GVCR (Gamma-Volatility Cost Ratio)

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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

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3 วันที่ผ่านมา

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