How to automatically find ATM strike prices

[unkn0wn]

I need to find out if thinkscripts can make automatic trades for both iron condor and straddles that automatically find ATM strike prices.

Since ATM option strike prices can constantly change, is there a way the script can automatically find the ATM strike price and use its value for a trade instead of a set value?

 

[MerryDay]

I need to find out if thinkscripts can make automatic trades for both iron condor and straddles that automatically find ATM strike prices.

Since ATM option strike prices can constantly change, is there a way the script can automatically find the ATM strike price and use its value for a trade instead of a set value?

But the ToS platform cannot make automatic trades. Read more:
https://usethinkscript.com/threads/...rders-in-thinkorswim.15540/page-3#post-126271

 

[quantumomegallc]

But the ToS platform cannot make automatic trades. Read more:
https://usethinkscript.com/threads/...rders-in-thinkorswim.15540/page-3#post-126271

I have a similar need to find the ATM strike of "SPX" while plotting the SPXW options volume*price on SPY. I don't need it to make the trades, i just need it to return the ATM Strike. If there isn't an easy way I'll look at OptionsHacker and use the "Centerstrike" code...messy but should get it done.

 

[Intrinsic Knowledge]

I have a similar need to find the ATM strike of "SPX" while plotting the SPXW options volume*price on SPY. I don't need it to make the trades, i just need it to return the ATM Strike. If there isn't an easy way I'll look at OptionsHacker and use the "Centerstrike" code...messy but should get it done.

I think you can try the "floor (close)". It will always return to ATM.

 

[Glefdar]

I think you can try the "floor (close)". It will always return to ATM.

Can you elaborate? I have problems with the GetATMOption function being too unstable to produce a consistent plot when it's used on an equities or futures chart. In other words, the plot appears and disappears as if the value returned by the GetATMOption function is not retained in a persistent or stable fashion, even when the code should be storing it recursively. Are you aware of a workaround to this problem for getting the ATM option contract's close price, or is your workaround only getting the ATM strike price?

 

[RajB]

I have a similar need to find the ATM strike of "SPX" while plotting the SPXW options volume*price on SPY. I don't need it to make the trades, i just need it to return the ATM Strike. If there isn't an easy way I'll look at OptionsHacker and use the "Centerstrike" code...messy but should get it done.

This will be a close approximation to start with. It is possible to check if the close is above/below strike and may be selective to use different values for puts versus calls. I didn't study TOS on how it changes ATM during the live market. If someone made notes around edge value (say price is 4557.5, exactly between 2 strikes), please share.

Sample output from running now.

# 12/02/2023 Raj B, initial code to calculate ATM Strike

# calculated ATMStrike
input strikeDistance = 5; # change this value based on symbol , 5 for SPX, 1 for SPY etc.
def c = close(symbol = GetUnderlyingSymbol());
plot ATMStrike = Round(C/StrikeDistance, 0) * strikeDistance;

# comparison code
input expirationDate = 20231205; # use +1 day, a value for 20231205 refers to .SPXW231204 option
AddLabel(IsOptionable(), "ATM Call option is " + GetATMOption(GetUnderlyingSymbol(), expirationDate, OptionClass.CALL), Color.Gray);
AddLabel(IsOptionable(), "ATM Put option is " + GetATMOption(GetUnderlyingSymbol(), expirationDate, OptionClass.PUT),  Color.Gray);
AddLabel(yes , ATMStrike , Color.Gray);

 

[Intrinsic Knowledge]

Can you elaborate? I have problems with the GetATMOption function being too unstable to produce a consistent plot when it's used on an equities or futures chart. In other words, the plot appears and disappears as if the value returned by the GetATMOption function is not retained in a persistent or stable fashion, even when the code should be storing it recursively. Are you aware of a workaround to this problem for getting the ATM option contract's close price, or is your workaround only getting the ATM strike price?

input optionSeriesPrefix = ".QQQ231204";
def strike = floor(close);
def putOptionClose = if IsNaN(close(Concat(optionSeriesPrefix, Concat("P", strike)))) then 0 else close(Concat(optionSeriesPrefix, Concat("P", strike)));

This will always return the 0DTE ATM put option close contract for today. All the best!

 

[Glefdar]

input optionSeriesPrefix = ".QQQ231204";
def strike = floor(close);
def putOptionClose = if IsNaN(close(Concat(optionSeriesPrefix, Concat("P", strike)))) then 0 else close(Concat(optionSeriesPrefix, Concat("P", strike)));

This will always return the 0DTE ATM put option close contract for today. All the best!

Thank you for suggesting this workaround, it makes sense. If I want to get the ATM option price for SPX then I am assuming I'd use (Round( (close(symbol="SPX") / 5), 0) * 5) instead of the floor function. I will give this a try today. All the best.