Vanna Thinkscript

[Carlosack]

Legit I been wanting to see if anyone here can code something for vanna and gamma! I would love to have this information on my think or swim

 

[aeb]

Could someone help me code a thinkscript for Vanna? I know it can be done because I've seen it (pictures below) but when trying to use chatgpt to help me, it has gotten me nowhere. The thinkscript was coded from the formula in the pictures.

 

[spartan.ts]

Could someone help me code a thinkscript for Vanna? I know it can be done because I've seen it (pictures below) but when trying to use chatgpt to help me, it has gotten me nowhere. The thinkscript was coded from the formula in the pictures.

can find it with search

def Under =
    Close(GetunderlyingSymbol());
def Strike =
    GetStrike();
def DTE =
    GetDaysToExpiration() / 365;
def Rate =
    GetInterestRate() * 0.01;
def Div =
    if !isNaN(GetDividend()) then GetDividend()
    else Div[1];
def Yield =
    if Div then Div / Under
    else 0;
def IV =
    Imp_Volatility(GetUnderlyingSymbol());
def Pi =
    Double.Pi; #3.14
def e =
    2.718281828; #Euler's number (sort of like Pi)
def D1 =
    (Log(Under/Strike) + (rate - yield + (Power(IV,2) / 2)) * DTE) / (IV * Sqrt(DTE));
def N1D1 =
    power(e,-(power(D1,2)/2)) * (1 / (2 * Pi));
def Van =
    SqRt(DTE) * N1D1 * (1 - D1); #assumes 0 dividend

plot Vanna = Van * -1;

 

[halcyonguy]

Could someone help me code a thinkscript for Vanna? I know it can be done because I've seen it (pictures below) but when trying to use chatgpt to help me, it has gotten me nowhere. The thinkscript was coded from the formula in the pictures.

EDIT -----------

i think this is the right formulas.
i looked at that ref web page below, and changed my study. now it plots something.

i see spartan.ts posted a study, so maybe go with that...

-----------------------------------

k isn't defined in formula image. i think it is strike

#vanna_00

#https://usethinkscript.com/threads/vanna-thinkscript.17654/
#Vanna Thinkscript
#aeb  Jan 8, 2024  #2
# a thinkscript for Vanna?

# look at formulas on this page to figure out code
#https://financetrainingcourse.com/education/2014/06/vega-volga-and-vanna-the-volatility-greeks/


declare lower;

def na = double.nan;
def bn = barnumber();

# ref sym  .SPY240216C484

# dates
# expiry date    YYYYMMDD
input expire_date = 20240216;

# current date
#  if tb > expire date , in  CountTradingDays()  then error.  add if then to fix value of t
def tb = GetYYYYMMDD();
def t = if isnan(close) then t[1] else tb;

# experiment with 2 ways to count days.   use diff2
#   T-t  , days till expire
def diff1b = DaysTillDate(expire_date);
def diff2b = CountTradingDays(t, expire_date);

# fraction of year , /365  or  /252
def diff1 = diff1b/365;
def diff2 = diff2b/252;


def iv = imp_volatility();

#  k  - strike
def k = 486;

# dividend rate ,  0
def q = 0;

# risk free rate ??
def r = .27;

def s = close;


#  based on ref web page,  (t_exp - t)   should be  (t_exp - t)/365 , a fraction of a year
#def d1 = (log(s/k) + (r - q + (power(iv,2)/2)) * (t_exp - t)) / (iv * sqrt(t_exp - t));
def d1 = (log(s/k) + (r - q + (power(iv,2)/2)) * (diff2)) / (iv * sqrt(diff2));

def n1 = exp(-(power(d1,2))/2) / (2 * double.pi);

#def vanna = Sqrt(t_exp - t) * n1 * (1-d1);
def vanna = Sqrt(diff2) * n1 * (1-d1);

plot z = vanna;

plot z0 = 0;

#------------------------------

addchartbubble(0,0,
d1 + "\n" +
n1 + "\n" +
vanna + "\n" +
 diff1b + "\n" +
 diff2b + "\n" +
 diff1 + "\n" +
 diff2
, color.yellow, yes);

#

this page seems to list the same formula image and might explain the numbers.
https://financetrainingcourse.com/education/2014/06/vega-volga-and-vanna-the-volatility-greeks/

 

[Ronathan Edwards]

This would be much more useful as a per strike bar chart... like the Gamma Exposure chart on

 

[aeb]

can find it with search

def Under =
    Close(GetunderlyingSymbol());
def Strike =
    GetStrike();
def DTE =
    GetDaysToExpiration() / 365;
def Rate =
    GetInterestRate() * 0.01;
def Div =
    if !isNaN(GetDividend()) then GetDividend()
    else Div[1];
def Yield =
    if Div then Div / Under
    else 0;
def IV =
    Imp_Volatility(GetUnderlyingSymbol());
def Pi =
    Double.Pi; #3.14
def e =
    2.718281828; #Euler's number (sort of like Pi)
def D1 =
    (Log(Under/Strike) + (rate - yield + (Power(IV,2) / 2)) * DTE) / (IV * Sqrt(DTE));
def N1D1 =
    power(e,-(power(D1,2)/2)) * (1 / (2 * Pi));
def Van =
    SqRt(DTE) * N1D1 * (1 - D1); #assumes 0 dividend

plot Vanna = Van * -1;

The problem with this formula is it doesn't scale correctly when paired with gamma (like in my original post). I'm sure it is just a matter of tweaking one or two things but can't figure it out.

