Get price of option price at specific strike

T

thetradingfrog

New member
I am trying to pull the option bid price for a strike a given offset from the current underlying asset price.
For example if it is Monday November 14th and SPY is trading at 400 I would like to get the .SPY20221116C415 bid price.

Here is some code I have been trying to get working to display the price for the given option while looking at the SPY chart.

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


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 dow2 = GetDayOfWeek(GetYYYYMMDD());
AddLabel(yes, dow2, Color.GREEN);
def adjust = if dow2 < 3 or dow2 > 4 then 2 else 0;
def OptionDateString = ExpYear * 10000 + ExpMonth2 * 100 + ExpDOM - adjust;
def daysTill = DaysTillDate(OptionDateString);

def yyyy = Round(OptionDateString / 10000, 0);
def yy = Round((OptionDateString / 10000 - 2000), 0); # yy = 21
def mmdd = OptionDateString - 10000 * yyyy;
def mm = Round(mmdd / 100, 0);
def dd = mmdd - mm * 100;

AddLabel(yes, OptionDateString, Color.GREEN);
AddLabel(yes, "Days Till:" + daysTill, Color.GREEN);
AddLabel(yes, "Strike:" + (close + 15), Color.GREEN);


AddLabel(1, "Label Date = " +"20"+yy+mm+dd , Color.CYAN);
AddLabel(1, "OptionString = "+ ".SPY"+"20"+yy+mm+dd+"C"+Round(close("SPY") + 2,0), Color.CYAN);
def closeP = close(symbol = ".SPY+"+"20"+yy+mm+dd+"C"+Round(close("SPY")+2,0), priceType = PriceType.BID);
AddLabel(yes, "Option Price: " + closeP);
plot result = closeP;

I can't figure out how to get the price to actually work, I have tried several things and it is always N/A

Screenshot-from-2022-11-11-12-56-47.png


Any help is much appreciated. Thanks!
 
Solution
halcyonguy
thetradingfrog said:
I am trying to pull the option bid price for a strike a given offset from the current underlying asset price.
For example if it is Monday November 14th and SPY is trading at 400 I would like to get the .SPY20221116C415 bid price.

Here is some code I have been trying to get working to display the price for the given option while looking at the SPY chart.
I can't figure out how to get the price to actually work, I have tried several things and it is always N/A
Click to expand...


sometimes, the simplest mistakes trip you up
i missed this at first

the option symbol only needs 2 digits for a year.
hmm , still error...


i have seen where numbers may not work for option date.
so i changed the year variable to be one with a value directly derived...
Sort by date Sort by votes
thetradingfrog said:
I am trying to pull the option bid price for a strike a given offset from the current underlying asset price.
For example if it is Monday November 14th and SPY is trading at 400 I would like to get the .SPY20221116C415 bid price.

Here is some code I have been trying to get working to display the price for the given option while looking at the SPY chart.
I can't figure out how to get the price to actually work, I have tried several things and it is always N/A
Click to expand...


when things don't work, make it as simple as possible, then add formulas to see where it breaks.


AddLabel(1, "OptionString = "+ ".SPY"+"20"+yy+mm+dd+"C"+Round(close("SPY") + 2,0), Color.CYAN);

def closeP = close(symbol = ".SPY+"+"20"+yy+mm+dd+"C"+Round(close("SPY")+2,0), priceType = PriceType.BID);
AddLabel(yes, "Option Price: " + closeP);


closep is na , an error
the symbol displayed in the previous label, looks ok , but ...

sMevAhH.jpg


bypass all the formulas and try the simplest method for getting a price, a symbol in a watchlist.
go to a watchlist and type in the option symbol.

.SPY20221123C398
it doesn't work...


go to the trade tab and to the option chain,
right click on a call bid price.
look at the symbol that is displayed, it has 2 digits for the year.


your option symbol has 4 digits for the year instead of 2.



jOFghQV.jpg


get an option symbol
TRADE > OPTION CHAIN
right click on a BID price
copy the symbol
 
Upvote 0 Downvote
thetradingfrog said:
I am trying to pull the option bid price for a strike a given offset from the current underlying asset price.
For example if it is Monday November 14th and SPY is trading at 400 I would like to get the .SPY20221116C415 bid price.

Here is some code I have been trying to get working to display the price for the given option while looking at the SPY chart.
I can't figure out how to get the price to actually work, I have tried several things and it is always N/A
Click to expand...


sometimes, the simplest mistakes trip you up
i missed this at first

the option symbol only needs 2 digits for a year.
hmm , still error...


i have seen where numbers may not work for option date.
so i changed the year variable to be one with a value directly derived from year(). yr2

i added formulas at the end, sequentually changing 1 thing at a time.
it appeared to be working.....

then i looked back up at the code again, i noticed....


there is a + within the quotes
".spy+" +



def closeP = close(symbol = ".SPY+" + yr2 + mm + dd + "C"+Round(close("SPY")+2,0), priceType = PriceType.BID);
AddLabel(yes, "Option Price: " + closeP, color.yellow);


Code: 
# get_option_price_00


# https://usethinkscript.com/threads/get-price-of-option-price-at-specific-strike.13332/
# Get price of option price at specific strike
# thetradingfrog  Nov 11, 2022

#I am trying to pull the option bid price for a strike a given offset from the current underlying asset price.
#For example if it is Monday November 14th and SPY is trading at 400 I would like to get the .SPY20221116C415 bid price.

