Dollar Gamma Calculation

[samks_30]

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!

 

[Tiredoflosing]

@Iceman1205us
Do you know how to plot (draw) GEX, put premium and call premium in the lower part of charts?
Also, would you please share code of your Adaptive Moving Avg study, as shown in your UVXY220923C11 chart?

i assume premium would be( options volume * strike price = premium )

 

[lunchmeat]

@Tiredoflosing any idea on how to re create next signals currency indicator?

 

[lunchmeat]

I do, they're on this site. Just search for Nextsignal.

Nextsignal Gamming Gamma code:

# Buy Signal: Buy when Gamma and price simultaneously decline
# Filters: 1-bar lower OHLC4 and selling pressure (buying into weakness)
# Strike choice: Strike with highest OI (GEX) and near-the-money

def offset = sqrt ((high - low)) * 0.2;
def gamma = gamma();
def gamma1 =  gamma()[1];
def price = close();
def price1 = price[1];
def sellpress = ((high - close) / (high-low)) > 0.6;

plot buyArrow = if price < price1 and gamma < gamma1 and sellpress and OHLC4 < OHLC4[1] then low - offset else 0;
buyArrow.setpaintingstrategy(paintingstrategy.arrow_up);
buyArrow.setdefaultcolor(createcolor(38,115,255));
buyArrow.setlineweight(2);
buyArrow.hidebubble();
buyArrow.hidetitle();

plot buyValue = if price < price1 and gamma < gamma1 and sellpress and OHLC4 < OHLC4[1] then close else double.nan;
buyValue.setpaintingstrategy(paintingstrategy.values_BELOW);
buyValue.setdefaultcolor(color.Yellow);
buyValue.setlineweight(2);
buyValue.hidebubble();
buyValue.hidetitle();

@Iceman1205us do you have Nextsignals lower currency indicator?

 

[Tiredoflosing]

@Tiredoflosing any idea on how to re create next signals currency indicator?

which one are u talking about? not sure im familiar with this one

 

[Iceman1205us]

@Iceman1205us do you have Nextsignals lower currency indicator?

Nope - looking for that too. Don't think the good Dr. posted that study.

 

[Snorg]

Now that we are in RTH, I used the following plot statement in the customized options chain for JPM, expiration 27 DEC 19 (18)
The custom column now shows some good data populating with values ranging from 0.01 to 0.07.
We learn something new every day

plot myData = gamma()*0.5*Sqr(close(getUnderlyingSymbol())/100);

Thinkscript Option Greeks Values Incorrect - Delta(), Gamma(), Rho(), Theta(), Vega() - when I use addlabel to plot option greek values on a chart, I get a much different value than the value of the option greek I see in a column within an option chain.

Not sure why the difference? Do you experience the same?

 

[Intrinsic Knowledge]

I do, they're on this site. Just search for Nextsignal.

Nextsignal Gamming Gamma code:

# Buy Signal: Buy when Gamma and price simultaneously decline
# Filters: 1-bar lower OHLC4 and selling pressure (buying into weakness)
# Strike choice: Strike with highest OI (GEX) and near-the-money

def offset = sqrt ((high - low)) * 0.2;
def gamma = gamma();
def gamma1 =  gamma()[1];
def price = close();
def price1 = price[1];
def sellpress = ((high - close) / (high-low)) > 0.6;

plot buyArrow = if price < price1 and gamma < gamma1 and sellpress and OHLC4 < OHLC4[1] then low - offset else 0;
buyArrow.setpaintingstrategy(paintingstrategy.arrow_up);
buyArrow.setdefaultcolor(createcolor(38,115,255));
buyArrow.setlineweight(2);
buyArrow.hidebubble();
buyArrow.hidetitle();

plot buyValue = if price < price1 and gamma < gamma1 and sellpress and OHLC4 < OHLC4[1] then close else double.nan;
buyValue.setpaintingstrategy(paintingstrategy.values_BELOW);
buyValue.setdefaultcolor(color.Yellow);
buyValue.setlineweight(2);
buyValue.hidebubble();
buyValue.hidetitle();

@Iceman1205us, Hi bro, thanks for the scripts. May I check if you have the sell conditions?

 

[kshires4]

# Magic Options Qoute
def limit = 20000; #The limit for the cell to be colored

def gex = gamma() * 100 * open_interest();
def vex = volume() - open_interest();
def magicresult = gex + vex;
def ret = if magicresult < 0 then 0 else magicresult;

plot magic = Round(ret, 0);

assignbackgroundcolor(if AbsValue(magic) > limit then createcolor(128,255,0) else color.black);

magic.assignvaluecolor(if AbsValue(magic) > limit then color.black else color.current);