Stream Option Gamma
Streams the real-time gamma Greek for options contracts. Gamma measures the rate of change in delta relative to a $1 change in the underlying asset.
Symbol Format
Options use OCC (Options Clearing Corporation) format:
- Format:
SYMBOL + YYMMDD + C/P + Strike(8 digits) - Example:
AAPL240315C00170000= AAPL Call, Mar 15 2024, Strike $170
Gamma Characteristics
| Scenario | Gamma Behavior |
|---|---|
| At-the-money | Highest gamma |
| Deep ITM/OTM | Lower gamma |
| Near expiration | Gamma increases for ATM |
| Far from expiration | Gamma more stable |
Notes
- Data streams automatically update in Excel
- Gamma is always positive for both calls and puts
- Highest for at-the-money options near expiration
Syntax
=QM_Stream_Gamma(Symbol)Parameters
Option symbol in OCC format
Returns
Option gamma value
Examples
=QM_Stream_Gamma("AAPL240315C00170000")=QM_Stream_Gamma("MSFT240315P00400000")=QM_Stream_Gamma(A1)When to Use
- Measuring delta stability
- Gamma scalping strategies
- Position risk management
- Understanding delta hedge frequency
When NOT to Use
| Scenario | Use Instead |
|---|---|
| Need delta | QM_Stream_Delta() |
| Need theta | QM_Stream_Theta() |
| Need vega | QM_Stream_Vega() |
| Need implied volatility | QM_Stream_ImpliedVolatality() |
Common Issues & FAQ
What does gamma tell me?
Gamma shows how much delta will change for a $1 move in the underlying. High gamma means delta changes quickly.
Why does gamma matter?
High gamma positions require frequent delta hedging. Gamma risk is significant for short options near expiration.
Excel Templates Using Stream Option Gamma
These ready-made MarketXLS templates call QM_Stream_Gamma() in their worksheet formulas. Open one to see the function working inside a complete model.
- Template for Accessing Real-Time Data on US Stock Option Bids, Greeks, Open Interest, and Unusual Op
- Gamma Exposure (GEX) Template
- ^SPX Real time Option Chain with SPXW
- Option Chain Excel Sheet (SPY Example)
- Poor Man's Covered Call (PMCC) - Advanced Options Income Strategy with Real-Time Greeks & Analytics
Related Formulas
More MarketXLS Price Quotes (Streaming) formulas you can use in the same worksheet:
- Stream Option Volatility Change
- Stream Percentage Change
- Stream Percentage Change
- Stream Post Market Change
- Stream Post Market Change
- Stream Post Market Last
- Stream Post Market Last Price
- Stream Post Market Last Trade Time
See QM_Stream_Gamma used in a complete workbook: How to Insert Stock Price in Excel for Real-Time Quotes
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