OPEN-SOURCE SCRIPT
GVCR (Gamma-Volatility Cost Ratio)
Aggiornato
Re-Upload To Conform To TradingView House Rules.
GVCR (Gamma-Volatility Cost Ratio) formula. This is currently used to compare options across different stocks that are affected by similar price action.
Formula is surprisingly simple, IV * Delta / Gamma * Premium = GVCR
High Relative Result:
Indicates that the option is relatively expensive given its sensitivity (Gamma) to stock price movements and suggests inefficiency or that the option is overpriced relative to its Gamma-driven potential.
Low Relative Result:
Indicates that the option may be cost-effective, as it offers higher sensitivity (Gamma) relative to its premium and implied volatility and such options might be attractive when seeking high Gamma exposure at a reasonable cost.
I Intend to update this once Trade View supports options greeks to be pulled automatically with strike and exp.
Credit for GVCR formula: Tekhon Kovalev
Tip Jar In Signature
- TK211X
GVCR (Gamma-Volatility Cost Ratio) formula. This is currently used to compare options across different stocks that are affected by similar price action.
Formula is surprisingly simple, IV * Delta / Gamma * Premium = GVCR
High Relative Result:
Indicates that the option is relatively expensive given its sensitivity (Gamma) to stock price movements and suggests inefficiency or that the option is overpriced relative to its Gamma-driven potential.
Low Relative Result:
Indicates that the option may be cost-effective, as it offers higher sensitivity (Gamma) relative to its premium and implied volatility and such options might be attractive when seeking high Gamma exposure at a reasonable cost.
I Intend to update this once Trade View supports options greeks to be pulled automatically with strike and exp.
Credit for GVCR formula: Tekhon Kovalev
Tip Jar In Signature
- TK211X
Note di rilascio
Updated Chart Image.Script open-source
In pieno spirito TradingView, l'autore di questo script lo ha pubblicato open-source, in modo che i trader possano comprenderlo e verificarlo. Un saluto all'autore! È possibile utilizzarlo gratuitamente, ma il riutilizzo di questo codice in una pubblicazione è regolato dal nostro Regolamento. Per aggiungerlo al grafico, mettilo tra i preferiti.
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