OptionsHacker -to show Volume/OpenInterest/GammaExposure for the options chain For ThinkOrSwim

[Angrybear]

Here's my current setup, you can see how increased put buying + diminishing call buying is affecting the gamma environment.

 

[sudoshu]

Based on the great work done by others here, I present the

OptionsHacker

- An indicator that will scan the options chain and display information about volume, open interest, and gamma exposure.

Please note that this indicator only works on a daily timeframe. It will be hidden automatically on intraday charts.

The conditions are configurable for a certain 'strike depth' and 'series'.
The 'strike depth' is how far ITM, and OTM the study will scan starting with ATM options.
The 'series' determines what option expiries to look for.

For example: With a strike depth of 5, and the series set to weekly, the study will scan all options for that day that are expiring on the next upcoming friday, starting ATM and going ITM 5 strikes, and OTM 5 strikes.

Warning: Setting the strike depth to large values requires significant processing power, and will result in slow loading times.

This is a custom study I wrote in thinkscript. It does not use any part of the options scanner that is built into the platform or the condition wizard.

The results of this scan are configurable as well, by setting the 'data type'. Available data types are as follows:

1. OpenInterest - Shows the total call and put open interest
2. Volume - Shows the total call and put volume
3. GammaExposure - Shows the total gamma exposure

For the GammaExposure data type, there are three settings as of now based on various formulas I have found.
You can select which method to use with the input 'gex calculation method'.
Available methods are as follows:

1. ContributionShares: (https://squeezemetrics.com/monitor/download/pdf/white_paper.pdf)
   Call GEX = gamma * OI * 100
   Put GEX = gamma * OI * 100 * -1
2. Contribution: (https://perfiliev.co.uk/market-commentary/how-to-calculate-gamma-exposure-and-zero-gamma-level/)
   Call GEX = gamma * OI * 100 * Spot Price
   Put GEX = gamma * OI * 100 * Spot Price * -1
3. ContributionPercent: (https://perfiliev.co.uk/market-commentary/how-to-calculate-gamma-exposure-and-zero-gamma-level/)
   Call GEX = gamma * OI * 100 * Spot Price ^2 * 0.01
   Put GEX = gamma * OI * 100 * Spot Price ^2 * 0.01 * -1

The spot gamma at each contract is calculated using the Black Scholes Model. (shoutout to mobius for that one) (https://www.investopedia.com/terms/b/blackscholes.asp)

The spot price is calculated using the OptionPrice() function.

The Implied Volatility is sourced using the SeriesVolatility() function.

Notes:

• The goal is to have the script automagically select the nearest ATM strike price, and spacing (where the spacing is the dollar amount between adjacent contracts). This may not always work. To override this behavior, set the mode to MANUAL, and the script will use the inputs 'manual center strike' and 'manual strike spacing' for the selection.

Link to study:
http://tos.mx/IO2HY7X v0.1
http://tos.mx/0Pf63tK v0.2
http://tos.mx/TmAYxlE v0.3 - Various Bug Fixes, Added Opex Dates for scan
http://tos.mx/QJpETYB v0.4 - Fix GEX calculations to use correct spot price, update visuals, added debugging, working on different IV calculations

Github:
https://github.com/sudoshu/OptionsHacker

All credits are posted in the study code at the top. Thanks!
Disclaimer: This is a work in progress and as such I cannot guarantee that this data is correct, use at your own discretion.


Code:

#hint: Options Hacker \n This study lets you scan and perform calculations on the options chain for a series and given depth. \n<b>Warning: Setting the StrikeDepth to large values requires significant processing power, and will result in slow loading times.</b>
#
# sudoshu - I would not have been able to make this work without the help, and kindness to share code from those listed below. Thank you!
#
# Credits:
#     mobius
#     ziongotoptions
#     Angrybear
#     halcyonguy
#     MerryDay
#     MountainKing333
#     BenTen
#     DeusMecanicus
#     Zardoz0609
#     NPTrading
#

declare once_per_bar;
declare hide_on_intraday;
declare lower;
def version = 0.4;

#-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------#
# Settings

# Colors
DefineGlobalColor("Call", Color.GREEN);
DefineGlobalColor("Put", Color.RED);
DefineGlobalColor("CallCloud",Color.DARK_GREEN);
DefineGlobalColor("PutCloud",Color.DARK_RED);
DefineGlobalColor("CallAverage",Color.LIGHT_GREEN);
DefineGlobalColor("PutAverage",Color.ORANGE);
DefineGlobalColor("GEX",Color.CYAN);


#hint Series: The option expiration series to search. \n This value is used to determine the option symbol.
input Series = {
    default Weekly,
    Opex,
    Month1,
    Month2,
    Month3,
    Month4,
    Month5,
    Month6,
    Month7,
    Month8,
    Month9
};

