Posted to TSL 7-23-19

11:45 jeffrey2360: Would be great to be able to grab live greeks in a study the same way we get price. HIstorical data is not that important, but having live ratio is very useful (delta/theta)

11:46 Mobius:

11:47 Mobius: That is pretty bloody close

11:47 Mobius: usually within a penny

11:48 jeffrey2360: Oh. I got to study that code.

11:50 Mobius:

11:52 Mobius: And it would help to have a degree in mathematics and coding but you can probably do it. Maybe

11:45 jeffrey2360: Would be great to be able to grab live greeks in a study the same way we get price. HIstorical data is not that important, but having live ratio is very useful (delta/theta)

11:46 Mobius:

Code:

```
# Delta Calculation
# For Options with 1 dollar strikes
# Mobius
# V01.07.2019
input DayToExpiry = 2; #hint: Don't mess with this.
input Series_IV = 1;
def IV = SeriesVolatility(series = Series_IV);
def K = Floor(close);
def S = close;
def R = GetInterestRate();
def t = DayToExpiry / 365;
def d1 = (log(S / K) + ((R + (sqr(IV) / 2)) * t)) / (IV * sqrt(t));
script cnd
{
input data = 1;
def a = AbsValue(data);
def b1 = .31938153;
def b2 = -.356563782;
def b3 = 1.781477937;
def b4 = -1.821255978;
def b5 = 1.330274429;
def b6 = .2316419;
def e = 1 / (1 + b6 * a);
def i = 1 - 1 / Sqrt(2 * Double.Pi) * Exp(-Power(a, 2) / 2) *
(b1 * e + b2 * e * e + b3 * Power(e, 3) + b4 * Power(e, 4) + b5 * Power(e, 5));
plot CND = if data < 0
then 1 - i
else i;
}
def Delta = cnd(d1);
AddLabel(1, "Delta Est = " + Delta, color.white);
# End Code Delta Estimate
```

11:47 Mobius: That is pretty bloody close

11:47 Mobius: usually within a penny

11:48 jeffrey2360: Oh. I got to study that code.

*Will it be possible to apply this to 4 options in a single study ?*11:50 Mobius:

*sure. You'll need to run 4 instances of the study*, change the ones for puts from the above which is for calls and alter the other strikes.11:52 Mobius: And it would help to have a degree in mathematics and coding but you can probably do it. Maybe

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