Need Help Coding Net Options Delta

[gapcap1]

Getting expected double on the bold "Deltas"



declare lower;
input expirationDateYYYYMMDD = 20230217;

def DeltaPUT=Delta(GetATMOption(GetUnderlyingSymbol(),
expirationDateYYYYMMDD, OptionClass.PUT));
def volumePuts = volume (GetATMOption(GetUnderlyingSymbol(),
expirationDateYYYYMMDD, OptionClass.PUT));
def netDeltaPUT = DeltaPUT * volumePuts * 100;



def DeltaCALL = Delta(GetATMOption(GetUnderlyingSymbol(),
expirationDateYYYYMMDD , OptionClass.CALL));
def volumeCalls = volume (GetATMOption(GetUnderlyingSymbol(),
expirationDateYYYYMMDD, OptionClass.CALL));
def netDeltaCALL = DeltaCALL * volumeCalls * 100;

plot difference = netDeltaCALL - netDeltaPUT;
difference.SetPaintingStrategy (PaintingStrategy.HISTOGRAM) ;
difference.SetLineWeight (5) ;

 

[StoneMan]

Your problem with the code is that GetUnderlyingSymbol() is meant to be used on the derivative (option) to get the underlying base ticker. Ran into this problem myself before. To my knowledge you can only get the Greeks for use in a custom column. This post may help.

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