# Todo: Maybe can add something like this to get more than just fridays ...
#hint OpexDay:
#input OpexDay = {
#    Monday,
#    Tuesday,
#    Wednesday,
#    Thursday,
#    default Friday
#};

#hint DataType: The type of option data to show.
input DataType = {default OpenInterest, Volume, GammaExposure};

#hint StrikeDepth: The level of depth to search a series. (+/- this far from ATM)
input StrikeDepth = 10;

#hint CenterStrikeOffset: The offset to use when calculating the center strike based on close price. \n Examples: \n   1 = nearest $1 interval \n   10 = nearest $10 interval.
input CenterStrikeOffset = 1.0;

#hint MaxStrikeSpacing: The maximum dollar amount between two adjacent contracts.
input MaxStrikeSpacing = 25;

#hint GEXCalculationMethod: The method to use for calculating gamma exposure. \n The total gamma exposure is then the sum of all call gex + put gex. \n <li>ContributionShares: \n gamma * OI * 100 (* -1 for puts)</li><li>Contribution: \n gamma * OI * 100 * Spot Price (* -1 for puts)</li><li>ContributionPercent: \n gamma * OI * 100 * Spot Price ^2 * 0.01 (* -1 for puts)</li>
input GEXCalculationMethod = {default ContributionShares, Contribution, ContributionPercent};

#hint ShowStrikeInfo: Show the strike info labels.
input ShowStrikeInfo = yes;

#hint ShowLabels: Show labels for the current data type.
input ShowLabels = yes;

#hint ShowClouds: Show clouds for volume and/or open interest.
input ShowClouds = yes;

#hint ShowLines: Show lines for values.
input ShowLines = yes;

#hint ShowAverages: Show the moving average lines.
input ShowAverages = yes;

#hint ShowGreeks: Show the estimated Greek calculation labels for the latest bar.
input ShowGreeks = yes;

#hint FlipPuts: Flip the puts underneath the axis
input FlipPuts = yes;

#hint StrikeMode: The mode to select an option symbol. \n AUTO will try to find the option symbol based on the Series and StrikeDepth inputs. \n MANUAL allows an override of the AUTO behavior by using the ManualCenterStrike and ManualStrikeSpacing inputs to determine the option symbol.
input StrikeMode = {default AUTO, MANUAL};

#hint ManualCenterStrike: The starting price to use when in MANUAL mode.
input ManualCenterStrike = 440;

#hint ManualStrikeSpacing: The dollar amount between two adjacent contracts to use when in MANUAL mode.
input ManualStrikeSpacing = 1.0;

#hint IVMethod: The method to use for calculating implied volatility. This is mainly used in the GEX calculations. \n ClosedFormIV uses an approximation for implied volatility based on methods from mobius. \n SeriesIV uses the built in SeriesVolatility() function.
input IVMethod = {default ClosedFormIV, SeriesIV};

#hint Debug: Shows plots and data for debugging purposes.
input Debug = no;


#-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------#
# Date, Symbol, and Strike
#

# OptionSeries is the expiry starting at 1 and raising by one for each next expiry. \n This is only used for the SeriesIV method calculation.
def OptionSeries;
switch (Series) {
    case Weekly:
        OptionSeries = 1;
    case Opex:
        OptionSeries = 2;
    case Month1:
        OptionSeries = 3;
    case Month2:
        OptionSeries = 4;
    case Month3:
        OptionSeries = 5;
    case Month4:
        OptionSeries = 6;
    case Month5:
        OptionSeries = 7;
    case Month6:
        OptionSeries = 8;
    case Month7:
        OptionSeries = 9;
    case Month8:
        OptionSeries = 10;
    case Month9:
        OptionSeries = 11;
};

# Open price at Regular Trading Hours
def RTHopen = open(period = AggregationPeriod.DAY);

# Current year, month, day, and date
def CurrentYear = GetYear(); # number of current bar in CST
def CurrentMonth = GetMonth(); # 1 - 12
def CurrentDay = GetDay(); # 1 - 365 (366 for leap year)
def CurrentDate = GetYYYYMMDD(); # date of the current bar in the YYYYMMDD

# Current day of this month
def CurrentDayOfMonth = GetDayOfMonth(CurrentDate);

# Get the first day of this month - 1 (Monday) to 7 (Sunday)
def FirstDayThisMonth = GetDayOfWeek((CurrentYear * 10000) + (CurrentMonth * 100) + 1);

# Get the first upcoming friday
def FirstUpcomingFriday =
    if FirstDayThisMonth < 6 then 6 - FirstDayThisMonth
    else if FirstDayThisMonth == 6 then 7
    else 6
;

# Get the second, third, and fourth upcoming fridays
def SecondUpcomingFriday = FirstUpcomingFriday + 7;
def ThirdUpcomingFriday = FirstUpcomingFriday + 14;
def FourthUpcomingFriday = FirstUpcomingFriday + 21;

