Options: Capture Option Chain Data via Thinkscript

D

DoQtorNo

Member
Howdy and good am,

I am using the Option Hacker to pull my option candidates. I get the Symbol and Description Return. Is there a way I can capture the following:

a. option bid, ask for the particular option it pulls

b. implied volatility for the particular option chain and the anticipated +- dollar movement (the numbers to the left above the header of the particular option chain
c. option date
d. call or put

Here's the data the scan hack is returning:

.AZN201016C57.5
 
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armeredtech said:
So i guess there is no way to build a strategy that has an entry on a close crossing an ema on a tick chart and having the close be when first out of the money option (that is on the same side) having its bid or last being 10% from what its ask was at time of entry
Click to expand...
correct
 
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I like this script. Is there a way to change the font text color to white on the OTM call labels? Any ideas how this can be used as a scan?
rad14733 said:
@ksadras Here is the code I am currently using... Feel free to modify it to your needs just as I did...

Ruby: 
# Weekly Options Implied Volatility Plotted intraday
# Mobius
# Chat Room Request
# 02.27.2016
#
# 2021-07-01 : Modified by rad14733 for personal needs

declare Once_Per_Bar;

input series = 1;
input showBands = no;
input show_itm_labels = yes;
input show_atm_labels = yes;
input show_otm_labels = yes;
input Days_In_Contract = 0;
Assert(series > 0, "'series' must be positive: " + series);

def RTHopen = open(period = AggregationPeriod.Day);
def CurrentYear = GetYear();
def CurrentMonth = GetMonth();
def CurrentDOM = GetDayOfMonth(GetYYYYMMDD());
def Day1DOW1 = GetDayOfWeek(CurrentYear * 10000 + CurrentMonth * 100 + 1); # First DOM is this DOW
def FirstFridayDOM1 = if Day1DOW1 < 6
    then 6 - Day1DOW1
    else if Day1DOW1 == 6
         then 7
         else 6;

def SecondFridayDOM = FirstFridayDOM1 + 7;
def ThirdFridayDOM = FirstFridayDOM1 + 14;
def FourthFridayDOM = FirstFridayDOM1 + 21;
def RollDOM = FirstFridayDOM1 + 21; #14; changed to 21 to pick up all Fridays of the current month for weekly options
def ExpMonth1 = if RollDOM > CurrentDOM
    then CurrentMonth + series - 1
    else CurrentMonth + series;
def ExpMonth2 = if ExpMonth1 > 12
    then ExpMonth1 - 12
    else ExpMonth1;

def ExpYear = if ExpMonth1 > 12
    then CurrentYear + 1
    else CurrentYear;

def Day1DOW = GetDayOfWeek(ExpYear * 10000 + ExpMonth2 * 100 + 1);
def FirstFridayDOM = if Day1DOW < 6
    then 6 - Day1DOW
    else if Day1DOW == 6
         then 7
         else 6;

def ExpDOM = if currentDOM < FirstFridayDOM -1
    then FirstFridayDOM1
    else if between(currentDOM, FirstFridayDOM, SecondFridayDOM-1)
         then SecondFridayDOM
         else if between(currentDOM, SecondFridayDOM, ThirdFridayDOM-1)
              then ThirdFridayDOM
              else if between(currentDOM, ThirdFridayDOM, FourthFridayDOM-1)
                   then FourthFridayDOM
                   else FirstFridayDOM;

def NextFriday = DaysTillDate(ExpYear * 10000 + ExpMonth2 * 100 + ExpDOM);
def ExpirationDate = GetYYYYMMDD() + NextFriday;
def ExpData = (ExpirationDate / 1) + 1;
def yr = Round(GetYear() / 100, 0);
def yr2 = GetYear() - 2000;
def OptionDateString = ExpYear * 10000 + ExpMonth2 * 100 + ExpDOM + 1;
def ATMCprice = if isNaN(close(symbol = GetATMOption(GetUnderlyingSymbol(), OptionDateString, OptionClass.CALL)))
    then ATMCprice[1]
    else close(symbol = GetATMOption(GetUnderlyingSymbol(), OptionDateString, OptionClass.CALL));

