Calculate Delta five (5) Strikes above ATM or below ATM

[Intrinsic Knowledge]

Hello folks,

Hope all is well?

May I check if anyone know how to calculate "delta"? If yes, do you know how to calculate delta, five (5) strikes above ATM or below ATM?

As below, I gotten from Mobius from ThinkScript lounge. Hope that anyone can make it to good use. Cheers

# ATM Delta Approximation
# Mobius
# Must adjust Expiration Date input and series IV to be for the same expiry.

declare lower;

input ExpirationDate = 20230613;
input series_IV = 1;
input is_put = no;

def strike = floor(close);
def interest_rate = getInterestRate();
def yield = getYield();
def is_european = no;
def underlyingPrice = close(getUnderlyingSymbol());
def DTE = if DaysTillDate(ExpirationDate) > 1 then DaysTillDate(ExpirationDate) else 1;
def iv = SeriesVolatility(series = series_IV);

addLabel(1, "Strike = " + strike +
          "  interest rate = " + interest_rate +
          "  yield = " + yield +
          "  is european = " + is_european +
          "  underlying price = " + underlyingPrice +
          "  iv = " + iv +
          "  DTE = " + DTE, color.white);
def TheoOptPrice = OptionPrice(strike, is_put, DTE, underlyingPrice, iv, is_european, yield, interest_rate);
def epsilon = 0.01 * close(GetUnderlyingSymbol());
plot approxDelta = TheoOptPrice / epsilon;
# End Code

 

[BenTen]

Try the links from this thread https://usethinkscript.com/threads/...delta-and-theta-as-a-percentage-of-mark.7166/