# Get the month of expiration for the option, accounting for end of month rollover
def ExpMonth1 =
    if Series == Series.Opex and ThirdUpcomingFriday > CurrentDayOfMonth then CurrentMonth
    else if Series == Series.Opex and ThirdUpcomingFriday < CurrentDayOfMonth then CurrentMonth + 1
    else if FourthUpcomingFriday > CurrentDayOfMonth then CurrentMonth
    else CurrentMonth + 1
;

# Get the month of expiration for the option, accounting for end of year rollover
def ExpMonth = if ExpMonth1 > 12 then ExpMonth1 - 12 else ExpMonth1;

# Get the year of expiration for the option
def ExpYear = if ExpMonth1 > 12 then CurrentYear + 1 else CurrentYear;

# Get the first day at the current expiration year and month
def ExpDay1DOW = GetDayOfWeek(ExpYear * 10000 + ExpMonth * 100 + 1);

# Get the first friday at the current expiration year and month
def ExpFirstFridayDOM =
    if ExpDay1DOW < 6 then 6 - ExpDay1DOW
    else if ExpDay1DOW == 6 then 7
    else 6
;

# Get the second, third, and fourth fridays at the current expiration year and month
def ExpSecondFridayDOM = ExpFirstFridayDOM + 7;
def ExpThirdFridayDOM = ExpFirstFridayDOM + 14;
def ExpFouthFridayDOM = ExpFirstFridayDOM + 21;

# Get the day of month of expiration for the option
def ExpDOM =
    if Series == Series.Opex then ExpThirdFridayDOM
    else if CurrentDayOfMonth < ExpFirstFridayDOM -1 then FirstUpcomingFriday
    else if between(CurrentDayOfMonth, ExpFirstFridayDOM, SecondUpcomingFriday - 1) then SecondUpcomingFriday
    else if between(CurrentDayOfMonth, SecondUpcomingFriday, ThirdUpcomingFriday - 1) then ThirdUpcomingFriday
    else if between(CurrentDayOfMonth, ThirdUpcomingFriday, FourthUpcomingFriday - 1) then FourthUpcomingFriday
    else ExpFirstFridayDOM
;

# Option Expiration Date - Depending on selected series
def OpexDate_NoHolidays = ExpYear * 10000 + ExpMonth * 100 + ExpDOM;

# Option Expiration Date - Accounting for holidays
def OpexDate =
    if ExpMonth == 4 and ExpDOM == 15 then OpexDate_NoHolidays - 1 else OpexDate_NoHolidays # Exchange holiday on April 15, 2022
;

# The OpexCode is the expiry date in the format of an option symbol.
# Example:
#     The date of expiry is April 15th, 2022.
#     The format of this date from the code we have above, the OptionExpiryDate, would be 20,220,415
#     Options symbols expect the format for this date as 220415 (we need to get rid of the leading 20)
def OpexCode = OpexDate - 20000000;

# Option Days to Expiration
#def DTE = CountTradingDays(CurrentDate, OptionExpiryDate);
def DTE = DaysTillDate(OpexDate);

# Find the center strike - the price closest to ATM option
def CenterStrike =
    if (StrikeMode == StrikeMode.AUTO and !IsNaN(close)) then Round(close / CenterStrikeOffset, 0) * CenterStrikeOffset
    else if (StrikeMode == StrikeMode.MANUAL and !IsNaN(close)) then ManualCenterStrike
    else CenterStrike[1]
;

# Strike Spacing
def StrikeSpacingC =
    fold i = 1 to MaxStrikeSpacing
    with spacing = 1
    do if !IsNaN(
        open_interest(("." + GetSymbolPart()) + AsPrice(OpexCode) + "P" + AsPrice(CenterStrike + (MaxStrikeSpacing - i)))
    )
    then MaxStrikeSpacing - i
    else if !IsNaN(
        volume(("." + GetSymbolPart()) + AsPrice(OpexCode) + "P" + AsPrice(CenterStrike + (MaxStrikeSpacing - i)))
    )
    then MaxStrikeSpacing - i
    else spacing
;
def StrikeSpacing =
    if (StrikeMode == StrikeMode.AUTO and !IsNaN(close)) then StrikeSpacingC
    else if (StrikeMode == StrikeMode.MANUAL and !IsNaN(close)) then ManualStrikeSpacing
    else StrikeSpacing[1]
;


# Date and Strike Debugging
plot DebugCurrentDate = CurrentDate - 20000000;
DebugCurrentDate.SetHiding(!Debug);
plot DebugOptionExpiryDate = OpexCode;
DebugOptionExpiryDate.SetHiding(!Debug);
plot DebugDTE = DTE;
DebugDTE.SetHiding(!Debug);
plot DebugCenterStrike = CenterStrike;
DebugCenterStrike.SetHiding(!Debug);
plot DebugStrikeSpacing = StrikeSpacing;
DebugStrikeSpacing.SetHiding(!Debug);