def ATMPprice = if isNaN(close(symbol = GetATMOption(GetUnderlyingSymbol(), OptionDateString, OptionClass.PUT)))
    then ATMCprice[1]
    else close(symbol = GetATMOption(GetUnderlyingSymbol(), OptionDateString, OptionClass.PUT));

def HPD = if Days_In_Contract == 0 #HPD = Holding Period Days
    then NextFriday
    else Days_In_Contract;

def t = HPD / 365;

def ClosedForm_IV_est = if isNaN(((ATMCprice[1] * Sqrt(2 * Double.Pi)) / (RTHopen * Sqrt(t)))) then ClosedForm_IV_est[1]    else ((ATMCprice * Sqrt(2 * Double.Pi)) / (RTHopen * Sqrt(t)));

def Intraday_IV = if ClosedForm_IV_est > 0 then ClosedForm_IV_est else double.nan;
def ImpMove = Round((close[1] * Intraday_IV / Sqrt(365)) / tickSize(), 0) * tickSize();

plot upper = RTHopen + ImpMove[1];
upper.SetStyle(Curve.Firm);
upper.SetDefaultColor(Color.Cyan);
upper.SetHiding(!showBands);

plot lower = RTHopen - ImpMove[1];
lower.SetStyle(Curve.Firm);
lower.SetDefaultColor(Color.Cyan);
lower.SetHiding(!showBands);

def ActualMove = close[1] - RTHopen;


# Next OTM Prices

def OTMCprice = if isNaN(close(symbol = GetNextOTMOption(GetATMOption(GetUnderlyingSymbol(), OptionDateString, OptionClass.CALL)))) then OTMCprice[1] else close(symbol = GetNextOTMOption(GetATMOption(GetUnderlyingSymbol(), OptionDateString, OptionClass.CALL)));

def OTMPprice = if isNaN(close(symbol = GetNextOTMOption(GetATMOption(GetUnderlyingSymbol(), OptionDateString, OptionClass.PUT)))) then ATMCprice[1] else close(symbol = GetNextOTMOption(GetATMOption(GetUnderlyingSymbol(), OptionDateString, OptionClass.PUT)));


# Next ITM Prices

def ITMCprice = if isNaN(close(symbol = GetNextITMOption(GetATMOption(GetUnderlyingSymbol(), OptionDateString, OptionClass.CALL)))) then ITMCprice[1] else close(symbol = GetNextITMOption(GetATMOption(GetUnderlyingSymbol(), OptionDateString, OptionClass.CALL)));

def ITMPprice = if isNaN(close(symbol = GetNextITMOption(GetATMOption(GetUnderlyingSymbol(), OptionDateString, OptionClass.PUT)))) then ITMPprice[1] else close(symbol = GetNextITMOption(GetATMOption(GetUnderlyingSymbol(), OptionDateString, OptionClass.PUT)));


# AddLabels

AddLabel(show_itm_labels and IsOptionable(), "ITM Call: " + GetNextITMOption(GetATMOption(GetUnderlyingSymbol(), OptionDateString, OptionClass.CALL)) + " = " + AsDollars(ITMCprice), Color.GREEN);

AddLabel(show_itm_labels and IsOptionable(), "ITM Put: " + GetNextITMOption(GetATMOption(GetUnderlyingSymbol(), OptionDateString, OptionClass.PUT)) + " = " + AsDollars(ITMPprice), Color.GREEN);

AddLabel(show_atm_labels and IsOptionable(), "ATM Call: " + GetATMOption(GetUnderlyingSymbol(), OptionDateString, OptionClass.CALL) + " = $" + ATMCprice, Color.LIGHT_GRAY);

AddLabel(show_atm_labels and IsOptionable(), "ATM Put: " + GetATMOption(GetUnderlyingSymbol(), OptionDateString, OptionClass.PUT) + " = $" + ATMPprice, Color.LIGHT_GRAY);

