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 download CBOE quotedata file and 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!
 

samks_30

New member
2019 Donor
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.
 

markos

Well-known member
VIP
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...
 

codydog

Active member
@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
 

samks_30

New member
2019 Donor
Here is what i have so far:
1. Call Gamma: Calculate call gamma for each strike: gamma * OI
2. Put Gamma: Calculate put gamma for each strike: gamma * OI
3. Total Call Gamma: Sum call gamma
4. Total Put gamma: Sum put gamma
5. Gamma: Subtract total call gamma from total put gamma
6. Dollar Gamma: 1/2 * Gamma * Sq of (Underlying Price * 0.01)

Call gamma and put gamma need to be calculated for all open strikes (for SPX there are <7000 strikes).

Let me know your thoughts.
 

markos

Well-known member
VIP
Last edited:

samks_30

New member
2019 Donor
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();
 

MBF

Active member
2019 Donor
@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.
 

samks_30

New member
2019 Donor
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.
 

codydog

Active member
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:

gapcap1

New member
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...
 

gapcap1

New member
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...
 

tomsk

Well-known member
VIP
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.
 

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