#-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------#
# Option Chain Data Gathering


# Script to get the total open interest at a spot
script TotalSpotOI {
    input StrikeDepth = 1;
    input OpexCode = 1;
    input CenterStrike = 1;
    input StrikeSpacing = 1;
    input IsCall = yes;
    def total =
        fold index = -(StrikeDepth) to (StrikeDepth + 1)
        with value = 0
        do
            if !IsNaN(
                open_interest(("." + GetSymbolPart()) + AsPrice(OpexCode) + (if IsCall then "C" else "P") + AsPrice(CenterStrike + (StrikeSpacing * index)))
            )
            then value + open_interest(("." + GetSymbolPart()) + AsPrice(OpexCode) + (if IsCall then "C" else "P") + AsPrice(CenterStrike + (StrikeSpacing * index)))
            else value + 0
    ;
    plot TotalSpotOI = total;
}

# Total Call Open Interest for selected chain depth and expiry series
def TotalCallOpenInterest = TotalSpotOI(StrikeDepth, OpexCode, CenterStrike, StrikeSpacing, yes);

# Total Put Open Interest for selected chain depth and expiry series
def TotalPutOpenInterest = TotalSpotOI(StrikeDepth, OpexCode, CenterStrike, StrikeSpacing, no);


# Script to get the total volume at a spot
script TotalSpotVolume {
    input StrikeDepth = 1;
    input OpexCode = 1;
    input CenterStrike = 1;
    input StrikeSpacing = 1;
    input IsCall = yes;
    def total =
        fold index = -(StrikeDepth) to (StrikeDepth + 1)
        with value = 0
        do
            if !IsNaN(
                volume(("." + GetSymbolPart()) + AsPrice(OpexCode) + (if IsCall then "C" else "P") + AsPrice(CenterStrike + (StrikeSpacing * index)))
            )
            then value + volume(("." + GetSymbolPart()) + AsPrice(OpexCode) + (if IsCall then "C" else "P") + AsPrice(CenterStrike + (StrikeSpacing * index)))
            else value + 0
    ;
    plot TotalSpotVolume = total;
}

# Total Call Open Interest for selected chain depth and expiry series
def TotalCallVolume = TotalSpotVolume(StrikeDepth, OpexCode, CenterStrike, StrikeSpacing, yes);

# Total Put Volume for selected chain depth and expiry series
def TotalPutVolume = TotalSpotVolume(StrikeDepth, OpexCode, CenterStrike, StrikeSpacing, no);


# Abramowiz Stegun Approximation for Cumulative Normal Distribution
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;
}

# Closed form IV approximation
# IV = sqrt(2*pi / t) * (C / S)
# S = Price of the underlying
# C = Price of the option
# t = time to maturity
script ClosedFormIV {
    input C = 1;
    input S = 1;
    input t = 1; # time to maturity
    #plot IV = (C * Sqrt(2 * Double.Pi)) / (S * Sqrt(t));
    plot IV = (sqrt((2 * Double.Pi)/t)) * (C / S);
}

# Greeks Calculations
#
# K  - Option strike price
# N  - Standard normal cumulative distribution function
# r  - Risk free interest rate
# IV - Volatility of the underlying
# S  - Price of the underlying
# t  - Time to option's expiry
#
# d1    = (ln(S/K) + (r + (sqr(IV)/2))t) / (? (sqrt(t)))
# d2    = e -(sqr(d1) / 2) / sqrt(2*pi)
#
# Delta = N(d1)
# Gamma = (d2) / S(IV(sqrt(t)))
# Theta = ((S d2))IV) / 2 sqrt(t)) - (rK e(rt)N(d4))
#         where phi(d3) = (exp(-(sqr(x)/2))) / (2 * sqrt(t))
#         where d4 = d1 - IV(sqrt(t))
# Vega  = S phi(d1) Sqrt(t)
def K = CenterStrike;
def S = close;
def r = GetInterestRate();
def t = (DTE / 365);

# At the money call price used for ClosedFormIV calcuation
def ATMCallPrice = if isNaN(close(symbol = ("." + GetSymbolPart()) + AsPrice(OpexCode) + "C" + AsPrice(CenterStrike), period = aggregationPeriod.DAY))
    then ATMCallPrice[1]
    else close(symbol = ("." + GetSymbolPart()) + AsPrice(OpexCode) + "C" + AsPrice(CenterStrike), period = aggregationPeriod.DAY)
;

