OPEN-SOURCE SCRIPT
GVCR (Gamma-Volatility Cost Ratio)
Aktualisiert
While TradingView does not currently support options data to automatically fill this tool with the required data live, it will be updated once it does.
Currently, it is pretty simple and acts like a calculator to display the result below your chart for reference. As options data changes all the time a live version will be needed when capabilities support it.
The formula is Implied Volatility / Gamma * Premium
This helps you compare two options affected by similar price action.
In theory the lower number result option will perform better.
There is an option to add an extra set into the calculation to get the average of the two intended to be used for spreads.
- TK211X
Credit for Formula: Tekhon Kovalev
Tip jar:
BTC: bc1q3cakkvkj9vnk94cr7akqwwx8kl0086k6ruy036
Currently, it is pretty simple and acts like a calculator to display the result below your chart for reference. As options data changes all the time a live version will be needed when capabilities support it.
The formula is Implied Volatility / Gamma * Premium
This helps you compare two options affected by similar price action.
In theory the lower number result option will perform better.
There is an option to add an extra set into the calculation to get the average of the two intended to be used for spreads.
- TK211X
Credit for Formula: Tekhon Kovalev
Tip jar:
BTC: bc1q3cakkvkj9vnk94cr7akqwwx8kl0086k6ruy036
Versionshinweise
While TradingView does not currently support options data to automatically fill this tool with the required data live, it will be updated once it does.Currently, it is pretty simple and acts like a calculator to display the result below your chart for reference. As options data changes all the time a live version will be needed when capabilities support it.
The formula is Implied Volatility * Starting Delta / Current Gamma * Current Premium
This helps you compare two options affected by similar price action.
In theory the lower number result option will perform better.
There is an option to add an extra set into the calculation to get the average of the two intended to be used for spreads.
- TK211X
Credit for Formula: Tekhon Kovalev
Tip jar:
BTC: bc1q3cakkvkj9vnk94cr7akqwwx8kl0086k6ruy036
Versionshinweise
Small bug fixes. Added starting delta from clarification.Versionshinweise
Update default line width to be more visible. Change options Greeks imput order to be more TAB key friendly when looking at a options tree.
Open-source Skript
Ganz im Sinne von TradingView hat dieser Autor sein/ihr Script als Open-Source veröffentlicht. Auf diese Weise können nun das Script auch andere Trader verstehen und prüfen. Vielen Dank an den Autor! Sie können das Script kostenlos verwenden. Die Nutzung dieses Codes in einer Veröffentlichung wird in unseren Hausregeln reguliert. Sie können es als Favoriten auswählen, um es in einem Chart zu verwenden.
Möchten Sie dieses Skript auf einem Chart verwenden?
Haftungsausschluss
Die Informationen und Veröffentlichungen sind nicht als Finanz-, Anlage-, Handels- oder andere Arten von Ratschlägen oder Empfehlungen gedacht, die von TradingView bereitgestellt oder gebilligt werden, und stellen diese nicht dar. Lesen Sie mehr in den Nutzungsbedingungen.