access the premium indicators, which are plug and play ready, sign up for VIP membership here.
Back
Top