# ClosedFormIV is an approximation of implied volatility based on scripts/methods from mobius
def IV1 = ClosedFormIV(ATMCallPrice, RTHopen, t);
plot MobiusIV = if IV1 > 0 and !IsInfinite(IV1) then IV1 else IV1[1];
MobiusIV.SetHiding(!Debug);

# SeriesVolatility is the expiry starting at 1 and raising by 1 for each next expiry
def IV2 = SeriesVolatility(series = OptionSeries);
plot SeriesIV = if IV2 > 0 and !IsInfinite(IV2) then IV2 else IV2[1];
SeriesIV.SetHiding(!Debug);

# Implied Volatily method
def IV;
switch (IVMethod) {
    case ClosedFormIV:
        IV = IV1;
    case SeriesIV:
        IV = IV2;
}

# Start greek calculations
def d1 = (Log(S / K) + ((r + (Sqr(IV) / 2)) * t)) / (IV * Sqrt(t));
def d2 = Exp(-(Sqr(d1) / 2)) / Sqrt(2 * Double.Pi);

# Delta
def Delta = CND(d1);

# Gamma
def Gamma = d2 / (S * (IV * Sqrt(t)));

# Theta
def Theta = -(-(S*d2*IV*(.5000)/
             (2*sqrt(t)))-
             (r*(exp(-r*t)*K))*CND(d2)+(S*CND(d1)*(.5000)))/365;
# (.5000) variant less than .5 e(X/t)

# Vega
def Vega = (S*d2*sqrt(t))/100;


# GEX Calculation Methods:
#
# ContributionShares:
#     Call GEX = gamma * OI * 100
#     Put GEX  = gamma * OI * 100 * -1
#
# Contribution:
#     Call GEX = gamma * OI * 100 * Spot Price
#     Put GEX  = gamma * OI * 100 * Spot Price * -1
#
# ContributionPercent:
#     Call GEX = gamma * OI * 100 * Spot Price ^2 * 0.01
#     Put GEX  = gamma * OI * 100 * Spot Price ^2 * 0.01 * -1
#


# Script to get the total gamma exposure at a spot
script TotalSpotGEX {
    input StrikeDepth = 1;
    input OpexCode = 1;
    input CenterStrike = 1;
    input StrikeSpacing = 1;
    input IsCall = yes;
    input GEXCalculationMethod = {default ContributionShares, Contribution, ContributionPercent};
    input DTE = 1;
    input IV = 1;
    input r = 1;
    input t = 1;
    def total =
        fold index = -(StrikeDepth) to (StrikeDepth + 1)
        with value = 0
        do
            if !IsNaN(
                open_interest(("." + GetSymbolPart()) + AsPrice(OpexCode) + (if IsCall then "C" else "P") + AsPrice(CenterStrike + (StrikeSpacing * index)))
            )
            then value +
                (Exp(-(Sqr((Log(close / (CenterStrike + (StrikeSpacing * index))) + ((r + (Sqr(IV) / 2)) * t)) / (IV * Sqrt(t))) / 2)) / Sqrt(2 * Double.Pi) / (close * (IV * Sqrt(t)))) *
                open_interest(("." + GetSymbolPart()) + AsPrice(OpexCode) + (if IsCall then "C" else "P") + AsPrice(CenterStrike + (StrikeSpacing * index))) *
                100 *
                if GEXCalculationMethod == GEXCalculationMethod.ContributionShares then
                    1
                else if GEXCalculationMethod == GEXCalculationMethod.Contribution then
                    close
                else
                    Sqr(close) * 0.01 *
                if IsCall then 1 else -1
            else value + 0
    ;
    plot TotalSpotGEX = total;
}

# Total Call Gamma Exposure for selected chain depth and expiry series
def TotalCallGammaExposure = TotalSpotGEX(StrikeDepth, OpexCode, CenterStrike, StrikeSpacing, yes, GEXCalculationMethod, DTE, IV, r, t);

# Total Put Gamma Exposure for selected chain depth and expiry series
def TotalPutGammaExposure = TotalSpotGEX(StrikeDepth, OpexCode, CenterStrike, StrikeSpacing, no, GEXCalculationMethod, DTE, IV, r, t);


#-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------#
# Visuals

# Version Label
AddLabel(yes, "OptionsHacker v" + version, Color.LIGHT_GRAY);

# Selected DataType
AddLabel(yes, DataType, Color.LIGHT_GRAY);

# Selected Series
AddLabel(yes, Series, Color.LIGHT_GRAY);

# Center Strike Label
AddLabel(ShowStrikeInfo, "Center Strike: " + AsDollars(CenterStrike), if StrikeMode == StrikeMode.AUTO then Color.LIGHT_GRAY else Color.RED);

# Strike Spacing Label
AddLabel(ShowStrikeInfo, "Strike Spacing: " + AsDollars(StrikeSpacing), if StrikeMode == StrikeMode.AUTO then Color.LIGHT_GRAY else Color.RED);

