Spx gamma Levels

C

Carlosack

New member
There's this company that posts and gives live data of certain gamma levels throughout the day on the spx chain. Anyone here know how they obtain this data? I want to see if I can obtain these gamma levels on my own. The bigger the candle the more its always attracted to it. Thank you
The video is an example. Thank you
1703079201127.png
 
Solution
M
antwerks said:
I was attempting to get that to chart for SPX and any other ticker symbol (XOM for instance) but I can not seem to get it to work.
# Gamma Exposure Profile Indicator for ThinkOrSwim (XOM)

# Define Inputs
input fromStrike = 0;
input toStrike = 200;

# Define Variables
def todayDate = GetYYYYMMDD();
def fromStrikePrice = fromStrike;
def toStrikePrice = toStrike;

# Calculate Gamma Exposure
def calcGammaEx(S, K, vol, T, r, q, optType, OI) {
if (T == 0 || vol == 0) {
return 0;
}

def dp = (Log(S / K) + (r - q + 0.5 * vol ** 2) * T) / (vol * Sqrt(T));
def dm = dp - vol * Sqrt(T);

def gamma;
if (optType == 'call') {
gamma = Exp(-q * T) * normdist(dp, 0, 1) / (S * vol * Sqrt(T));
} else {
gamma = K *...
Click to expand...
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