Get OI and IV from Option Contract

[Flexo]

I modifed a script I found on this forum and I am trying to get IV and OI of a Option.

I can see in ToS that the IV changes with every Strike whereas I can only get it to give me the IV from GetUnderlyingSymbol(), which remains the same no matter the strike
.
I'm also only able to see N/A for Open Interest most of the time.

Someone know how to correctly get the IV and OI for each bar when limited to a specific Option Contract?

declare upper;
declare once_per_bar;

input startTime = 930;
input endTime = 1600;

def adjStartTime = startTime;# - 1;
def adjEndTime = endTime;# - 1;

def agg = GetAggregationPeriod();

# we use a 1 bar offset to get orders to line up, so adjust for that here
def marketOpen = if agg >= AggregationPeriod.DAY then 1 else if SecondsTillTime(adjEndTime) >= 60 and SecondsFromTime(adjStartTime) >= -60 then 1 else 0;

def open_int = open_interest();
def imp_vol = imp_volatility(GetUnderlyingSymbol());

AddOrder(OrderType.BUY_TO_OPEN, marketOpen, low, 1, Color.WHITE, Color.WHITE,
name = "SOHLCP|"+GetSymbol()+"|"+open_int[-1]+"|"+imp_vol[-1]);

AddOrder(OrderType.SELL_TO_CLOSE, marketOpen, high, 1, Color.WHITE, Color.WHITE);

 

[halcyonguy]

I modifed a script I found on this forum and I am trying to get IV and OI of a Option.

I can see in ToS that the IV changes with every Strike whereas I can only get it to give me the IV from GetUnderlyingSymbol(), which remains the same no matter the strike
.
I'm also only able to see N/A for Open Interest most of the time.

Someone know how to correctly get the IV and OI for each bar when limited to a specific Option Contract?

declare upper;
declare once_per_bar;

input startTime = 930;
input endTime = 1600;

def adjStartTime = startTime;# - 1;
def adjEndTime = endTime;# - 1;

def agg = GetAggregationPeriod();

# we use a 1 bar offset to get orders to line up, so adjust for that here
def marketOpen = if agg >= AggregationPeriod.DAY then 1 else if SecondsTillTime(adjEndTime) >= 60 and SecondsFromTime(adjStartTime) >= -60 then 1 else 0;

def open_int = open_interest();
def imp_vol = imp_volatility(GetUnderlyingSymbol());

AddOrder(OrderType.BUY_TO_OPEN, marketOpen, low, 1, Color.WHITE, Color.WHITE,
name = "SOHLCP|"+GetSymbol()+"|"+open_int[-1]+"|"+imp_vol[-1]);

AddOrder(OrderType.SELL_TO_CLOSE, marketOpen, high, 1, Color.WHITE, Color.WHITE);

code examples that read open interest for many strikes.
take a look at this post67, and the other posts in this thread
https://usethinkscript.com/threads/option-heatmap-and-oi-strikes.10664/page-4#post-94445



===============
EDIT 3/2
some posts have been changed around in the thread.
post #1 now has the current version.
https://usethinkscript.com/threads/option-heatmap-and-oi-strikes.10664/

===============

 

[tatl]

bump. i would love to know how to get IV for a specific option contract symbol in thinkscript. has anyone ever done it through solving for it using black scholes type stuff?

i dont think the link halcyon guy provided above has anything about IV.