# Chain Depth Label
AddLabel(ShowStrikeInfo, "Strike Depth: +/-" + StrikeDepth, Color.LIGHT_GRAY);

# Current ATM Options Labels
Addlabel(ShowStrikeInfo, "ATM Put: " + ("." + GetSymbol()) + AsPrice(OpexCode) + "P" + AsPrice(CenterStrike), GlobalColor("Call"));
Addlabel(ShowStrikeInfo, "ATM Call: " + ("." + GetSymbol()) + AsPrice(OpexCode) + "C" + AsPrice(CenterStrike), GlobalColor("Put"));

# Create a center line
plot ZeroLine = 0;
ZeroLine.SetDefaultColor(Color.WHITE);

# Call Open Interest
plot CallOpenInterest = TotalCallOpenInterest;
CallOpenInterest.SetHiding(!ShowLines or DataType != DataType.OpenInterest);
CallOpenInterest.SetPaintingStrategy(PaintingStrategy.LINE);
CallOpenInterest.SetDefaultColor(GlobalColor("Call"));
AddLabel(ShowLabels and DataType == DataType.OpenInterest, "CallOI: " + CallOpenInterest, GlobalColor("Call"));

# Put Open Interest
plot PutOpenInterest = if FlipPuts then -(TotalPutOpenInterest) else TotalPutOpenInterest;
PutOpenInterest.SetHiding(!ShowLines or DataType != DataType.OpenInterest);
PutOpenInterest.SetPaintingStrategy(PaintingStrategy.LINE);
PutOpenInterest.SetDefaultColor(GlobalColor("Put"));
AddLabel(ShowLabels and DataType == DataType.OpenInterest, "PutOI: " + AbsValue(PutOpenInterest), GlobalColor("Put"));

# Create Clouds for Open Interest
AddCloud(
    if ShowClouds and DataType == DataType.OpenInterest then CallOpenInterest else Double.NaN,
    if ShowClouds and DataType == DataType.OpenInterest then Zeroline else Double.NaN,
    GlobalColor("CallCloud"), GlobalColor("PutCloud")
);
AddCloud(
    if ShowClouds and DataType == DataType.OpenInterest then Zeroline else Double.NaN,
    if ShowClouds and DataType == DataType.OpenInterest then PutOpenInterest else Double.NaN,
    GlobalColor("PutCloud"), GlobalColor("PutCloud")
);

# Hull Moving Average of Put Open Interest
plot PutOpenInterestAverage = hullmovingavg(PutOpenInterest);
PutOpenInterestAverage.SetHiding(!ShowAverages or DataType != DataType.OpenInterest);
PutOpenInterestAverage.SetDefaultColor(GlobalColor("PutAverage"));
PutOpenInterestAverage.SetStyle(Curve.MEDIUM_DASH);

# Hull Moving Average of Call Open Interest
plot CallOpenInterestAverage = hullmovingavg(CallOpenInterest);
CallOpenInterestAverage.SetHiding(!ShowAverages or DataType != DataType.OpenInterest);
CallOpenInterestAverage.SetDefaultColor(GlobalColor("CallAverage"));
CallOpenInterestAverage.SetStyle(Curve.MEDIUM_DASH);

# Call Volume
plot CallVolume = TotalCallVolume;
CallVolume.SetHiding(!ShowLines or DataType != DataType.Volume);
CallVolume.SetPaintingStrategy(PaintingStrategy.LINE);
CallVolume.SetDefaultColor(GlobalColor("Call"));
AddLabel(ShowLabels and DataType == DataType.Volume, "CallVol: " + CallVolume, GlobalColor("Call"));

# Put Volume
plot PutVolume = if FlipPuts then -(TotalPutVolume) else TotalPutVolume;
PutVolume.SetHiding(!ShowLines or DataType != DataType.Volume);
PutVolume.SetPaintingStrategy(PaintingStrategy.LINE);
PutVolume.SetDefaultColor(GlobalColor("Put"));
AddLabel(ShowLabels and DataType == DataType.Volume, "PutVol: " + AbsValue(PutVolume), GlobalColor("Put"));

# Create Clouds for Volume
AddCloud(
    if ShowClouds and DataType == DataType.Volume then CallVolume else Double.NaN,
    if ShowClouds and DataType == DataType.Volume then Zeroline else Double.NaN,
    GlobalColor("CallCloud"), GlobalColor("CallCloud")
);
AddCloud(
    if ShowClouds and DataType == DataType.Volume then Zeroline else Double.NaN,
    if ShowClouds and DataType == DataType.Volume then PutVolume else Double.NaN,
    GlobalColor("PutCloud"), GlobalColor("CallCloud")
);

