Gamma 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!

 

[Joutrader]

Hello everyone, I am new here and I am very excited with the work you have done.
I would like to know if it is possible to create something similar to this,
https://usethinkscript.com/threads/option-heatmap-and-oi-strikes-for-thinkorswim.10664/
but instead of showing the Open Interest profile it shows a Gamma profile. I imagine it would be something like gamma x volume x 100 or in the case of puts gamma x volume x -100.
If it is updated live it is ideal, if not, it still works. I imagine we could select the expiration date of the contract.
Ugh I don't know, it sounds complex. But I'll leave it just in case.
Congratulations on the work you have done.

Joe

 

[StoneMan]

OI is one of, what the thinkscript documentation refers to as "the fundamentals". And only these functions can be called upon to work in separate data streams. Unfortunately the greeks do not qualify as that and only work for the "current option". See the attached post I wrote about this. Tried to do something similar once. The attached code to that post is an options money flow indicator. Was able to make that because it just leverages the "fundamental" values of price and volume. The OI heatmap tool from that post is very cool. Maybe my old money flow tool could have some life breathed back into it using the coding techniques of the OI heat map.

https://usethinkscript.com/threads/...-options-data-on-charts-in-thinkorswim.15242/

 

[antwerks]

is there a gamma profile script available that would chart the gamma sesitivity to the stock price or range? maybe using the strikes 5below and 5 above an inputted strike position?

 

[useThinkScript]

is there a gamma profile script available that would chart the gamma sesitivity to the stock price or range? maybe using the strikes 5below and 5 above an inputted strike position?

Your Gamma Profile question has been moved to this thread.
Perhaps you will assist you in your quest.