#Here is some code I have been trying to get working to display the price for the given option while looking at the SPY chart.

#I can't figure out how to get the price to actually work, I have tried several things and it is always N/A



# test with 12/16


#--------------------------------------------------

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


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 dow2 = GetDayOfWeek(GetYYYYMMDD());
#AddLabel(yes, dow2, Color.GREEN);
def adjust = if dow2 < 3 or dow2 > 4 then 2 else 0;
def OptionDateString = ExpYear * 10000 + ExpMonth2 * 100 + ExpDOM - adjust;
def daysTill = DaysTillDate(OptionDateString);

def yyyy = Round(OptionDateString / 10000, 0);
def yy = Round((OptionDateString / 10000 - 2000), 0); # yy = 21
def mmdd = OptionDateString - 10000 * yyyy;
def mm = Round(mmdd / 100, 0);
def dd = mmdd - mm * 100;


input strike_offset = 15;

AddLabel(yes, "DOW " + dow2, Color.GREEN);
AddLabel(yes, "date " + OptionDateString, Color.GREEN);
AddLabel(yes, "Days Till: " + daysTill, Color.GREEN);
AddLabel(yes, "close + off , Strike: " + (close + strike_offset), Color.GREEN);


#AddLabel(1, "Label Date = " +"20"+yy+"/"+mm+"/"+dd , Color.CYAN);
#AddLabel(1, "OptionString = "+ ".SPY"+"20"+yy+mm+dd+"C"+Round(close("SPY") + 2,0), Color.CYAN);

AddLabel(1, "Label Date = " + yy+"/"+mm+"/"+dd , Color.CYAN);
#AddLabel(1, "OptionString = "+ ".SPY"+yy+mm+dd+"C"+Round(close("SPY") + 2,0), Color.CYAN);

# yr2
AddLabel(1, "OptionString = "+ ".SPY"+ yr2 + mm+dd+"C"+Round(close("SPY") + 2,0), Color.CYAN);


#def closeP = close(symbol = ".SPY+"+"20"+yy+mm+dd+"C"+Round(close("SPY")+2,0), priceType = PriceType.BID);

# doesnt work
#def closeP = close(symbol = ".SPY+"+yy+mm+dd+"C"+Round(close("SPY")+2,0), priceType = PriceType.BID);
#AddLabel(yes, "Option Price: " + closeP);


# yr2
# error    + is within the quotes
def closeP = close(symbol = ".SPY+" + yr2 + mm + dd + "C"+Round(close("SPY")+2,0), priceType = PriceType.BID);
AddLabel(yes, "Option Price: " + closeP, color.yellow);

def s = Round(close("SPY")+2,0);
addlabel(1, "strike " + s, color.yellow);

# error
def closeP2 = close(symbol = (".SPY" + yr2 + mm + dd + "C" + s), priceType = PriceType.BID);
AddLabel(yes, "Option Price: " + closeP2, color.yellow);

# error
def closeP3 = close(symbol = (".SPY" + yr2 + mm + dd + "C" + s));
AddLabel(yes, "Option Price: " + closeP3, color.yellow);



#plot result = closeP;

#def x = close(symbol = ".SPY20221123C398", priceType = PriceType.BID);

# symbol is bad , doesn't work in watchlist , wed 
#def x = close(symbol = ".SPY20221123C398");



# this works
# monday
#def x = close(symbol = ".SPY221128C398");
#   .SPY221128C398


#def x = close(symbol = ".SPY221123C398", priceType = PriceType.BID);

addlabel(1, " ", color.black);
# this works
def x = close(symbol = ".SPY221123C398", priceType = PriceType.BID);
addlabel(1, x, color.magenta);

# ok
def x2 = close(symbol = ".SPY" + yr2+ "1123C398", priceType = PriceType.BID);
addlabel(1, x2, color.magenta);

# ok
def x3 = close(symbol = ".SPY" + yr2 + mm + "23C398", priceType = PriceType.BID);
addlabel(1, x3, color.magenta);

# ok
def x4 = close(symbol = ".SPY" + yr2 + mm + dd + "C398", priceType = PriceType.BID);
addlabel(1, x4, color.magenta);

# ok with a constant for strike
def h = 398;
def x5 = close(symbol = ".SPY" + yr2 + mm + dd + "C" + h, priceType = PriceType.BID);
addlabel(1, x5, color.magenta);


# def s = Round(close("SPY")+2,0);
def x6 = close(symbol = ".SPY" + yr2 + mm + dd + "C" + s, priceType = PriceType.BID);
addlabel(1, x6, color.magenta);
#
 
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