# Hull Moving Average of Put Volume
plot PutVolumeAverage = hullmovingavg(PutVolume);
PutVolumeAverage.SetHiding(!ShowAverages or DataType != DataType.Volume);
PutVolumeAverage.SetDefaultColor(GlobalColor("PutAverage"));
PutVolumeAverage.SetStyle(Curve.MEDIUM_DASH);

# Hull Moving Average of Call Volume
plot CallVolumeAverage = hullmovingavg(CallVolume);
CallVolumeAverage.SetHiding(!ShowAverages or DataType != DataType.Volume);
CallVolumeAverage.SetDefaultColor(GlobalColor("CallAverage"));
CallVolumeAverage.SetStyle(Curve.MEDIUM_DASH);

# Gamma Exposure
plot GammaExposure = (TotalCallGammaExposure + TotalPutGammaExposure);
GammaExposure.SetHiding(DataType != DataType.GammaExposure);
GammaExposure.SetPaintingStrategy(PaintingStrategy.HISTOGRAM);
GammaExposure.SetDefaultColor(GlobalColor("GEX"));
AddLabel(
    DataType == DataType.GammaExposure,
    if GEXCalculationMethod == GEXCalculationMethod.ContributionShares then
        "GEX: " + GammaExposure + " Shares"
    else if GEXCalculationMethod == GEXCalculationMethod.Contribution then
        "GEX: " + GammaExposure + "$ Per 1$ Move"
    else
        "GEX: " + GammaExposure + "$ Per 1% Move"
    ,
    GlobalColor("GEX")
);

# Greeks Labels
AddLabel(ShowGreeks, "Delta: " + Delta, Color.WHITE);
AddLabel(ShowGreeks, "Gamma: " + Gamma, Color.WHITE);
AddLabel(ShowGreeks, "Theta: " + Theta, Color.WHITE);
AddLabel(ShowGreeks, "Vega: " + Vega, Color.WHITE);

 

[ziongotoptions]

Based on the great work done by other here, I present the

OptionsHacker

- An indicator that will scan the options chain and display information about volume, open interest, and gamma exposure.

Great script!
I’m running into a problem whenever I have the strike depth set to 20, the total put open interest seems to be off on QQQ it would say 0 and now I have it on spy and it says Putoi is 1
Did more troubleshooting seems to be an issue with strike spacing , strike spacing seems always be 1

I modified the strike spacing by eliminated the data type section because there’s no need to differentiate with data types , strike spacing is a fundamental part of the script

 

[sudoshu]

I figured out the issue , when you added the label for Put OI you had used totalputopeninterest however when I switched it to absvalue(putopeninterest) it worked ! Also I modified the strike spacing just eliminated the data type section because there’s no need to differentiate with data types , strike spacing is a fundamental part of the script

Nice! That makes sense, I also added the AbsValue fix for the Put Volume Label.

For the strike spacing modification can you post that here, I'd like to see what you mean.

Edit: Not sure the AbsValue fix is working still waiting on it ... takes about 20 minutes to load for me at that depth.

 

[ziongotoptions]

Nice! That makes sense, I also added the AbsValue fix for the Put Volume Label.

For the strike spacing modification can you post that here, I'd like to see what you mean.

Edit: Not sure the AbsValue fix is working still waiting on it ... takes about 20 minutes to load for me at that depth.

im still having issues with PutOI and CallOI to be honest

As for the strikespacing here is the code

# Strike Spacing
def StrikeSpacingC =
    fold i = 1 to MaxStrikeSpacing
    with spacing = 0
    do if !IsNaN(open_interest(("." + GetSymbolPart()) + AsPrice(OptionExpiryDate - 20000001) + "P" + AsPrice(CenterStrike + (MaxStrikeSpacing - i)))
    )
    then MaxStrikeSpacing - i
    else spacing
;
rec StrikeSpacing =
    if (Mode == Mode.AUTO and !IsNaN(close)) then StrikeSpacingC
    else if (Mode == Mode.MANUAL and !IsNaN(close)) then ManualStrikeSpacing
    else StrikeSpacing[1]

 

[sudoshu]

im still having issues with PutOI and CallOI to be honest

As for the strikespacing here is the code

# Strike Spacing
def StrikeSpacingC =
    fold i = 1 to MaxStrikeSpacing
    with spacing = 0
    do if !IsNaN(open_interest(("." + GetSymbolPart()) + AsPrice(OptionExpiryDate - 20000001) + "P" + AsPrice(CenterStrike + (MaxStrikeSpacing - i)))
    )
    then MaxStrikeSpacing - i
    else spacing
;
rec StrikeSpacing =
    if (Mode == Mode.AUTO and !IsNaN(close)) then StrikeSpacingC
    else if (Mode == Mode.MANUAL and !IsNaN(close)) then ManualStrikeSpacing
    else StrikeSpacing[1]

Thanks for that. So you just got rid of the whole check for volume as well. The whole auto spacing part of this kind of baffles me, given I'm not well versed, wouldn't there be cases where the strikes aren't evenly spaced?

