I do calculate mine as well, apart for OI and gamma, which are pretty obvious, am trying to figure out how vanna and delta play their role and draw what I think should be levels of attention. Not sure I'm doing right but I guess with time I'll see. Thanks for answering!
One thing which sometimes is too obvious to ask is what are you actually trying to calculate. In this case I can see hundreds of potential solutions/calculations. Still, question remains, what is it that I try to achieve other than just playing around with data.
I do calculate mine as well, apart for OI and gamma, which are pretty obvious, am trying to figure out how vanna and delta play their role and draw what I think should be levels of attention. Not sure I'm doing right but I guess with time I'll see. Thanks for answering!
One thing which sometimes is too obvious to ask is what are you actually trying to calculate. In this case I can see hundreds of potential solutions/calculations. Still, question remains, what is it that I try to achieve other than just playing around with data.
This is where I definitely struggle
Hi, Is VAH and VAL the implied move based on IV?
no, its all calculated based on options greeks and options transaction data