AddLabel(show_otm_labels and IsOptionable(), "OTM Call: " + GetNextOTMOption(GetATMOption(GetUnderlyingSymbol(), OptionDateString, OptionClass.CALL)) + " = " + AsDollars(OTMCprice), Color.RED);

AddLabel(show_otm_labels and IsOptionable(), "OTM Put: " + GetNextOTMOption(GetATMOption(GetUnderlyingSymbol(), OptionDateString, OptionClass.PUT)) + " = " + AsDollars(OTMPprice), Color.RED);


# End Code Weekly Options
Click to expand...
ript
 
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DoQtorNo said:
I like this script. Is there a way to change the font text color to white on the OTM call labels? Any ideas how this can be used as a scan?

ript
Click to expand...
ToS does not allow the font text color to be changed.
The ToS Options Hacker Module doesn't allow the using of custom scripts to scan against options related data. We aren't allowed to use custom Thinkscript code in the Options Scanner. :(
 
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How to see increasing premium for a stock for option trade
Hi All,
I am not good in writing code, so I need help in creating a script or setup in ThinkAndSwim to know increasing premium for a stock so that i can play option.

Thanks,
BT
 
Last edited by a moderator:
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BullTrader said:
How to see increasing premium for a stock for option trade
Hi All,
I am not good in writing code, so I need help in creating a script or setup in ThinkAndSwim to know increasing premium for a stock so that i can play option.

Thanks,
BT
Click to expand...
The ToS Options Hacker Module doesn't allow the using of custom scripts to scan against options related data. We aren't allowed to use custom Thinkscript code in the Options Scanner. :(
 
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PickolastheMan said:
I'm trying to create a ThinkScript that will show Implied Volatility percent change from the day prior in the options chain. It doesn't have to be anything fancy, and doesn't even necessarily have to be in percent format. Please let me know if this is possible and how to do so.
Click to expand...
were u able to find something like this? have been looking also
 
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I would like to get in a chart bubble the atm call and put price at close prior to earning announcements, in order to see if there was a call or put bias in pricing. Can someone help me adapt Mobius's code above to do that?

Perhaps these lines from Modius's code above:
def ATMCprice = if isNaN(close(symbol = GetATMOption(GetUnderlyingSymbol(), OptionDateString,
OptionClass.CALL)))
then ATMCprice[1]
else close(symbol = GetATMOption(GetUnderlyingSymbol(), OptionDateString, OptionClass.CALL));)

can be inserted in the code below (found in another post):

def price = close;
def estimate = GetEstimatedEarnings();
def actual = GetActualEarnings();
def get_price = if estimate and actual then price else get_price[1];
def gain = (actual – estimate);

AddChartBubble(estimate, close, "Gap: " + (((open[-1] - close)/close)*100)+"% " + “Est: ” + estimate + “\nAct: ” + actual + (if gain <= 0 then "\nLoss: " else “\nGain: ”) + gain, if actual <= estimate then CreateColor(247, 25, 91) else CreateColor(25, 202, 247));

so that the bubble includes atm call and put prices.
 
Last edited:
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Chuck said:
This is sort of what you want, just needs a little work:

Code: 
# Weekly Options Implied Volatility Plotted intraday
# Mobius
# Chat Room Request
# 02.27.2016

declare Once_Per_Bar;

input series = 1;
input show_label = yes;
input Days_In_Contract = 0;
Assert(series > 0, "'series' must be positive: " + series);

def RTHopen = open(period = AggregationPeriod.Day);
def CurrentYear = GetYear();
def CurrentMonth = GetMonth();
def CurrentDOM = GetDayOfMonth(GetYYYYMMDD());
def Day1DOW1 = GetDayOfWeek(CurrentYear * 10000 + CurrentMonth * 100 + 1); # First DOM is this DOW
def FirstFridayDOM1 = if Day1DOW1 < 6
    then 6 - Day1DOW1
    else if Day1DOW1 == 6
         then 7
         else 6;