 

[ziongotoptions]

Thanks for that. So you just got rid of the whole check for volume as well. The whole auto spacing part of this kind of baffles me, given I'm not well versed, wouldn't there be cases where the strikes aren't evenly spaced?

From what I’ve seen it starts at the max strike spacing and it works it’s way down , it seems pretty effective, the open interest labels take awhile to load however

 

[sudoshu]

From what I’ve seen it starts at the max strike spacing and it works it’s way down , it seems pretty effective, the open interest labels take awhile to load however

I'll keep looking into it. Might there be some data request limit or something we are hitting. If I set it to strike depth of 10 I see values.

Edit: 14 seems to be the max strike depth I can set. Anything greater than that with a $1 spacing yields no values on the latest bar.

 

[sudoshu]

FYI you can set to MANUAL mode and use the inputs to set the center strike and spacing.

 

[ziongotoptions]

I'll keep looking into it. Might there be some data request limit or something we are hitting. If I set it to strike depth of 10 I see values.

Edit: 14 seems to be the max strike depth I can set. Anything greater than that with a $1 spacing yields no values on the latest bar.

It’s possible, too many Data calls, still very impressive what you’ve managed to do given the limitations of the program

 

[conmayne]

So what are the parameters for your scan setups?

 

[sudoshu]

So what are the parameters for your scan setups?

Not sure what you mean. This is a study you can add to a chart. It scans the parameters you supply it in the settings for the symbol you are looking at.

 

[sudoshu]

im still having issues with PutOI and CallOI to be honest

I think I found the issue. Inside the fold if the condition was not good, it was setting the value to zero. I changed it to set to the last value instead. I think this was causing a weird bug where the running tally was being reset.

I updated the original post with the new link, I'm still new to thinkscript and sharing. I just 'updated the original shared version' but It gave me a new link. Will the original link still work for other people, or should I keep putting the new link every time I update?

 

[ziongotoptions]

I think I found the issue. Inside the fold if the condition was not good, it was setting the value to zero. I changed it to set to the last value instead. I think this was causing a weird bug where the running tally was being reset.

I updated the original post with the new link, I'm still new to thinkscript and sharing. I just 'updated the original shared version' but It gave me a new link. Will the original link still work for other people, or should I keep putting the new link every time I update?

I’m not sure , I think it would, however you’re supposed to share the entire code not the link , that way it’s easier to just go in and edit

 

[ziongotoptions]

I think I found the issue. Inside the fold if the condition was not good, it was setting the value to zero. I changed it to set to the last value instead. I think this was causing a weird bug where the running tally was being reset.

I updated the original post with the new link, I'm still new to thinkscript and sharing. I just 'updated the original shared version' but It gave me a new link. Will the original link still work for other people, or should I keep putting the new link every time I update?

Also I see for the month expiration, you’re calculating 1 month out from the current expiration, do you think you could modify it to only calculate the third Friday of every month since monthly options expire on the third Friday and would have more significance?

 

[sudoshu]

Also I see for the month expiration, you’re calculating 1 month out from the current expiration, do you think you could modify it to only calculate the third Friday of every month since monthly options expire on the third Friday and would have more significance?

Ah, that is good idea. I will look into it.

 

[conmayne]

Not sure what you mean. This is a study you can add to a chart. It scans the parameters you supply it in the settings for the symbol you are looking at.

Sorry, I mean what are your settings for the scanner in condition wizard?

 

[sudoshu]

Sorry, I mean what are your settings for the scanner in condition wizard?

No worries mate, but I think you are still misunderstanding. This is a custom study I wrote in thinkscript. It does not use any part of the options scanner that is built into the platform or the condition wizard.

You can get the study by copying the link for the latest version, and then in thinkorswim go to Setup -> Open Shared Item and paste the link. Click Preview, and then Import. Then you will have the study like any other built in study in thinkorswim like MACD or RSI. To use it, open up a chart, and add the study. Then you can play around with the settings.

 

[2187Nick]

Nice work. Couple notes for you.

Squeezemetric version sums up the gamma exposure across all available strikes and expirations.

Spotgamma version sums up the gamma exposure across all available strikes for 35 days.

 

[sudoshu]

Nice work. Couple notes for you.

Squeezemetric version sums up the gamma exposure across all available strikes and expirations.

Spotgamma version sums up the gamma exposure across all available strikes for 35 days.

Interesting, Ideally I'd like to be able to sum the total exposure across all strikes and expiries like squeezemetrics, but I think that is beyond the capabilities of the platform. (or it would take like 3 days to run) I can do that easily in a full programming language ... alas the issue is getting reliable historical options data ... that is not cheap