Can anyone infer how NextSignals is coding these indicators

[Glefdar]

Link:

https://twitter.com/i/web/status/1649750095217283074

One of the replies says that calls sold vs. bought and puts sold vs. bought is determined as follows:

Determined by the option positions Greeks. Gamma is positive for both long calls and long puts, negative for the opposite. long a call and short puts positive Short calls and long puts negative Would help to understand color and charm’s effect too.

I could be wrong but I am guessing this must be a chart of a single strike level, and the "Calls" lower study is using the call for that strike as the data source and the "Puts" lower study is using the put for that strike as the data source. But it's not clear to me how gamma is being used to disambiguate volumes of contracts sold vs. bought in that case. Maybe someone has a better understanding of what he's doing?

 

[Glefdar]

I am not completely certain yet, but this should be the direct translation of the zero dividends Vanna formula shown. I am having trouble locating examples for a good comparison.

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;

Edit: Further decimalized the interest rate, inverted the plot (still not sure why), found an example with a chart that TOS would actually load.

Thanks for sharing your code for the vanna formula, this is fantastic. Is there a similar code for gamma available that specifically would plot on an intraday chart without normalization and show convergent highs and lows with vanna, as in the example that Dr. Harlin screenshotted? It’s not clear to me from his screenshot if those plots are normalized or re-scaled by squishing two studies into one lower section, or if they should natively have close enough scale that they’d work out of the box for accurately showing convergence.

Edit: It looks like there is a Mobius code available already for spot gamma, so that part is answered. I'm still curious if anyone has insight about the questions about whether the vanna and gamma lines in Dr. Harlin's screenshot need to be normalized or not.

 

[Joshua]

The original formula can be found here. I just did my best to translate it verbatim to help out. Other than that, I'm not interested in Vanna personally, I haven't given it any thought since my last post. There is a lack of authoritative examples of it being done correctly for comparison. I really have no way of verifying whether or not it's correct, or even if the formula on that website is correct in the first place.

 

[lookatcandles]

Anyone? Have idea's to code this Next Signal?

 

[MatthewA]

I find the tone of this conversation very relaxing.
No one promotes any ' Guru ' yet everyone observes how data works...

A true Trust But Verify...

Like many of us I loved ToS option courses where the curved value of time is made intuitive l I also liked all those green options workbooks. https://tlc.thinkorswim.com/center

On this thread I like the idea of looking at how much extra premium is paid for options; as in my spreadsheets that fear seems to always come before the end of a trend.

Also when the sizzle, or unusual options positions scripts direct my attention to a fringe stock with 100s of naked calls and puts all written at the exact same time and strike price. I become very skeptical that anyone is actually sitting there ready to shoulder that much risk. I'm starting to suspect there are sacrificial corporations who are willing to suicide to help their real owners.
Haha who knows?

 

[quantumomegallc]

@Joshua Were you able to get the code running on tos for vanna with options? If yes, can you kindly share updated script?

It is possible to build out a vanna/gamma/charm indicator in this method. We currently plot nothing but greeks on our charts and have success.