Options - higher order Greeks

[ss1]

I noticed [see below link] TOS does not have higher order Greeks [i.e. Charm, Color, Vomma and etc]. Does anybody know a way in ThinkScript to code these Greeks?

Link:
https://tlc.thinkorswim.com/center/reference/thinkScript/Functions/Option-Related

 

[rad14733]

I noticed [see below link] TOS does not have higher order Greeks [i.e. Charm, Color, Vomma and etc]. Does anybody know a way in ThinkScript to code these Greeks?

Link:
https://tlc.thinkorswim.com/center/reference/thinkScript/Functions/Option-Related

Google should be able to provide the formulas for those lesser used Greeks... Whether they can be coded via Thinkscript depends on the data elements required...

 

[halcyonguy]

i don't know about programming 2nd order greeks, but last week i read about them here
https://medium.com/hypervolatility/options-greeks-vanna-charm-vomma-dvegadtime-77d35c4db85c

 

[ss1]

All thanks.

My hope was to somehow differentiate the 1st order Greeks according to the particular 2nd order. But, as rad14733 mentioned, I did not see a way with the current TOS data elements.

I wish I could see the code the TOS developers used to create the 1st order Greeks, that may have given me some ideas. They did give a hint on how theta could be implemented; but not the other 1st order.