def SecondFridayDOM = FirstFridayDOM1 + 7;
def ThirdFridayDOM = FirstFridayDOM1 + 14;
def FourthFridayDOM = FirstFridayDOM1 + 21;
def RollDOM = FirstFridayDOM1 + 21; #14; changed to 21 to pick up all Fridays of the current month for weekly options
def ExpMonth1 = if RollDOM > CurrentDOM
    then CurrentMonth + series - 1
    else CurrentMonth + series;
def ExpMonth2 = if ExpMonth1 > 12
    then ExpMonth1 - 12
    else ExpMonth1;

def ExpYear = if ExpMonth1 > 12
    then CurrentYear + 1
    else CurrentYear;

def Day1DOW = GetDayOfWeek(ExpYear * 10000 + ExpMonth2 * 100 + 1);
def FirstFridayDOM = if Day1DOW < 6
    then 6 - Day1DOW
    else if Day1DOW == 6
         then 7
         else 6;

def ExpDOM = if currentDOM < FirstFridayDOM -1
    then FirstFridayDOM1
    else if between(currentDOM, FirstFridayDOM, SecondFridayDOM-1)
         then SecondFridayDOM
         else if between(currentDOM, SecondFridayDOM, ThirdFridayDOM-1)
              then ThirdFridayDOM
              else if between(currentDOM, ThirdFridayDOM, FourthFridayDOM-1)
                   then FourthFridayDOM
                   else FirstFridayDOM;

def NextFriday = DaysTillDate(ExpYear * 10000 + ExpMonth2 * 100 + ExpDOM);
def ExpirationDate = GetYYYYMMDD() + NextFriday;
def ExpData = (ExpirationDate / 1) + 1;
def yr = Round(GetYear() / 100, 0);
def yr2 = GetYear() - 2000;
def OptionDateString = ExpYear * 10000 + ExpMonth2 * 100 + ExpDOM + 1;
def ATMCprice = if isNaN(close(symbol = GetATMOption(GetUnderlyingSymbol(), OptionDateString, OptionClass.CALL)))

    then ATMCprice[1]

    else close(symbol = GetATMOption(GetUnderlyingSymbol(), OptionDateString, OptionClass.CALL));

def HPD = if Days_In_Contract == 0 #HPD = Holding Period Days

    then NextFriday

    else Days_In_Contract;

def t = HPD / 365;

def ClosedForm_IV_est = if isNaN(((ATMCprice[1] * Sqrt(2 * Double.Pi)) / (RTHopen * Sqrt(t))))
                        then ClosedForm_IV_est[1]
                        else ((ATMCprice * Sqrt(2 * Double.Pi)) / (RTHopen * Sqrt(t)));

def Intraday_IV = if ClosedForm_IV_est > 0 then ClosedForm_IV_est else double.nan;
def ImpMove = Round((close[1] * Intraday_IV / Sqrt(365)) / tickSize(), 0) * tickSize();
plot upper = RTHopen + ImpMove[1];
plot lower = RTHopen - ImpMove[1];

upper.SetStyle(Curve.Firm);
upper.SetDefaultColor(Color.Cyan);
lower.SetStyle(Curve.Firm);
lower.SetDefaultColor(Color.Cyan);

def ActualMove = close[1] - RTHopen;

AddLabel(show_label and IsOptionable(), "ATM Call option is " +          GetATMOption(GetUnderlyingSymbol(), OptionDateString, OptionClass.CALL) +         " Price = $" +           ATMCprice +        "  Intraday IV = " +           AsPercent(ClosedForm_IV_est) +       "  Implied Move = +- " +          AsDollars(ImpMove) +       "  Actual Move = " +          AsDollars(ActualMove)
, if close > RTHopen then color.GREEN else color.RED);

# End Code Weekly Options
Click to expand...
anyway to make one for puts? and the label in the script has option data ie: ATM call option and its price. I was wonder if it’s possible to also put the volume of that call on the label too
 
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Nikola said:
anyway to make one for puts? and the label in the script has option data ie: ATM call option and its price. I was wonder if it’s possible to also put the volume of that call on the label too
Click to expand...
I haven't work with this script or these functions but did you try changing all instances of OptionClass.CALL to OptionClass.PUT
The ToS data feeds do not include put and call volume.
 
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