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Vanna Thinkscript

aeb

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Could someone help me code a thinkscript for Vanna? I know it can be done because I've seen it (pictures below) but when trying to use chatgpt to help me, it has gotten me nowhere. The thinkscript was coded from the formula in the pictures.
 

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Could someone help me code a thinkscript for Vanna? I know it can be done because I've seen it (pictures below) but when trying to use chatgpt to help me, it has gotten me nowhere. The thinkscript was coded from the formula in the pictures.

EDIT -----------

i think this is the right formulas.
i looked at that ref web page below, and changed my study. now it plots something.

i see spartan.ts posted a study, so maybe go with that...

-----------------------------------

k isn't defined in formula image. i think it is strike

Code:
#vanna_00

#https://usethinkscript.com/threads/vanna-thinkscript.17654/
#Vanna Thinkscript
#aeb  Jan 8, 2024  #2
# a thinkscript for Vanna?

# look at formulas on this page to figure out code
#https://financetrainingcourse.com/education/2014/06/vega-volga-and-vanna-the-volatility-greeks/


declare lower;

def na = double.nan;
def bn = barnumber();

# ref sym  .SPY240216C484

# dates
# expiry date    YYYYMMDD
input expire_date = 20240216;

# current date
#  if tb > expire date , in  CountTradingDays()  then error.  add if then to fix value of t
def tb = GetYYYYMMDD();
def t = if isnan(close) then t[1] else tb;

# experiment with 2 ways to count days.   use diff2
#   T-t  , days till expire
def diff1b = DaysTillDate(expire_date);
def diff2b = CountTradingDays(t, expire_date);

# fraction of year , /365  or  /252
def diff1 = diff1b/365;
def diff2 = diff2b/252;


def iv = imp_volatility();

#  k  - strike
def k = 486;

# dividend rate ,  0
def q = 0;

# risk free rate ??
def r = .27;

def s = close;


#  based on ref web page,  (t_exp - t)   should be  (t_exp - t)/365 , a fraction of a year
#def d1 = (log(s/k) + (r - q + (power(iv,2)/2)) * (t_exp - t)) / (iv * sqrt(t_exp - t));
def d1 = (log(s/k) + (r - q + (power(iv,2)/2)) * (diff2)) / (iv * sqrt(diff2));

def n1 = exp(-(power(d1,2))/2) / (2 * double.pi);

#def vanna = Sqrt(t_exp - t) * n1 * (1-d1);
def vanna = Sqrt(diff2) * n1 * (1-d1);

plot z = vanna;

plot z0 = 0;

#------------------------------

addchartbubble(0,0,
d1 + "\n" +
n1 + "\n" +
vanna + "\n" +
 diff1b + "\n" +
 diff2b + "\n" +
 diff1 + "\n" +
 diff2
, color.yellow, yes);

#



this page seems to list the same formula image and might explain the numbers.
https://financetrainingcourse.com/education/2014/06/vega-volga-and-vanna-the-volatility-greeks/
 

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Last edited:
Could someone help me code a thinkscript for Vanna? I know it can be done because I've seen it (pictures below) but when trying to use chatgpt to help me, it has gotten me nowhere. The thinkscript was coded from the formula in the pictures.
can find it with search

Code:
def Under =
    Close(GetunderlyingSymbol());
def Strike =
    GetStrike();
def DTE =
    GetDaysToExpiration() / 365;
def Rate =
    GetInterestRate() * 0.01;
def Div =
    if !isNaN(GetDividend()) then GetDividend()
    else Div[1];
def Yield =
    if Div then Div / Under
    else 0;
def IV =
    Imp_Volatility(GetUnderlyingSymbol());
def Pi =
    Double.Pi; #3.14
def e =
    2.718281828; #Euler's number (sort of like Pi)
def D1 =
    (Log(Under/Strike) + (rate - yield + (Power(IV,2) / 2)) * DTE) / (IV * Sqrt(DTE));
def N1D1 =
    power(e,-(power(D1,2)/2)) * (1 / (2 * Pi));
def Van =
    SqRt(DTE) * N1D1 * (1 - D1); #assumes 0 dividend

plot Vanna = Van * -1;
 
can find it with search

Code:
def Under =
    Close(GetunderlyingSymbol());
def Strike =
    GetStrike();
def DTE =
    GetDaysToExpiration() / 365;
def Rate =
    GetInterestRate() * 0.01;
def Div =
    if !isNaN(GetDividend()) then GetDividend()
    else Div[1];
def Yield =
    if Div then Div / Under
    else 0;
def IV =
    Imp_Volatility(GetUnderlyingSymbol());
def Pi =
    Double.Pi; #3.14
def e =
    2.718281828; #Euler's number (sort of like Pi)
def D1 =
    (Log(Under/Strike) + (rate - yield + (Power(IV,2) / 2)) * DTE) / (IV * Sqrt(DTE));
def N1D1 =
    power(e,-(power(D1,2)/2)) * (1 / (2 * Pi));
def Van =
    SqRt(DTE) * N1D1 * (1 - D1); #assumes 0 dividend

plot Vanna = Van * -1;

The problem with this formula is it doesn't scale correctly when paired with gamma (like in my original post). I'm sure it is just a matter of tweaking one or two things but can't figure it out.
1708455138044.png
 

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