Options Greeks Analyzer

Options Greeks Analyzer (Training & Learning Guide)
________________________________________
1. Introduction
Options trading is advanced compared to regular stock trading, and one of the most important aspects is Options Greeks. Greeks are mathematical values that measure how the price of an option will react to changes in various factors such as the underlying asset’s price, volatility, interest rates, and time to expiry.
This Options Greeks Analyzer tool is built using TradingView Pine Script v5. It serves as a real time training and analysis dashboard that helps learners visualize how options greeks behave, how option prices change, and how traders can make informed decisions.
📌 Educational Disclaimer:
This tool is only for training and learning purposes. It is not a financial advice tool nor to be used for live trading decisions. The data shown is theoretical Black Scholes model calculations, which may differ from actual option market prices.
________________________________________
2. How the Tool Works
The Options Greeks Analyzer is divided into different modules. Below is a step by step walkthrough:
________________________________________
Step 1: User Inputs
• Implied Volatility (IV%) — You can manually enter volatility, which is the most important factor in option pricing. Higher IV = higher option premium.
• Expiry Selection — Choose from preset durations like 7D, 14D, 30D etc. Days to expiry directly affect time decay (Theta).
• Strike Price Mode — You can select either:
o ATM (At-the-Money = Current price of stock/index)
o Custom strike (Enter your own strike price)
• Risk-Free Rate (%) — A small interest rate factor (like government bond yield) used for theoretical valuation.
• Table Customization — Choose table size, position, and whether to show price lines for easy visibility.
________________________________________
Step 2: Market Data & Volatility
• The tool takes the current market price (Spot Price) as input.
• It calculates realized volatility from historical price fluctuations (using past 30 bars/log returns).
• Implied Volatility (manual input) is then compared to realized vol:
o If IV > Historical Volatility → Market pricing is “expensive” (HIGH IV RANK).
o If IV < Historical Volatility → Market is “cheap” (LOW IV RANK).
o Otherwise, it’s MEDIUM.
📌 Why it matters?
Traders can decide whether buying or selling options is favorable. Beginners learn that timing entry with volatility is more critical than just looking at market direction.
________________________________________
Step 3: Black-Scholes Formula
The core engine uses the Black-Scholes model, a mathematical formula widely used to compute option fair prices.
It uses the following inputs:
• Current price (Spot)
• Strike Price
• Time to Expiry (T)
• Risk Free Rate (r)
• Implied Volatility (σ)
This produces:
• Call Option Price
• Put Option Price
📌 This teaches learners how premiums are derived theoretically and why the same strike can have different values depending on IV and time.
________________________________________
Step 4: Option Greeks Calculation
The tool computes the first order Greeks:
• Delta → Measures how much the option price changes when the underlying stock moves by 1 point.
(Call Delta ranges 0–1, Put Delta ranges -1 to 0).
• Gamma → Sensitivity of Delta to price change. A measure of volatility risk.
• Theta → Time decay. Shows how much value option loses as each day passes. Calls and Puts have negative Theta (decay).
• Vega → Measures how sensitive option price is to volatility changes.
• Rho → Interest rate sensitivity. Mostly minor in equity options but important for training.
📌 New traders learn how each factor impacts profits/losses. Instead of random guessing, they see mathematical impact in numbers.
________________________________________
Step 5: Dashboard & Visualization
The tool builds a professional dashboard table on the chart.
It shows categories such as:
1. Asset Info — Spot, Strike, DTE (days to expiry), IV%, IV Rank, 1-Day Trend, Moneyness (ATM/OTM/ITM).
2. Option Prices — Call, Put, Break-even levels, Time Value, Expected Move (%), Realized vs Implied Vol.
3. Greeks with Visual Progress Bars — Easily shows Delta, Gamma, Vega, Theta, Rho in intuitive graphical representations.
4. Status Bar — Suggests theoretical bias like:
o HIGH IV → Favor Option Selling
o LOW IV → Favor Option Buying
o MEDIUM → Neutral observation
5. Recommendation Line — Offers training-based suggestions like “Buy Straddles”, “Sell Call Spreads”, etc. These are not signals, but scenarios to learn strategies.
________________________________________
3. How It Helps Beginners
1. Learn Greeks in Action:
Beginners often memorize formulas but never see real-time changes. This dashboard updates every bar to show how Greeks change dynamically.
2. Compare Volatilities:
Traders understand difference between historical vs implied volatility and why option premiums behave differently.
3. Understand Risk Levels:
The tool highlights when Gamma risk is high (danger for sellers) or when Theta is most favorable.
4. Training Mode for Strategies:
Helps beginners experiment by changing IV, strike, expiry and seeing how straddles, spreads, naked options would behave theoretically.
5. Prepares Before Live Trading:
Safe environment to practice option analysis without risking capital.
________________________________________
4. Educational Use Cases
• Scenario 1: Change expiry from 7D to 30D — see how Theta becomes slower for longer expiries.
• Scenario 2: Increase IV from 25% to 80% — watch how option premiums inflate, and recommendation changes from “Buy” to “Sell”.
• Scenario 3: Select OTM vs ITM strikes — check how delta moves from near 0 to near 1.
By running these scenarios, learners understand why professional traders hedge Greeks instead of directional gambling.
________________________________________
5. Disclaimer
This Options Greeks Analyzer is built strictly for educational and training purposes.
• It uses theoretical formulas (Black-Scholes) that may not match actual option market prices.
• The recommendations are for learning strategy logic only, not real-world execution signals.
• Trading in options carries significant risks and may result in capital loss.
📌 Always consult with a financial advisor before applying real strategies.
________________________________________
✅ Summary
This Options Greeks Analyzer:
• Teaches how Greeks, IV, and premiums work.
• Provides a real-time interactive dashboard for training.
• Helps beginners practice option scenarios safely.
• Is meant strictly for learning and not live trading execution.
________________________________________
________________________________________
Disclaimer from aiTrendview
This script and its trading signals are provided for training and educational purposes only. They do not constitute financial advice or a guaranteed trading system. Trading involves substantial risk, and there is the potential to lose all invested capital. Users should perform their own analysis and consult with qualified financial professionals before making any trading decisions. aiTrendview disclaims any liability for losses incurred from using this code or trading based on its signals. Use this tool responsibly, and trade only with risk capital.