Gamma Exposure Profile

[Champ]

Hi Everyone,

I am wondering is there anyone has a script to get the top 10 Gamma exposures and display them as a Profile for any given number of strikes and the expiry date?

Really appreciate any guidance/suggestions

Thanks.

 

[StoneMan]

declare upper;
declare once_per_bar;
 
def ExpirationDate = 20210827;
 
input OptionCodeCall =  ".BABA210827C160";
 
input OptionCodePut =  ".BABA210827P160";
 
input OptionCodeCall1 =  ".BABA210903C160";

input OptionCodePut1 = ".BABA210903P160";

def CallVolume = if IsNaN(volume())
 
                    then 0
 
                    else volume();
 
 
def Optionprice =if IsNaN(ohlc4())
 
                    then 0
 
                    else ohlc4();
 
#Call volume for first expiration
 
def    CV_20_0    = if IsNaN(volume(GetNextITMOption(GetNextITMOption(GetNextITMOption(GetNextITMOption(GetNextITMOption(GetNextITMOption(GetNextITMOption(GetNextITMOption(GetNextITMOption(GetNextITMOption(GetNextITMOption(GetNextITMOption(GetNextITMOption(GetNextITMOption(GetNextITMOption(GetNextITMOption(GetNextITMOption(GetNextITMOption(GetNextITMOption(GetNextITMOption(OptionCodeCall))))))))))))))))))))))
 
                    then 0
 
                    else volume(GetNextITMOption(GetNextITMOption(GetNextITMOption(GetNextITMOption(GetNextITMOption(GetNextITMOption(GetNextITMOption(GetNextITMOption(GetNextITMOption(GetNextITMOption(GetNextITMOption(GetNextITMOption(GetNextITMOption(GetNextITMOption(GetNextITMOption(GetNextITMOption(GetNextITMOption(GetNextITMOption(GetNextITMOption(GetNextITMOption(OptionCodeCall)))))))))))))))))))));

I attempted to aggregatete money flow of options once. The problem is each option is its own instrument that needs to be called on by changing the name of the string. Doing string stuff with loops is not supported by thinkscript if I recall correctly. So you have to manually travel through the options chain like a grid with code like this. Here is how you get a strike 20 strikes away from the one you entered. It is gross. In the end that code was 20 strikes at three expirations for puts and calls asking the script to call on 120 unique instruments at once. Also, I'm pretty sure you can only get the Greeks if the underlying contract is your primary instrument.

Also the calling of the Greeks may still be busted. Not sure though you can look at the exchange here.

https://www.hahn-tech.com/ans/custom-option-calculation/

 

[StoneMan]

Also this thread may be helpful.

https://usethinkscript.com/threads/dollar-gamma-calculation.761/

Unfortunately, thinkscript kinda ****s when it comes to options data which is annoying when you can literally veiw the time and sales list!