OPEN-SOURCE SCRIPT
GVCR (Gamma-Volatility Cost Ratio)
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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
Notes de version
Updated Chart Image.Script open-source
Dans le plus pur esprit TradingView, l'auteur de ce script l'a publié en open-source, afin que les traders puissent le comprendre et le vérifier. Bravo à l'auteur! Vous pouvez l'utiliser gratuitement, mais la réutilisation de ce code dans une publication est régie par nos Règles. Vous pouvez le mettre en favori pour l'utiliser sur un graphique.
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