Option Delta Diff from Max delta for the day and current

[sam147]

Hi All,

I am trying to create a study for Options Delta change from Max delta for the day. I have written the code which works well on lower Chart but when i create it as a watchlist column with same code its shows wrong info. Any idea what i am doing wrong?

Some of the Symbols for your test:
.DASH210827C190
.GOOGL210827C2780
.PENN210827C70


Code in Lower Study: ( Daily 3 Minute Chart )

Code in Lower Study: ( Daily 3 Minute Chart )

##
# Find Max Delta and substract to find out Delta Max Change
#

declare lower;
def epsilon = 0.01 * close(GetUnderlyingSymbol());
def delta = (OptionPrice(underlyingPrice = close(GetUnderlyingSymbol()) + epsilon) - OptionPrice()) / epsilon;

#Find Highest Delta
def highdelta = if barnumber() == 1 then delta[0]

else if delta[0] > highdelta[1]

then delta[0]

else highdelta[1];
#def highdelta= if Highest(delta,length) > delta[0] then Highest(delta,length) else delta;

def Flag= if delta[1] > delta[0] then 0 else 1;

plot DeltaDiff = AbsValue(highdelta-delta[0])*100;

DeltaDiff.AssignValueColor(if Flag==1 then Color.GREEN else Color.RED);

AddLabel(YES,"DeltaChange="+ DeltaDiff ,(if Flag == 0 then Color.red else color.green));




Code in Watchlist with 3 minute Aggregation:

##
#declare lower;
def epsilon = 0.01 * close(GetUnderlyingSymbol());
def delta = (OptionPrice(underlyingPrice = close(GetUnderlyingSymbol()) + epsilon) - OptionPrice()) / epsilon;

#Find Highest Delta
def highdelta = if barnumber() == 1 then delta[0]

else if delta[0] > highdelta[1]

then delta[0]

else highdelta[1];
#def highdelta= if Highest(delta,length) > delta[0] then Highest(delta,length) else delta;

#def Flag= if highdelta[0] > delta[0] then 0 else 1;

plot DeltaDiff = AbsValue(highdelta[0]-delta[0])*100;

#AddLabel(yes,+ DeltaDiff , Color.RED);

AddLabel(Yes,+DeltaDiff,(if DeltaDiff > 2 and DeltaDiff < 5 then color.green else if DeltaDiff >=5 and DeltaDiff <=10 then color.yellow else if DeltaDiff >=11 then color.red else color.white));

#AddLabel(yes, Close_going_up ,color.green);

Any help will be appricaited.

 

[charlie2598]

Hi All,

I am trying to create a study for Options Delta change from Max delta for the day. I have written the code which works well on lower Chart but when i create it as a watchlist column with same code its shows wrong info. Any idea what i am doing wrong?

Some of the Symbols for your test:
.DASH210827C190
.GOOGL210827C2780
.PENN210827C70


Code in Lower Study: ( Daily 3 Minute Chart )

##
# Find Max Delta and substract to find out Delta Max Change
#

declare lower;
def epsilon = 0.01 * close(GetUnderlyingSymbol());
def delta = (OptionPrice(underlyingPrice = close(GetUnderlyingSymbol()) + epsilon) - OptionPrice()) / epsilon;

#Find Highest Delta
def highdelta = if barnumber() == 1 then delta[0]

else if delta[0] > highdelta[1]

then delta[0]

else highdelta[1];
#def highdelta= if Highest(delta,length) > delta[0] then Highest(delta,length) else delta;

def Flag= if delta[1] > delta[0] then 0 else 1;

plot DeltaDiff = AbsValue(highdelta-delta[0])*100;

DeltaDiff.AssignValueColor(if Flag==1 then Color.GREEN else Color.RED);

AddLabel(YES,"DeltaChange="+ DeltaDiff ,(if Flag == 0 then Color.red else color.green));




Code in Watchlist with 3 minute Aggregation:

##
declare lower;
def epsilon = 0.01 * close(GetUnderlyingSymbol());
def delta = (OptionPrice(underlyingPrice = close(GetUnderlyingSymbol()) + epsilon) - OptionPrice()) / epsilon;

#Find Highest Delta
def highdelta = if barnumber() == 1 then delta[0]

else if delta[0] > highdelta[1]

then delta[0]

else highdelta[1];
#def highdelta= if Highest(delta,length) > delta[0] then Highest(delta,length) else delta;

#def Flag= if highdelta[0] > delta[0] then 0 else 1;

plot DeltaDiff = AbsValue(highdelta[0]-delta[0])*100;

#AddLabel(yes,+ DeltaDiff , Color.RED);

AddLabel(Yes,+DeltaDiff,(if DeltaDiff > 2 and DeltaDiff < 5 then color.green else if DeltaDiff >=5 and DeltaDiff <=10 then color.yellow else if DeltaDiff >=11 then color.red else color.white));

#AddLabel(yes, Close_going_up ,color.green);


Any help will be appricaited.

I think whenever you need to scan in watchlist don't used word plot and used DEF
change it and try it if it works.

 

[sam147]

Tried with DEF .. Still Results are not correct..

 

[halcyonguy]

is your watchlist just a list of option symbols , not stocks?

column studies use just 1 function for output. 1 plot OR 1 addlabel.
you have 2 of each. you need to disable 3 of them.
then determine if you can combine you formulas and display your desired data in 1 addlabel. or make another study for another column.
( i guessed addlabel will work for you, because it can display text and numbers)

in a column, the addlabel color will be the font color.
to change the background color of the cell, use AssignBackgroundColor
https://tlc.thinkorswim.com/center/reference/thinkScript/Functions/Look---Feel/AssignBackgroundColor
hal_col

 

[sam147]

yes my Watchlists are only Options... My watchlist code has only one plot and one label others twos are actually commented. I will try to experiment little bit more and see if it works..

 

[halcyonguy]

yes my Watchlists are only Options... My watchlist code has only one plot and one label others twos are actually commented. I will try to experiment little bit more and see if it works..

plot OR addlabel.
disable one of them

 

[RajB]

yes my Watchlists are only Options... My watchlist code has only one plot and one label others twos are actually commented. I will try to experiment little bit more and see if it works..

I am speaking from memory. Studies and things that are normally possible on non-options are sometimes not possible on options themselves. I will need to check my references.

For example. I changed your script to plot the epsilon value that merely uses the underlying price. I could not see that value posted on the watchlist, where as it works for regular equity. Please see if that helps.