 

[quantumomegallc]

The problem with this formula is it doesn't scale correctly when paired with gamma (like in my original post). I'm sure it is just a matter of tweaking one or two things but can't figure it out.
View attachment 21118

Either left axis one of them, or real_size, or use a normalized scale.

 

[XeoNoX]

you may also want to change it from line to histogram bars in the study's settings.

 

[quantumomegallc]

View attachment 21107
This would be much more useful as a per strike bar chart... like the Gamma Exposure chart on

I've changed my mind on this. I use it on Option Chains as values, and on the price chart as HighestAll LowestAll for a daily chart, plot lines across the area. I do this for Vanna, Gamma, Charm,Vega. It's very telling.

 

[Ronathan Edwards]

I've changed my mind on this. I use it on Option Chains as values, and on the price chart as HighestAll LowestAll for a daily chart, plot lines across the area. I do this for Vanna, Gamma, Charm,Vega. It's very telling.

I use a script that has charm and speed on the same study, and Vanna and IV on another... I can't share the script, but if you could do that, that would be incredible... when Vanna crosses over IV, there are huge moves. also when charm crosses over speed.

 

[aeb]

I use a script that has charm and speed on the same study, and Vanna and IV on another... I can't share the script, but if you could do that, that would be incredible... when Vanna crosses over IV, there are huge moves. also when charm crosses over speed.

Do you mind sharing?

 

[MerryDay]

Do you mind sharing?

He stated that it cannot be shared

I can't share the script

 

[germanburrito]

does this work?

declare lower;

# Inputs
input price = close;
input strikePrice = 100; # Adjust to reflect your strike price
input riskFreeRate = 0.01; # Risk-free rate as a decimal
input timeToExpiryDays = 30; # Days to expiration
input smoothingFactor = 0.39894228; # 1/sqrt(2 * pi)

# Calculate Time to Expiration in Years
def timeToExpiry = timeToExpiryDays / 365;

# Pull the Implied Volatility from the Chart's Underlying Asset
def impliedVolatility = imp_volatility();

# Black-Scholes d1 Approximation
def d1 = (Log(price / strikePrice) + (riskFreeRate + Sqr(impliedVolatility) / 2) * timeToExpiry) / (impliedVolatility * Sqrt(timeToExpiry));

# Approximate N'(d1) ~ Gaussian PDF
def N_prime_d1 = Exp(-Sqr(d1) / 2) * smoothingFactor;

# Vanna Approximation
plot vanna = Sqrt(timeToExpiry) * N_prime_d1 * (1 - d1);

# Plot Vanna

Vanna.SetDefaultColor(Color.CYAN);
Vanna.SetLineWeight(2);

# Plot Implied Volatility (Scaled for Better Comparison)
plot ImpliedVolatilityLine = impliedVolatility;
ImpliedVolatilityLine.SetDefaultColor(Color.YELLOW);
ImpliedVolatilityLine.SetStyle(Curve.SHORT_DASH);
ImpliedVolatilityLine.SetLineWeight(2);

# Add Labels for Dynamic Volatility and Vanna
AddLabel(yes, "Vanna Approx: " + AsText(vanna), Color.CYAN);
AddLabel(yes, "Implied Volatility: " + AsPercent(impliedVolatility), Color.YELLOW);
AddLabel(yes, "d1: " + AsText(d1), Color.WHITE);

# Zero Line for Reference
plot ZeroLine = 0;
ZeroLine.SetDefaultColor(Color.GRAY);
ZeroLine.SetLineWeight(1);

 

[eigenvektor]

I've changed my mind on this. I use it on Option Chains as values, and on the price chart as HighestAll LowestAll for a daily chart, plot lines across the area. I do this for Vanna, Gamma, Charm,Vega. It's very telling.

Hello, what do you exactly mean by that (I use it on Option Chains as values, and on the price chart as HighestAll LowestAll for a daily chart, plot lines across the area) thank you

 

[aeb]

Either left axis one of them, or real_size, or use a normalized scale.

Are you able to elaborate on any of these with a practical example?

 

[quantumomegallc]

Are you able to elaborate on any of these with a practical example?

Do you want a picture as an exmample or a code sample?