Option Gamma

Definition

The Option Gamma indicator uses the Black-Scholes model formula. This mathematical equation estimates the theoretical value of derivatives other investment instruments, taking into account the impact of time and other risk factors.
Check here for more info about the Black-Scholes indicator.

Gamma is the rate of change in an option's delta per 1-point move in the underlying asset's price. Gamma is an important measure of the convexity of a derivative's value, in relation to the underlying.

The Option Gamma indicator plots the option's Greek Gamma risk value which is based on the asset's price series. The indicator requires the option data to be specified in in Input values (expiration month, expiration year, strike price, etc). Gama shows the expected change of option delta which is based on price changes in the underlying asset.

When applied to a chart, this indicator displays one plot in a separate subchart from the main data series.

Default Inputs

ExpMonth_MM sets the month (1-12) the option expires, 0 by default.

ExpYear_YYYY sets the year the option expires, 0 by default.

StrikePr sets the option strike price, 0 by default.

Rate100 sets the risk free interest rate, 0 by default.

Volty100 sets the annualized volatility value, 0 by default.

PutCall sets the option type (Put=2, Call=3), put by default.