Options: Buying and Selling At-The-Money Option In Strategy?

[Internet Name]

Is it possible to have a strategy buy and sell an ATM option rather than shares of stock? I couldn't find anything in the documentation.

 

[IsItPossible]

You cannot code options into strategy, however you can use a workaround (very tedious to code), as any entry and exit will be based on some price action. You can certainly identify ATM option price at those price points and display using label or chart bubble, good luck!

 

[halcyonguy]

Wondering if it's possible to program the strategy feature to buy an ATM option to and backtest its performance rather than just simply 1 share of stock. I'm aware that something similar can be done under the thinkback feature, but I don't believe you can program strategies in the thinkback feature.

Edit: When I say strategy, I mean the strategy feature inside the studies tab where you backtest things. Not just a general strategy.

a strategy will run on a chart symbol. so if an option symbol is entered into the symbol field, then a strategy will run on it.
i added a cisco option symbol to my watchlist and selected it.
.CSCO220121C60
i added the strategy below to the chart and it signaled buys and sells.


if you want to enter a stock symbol, and have a strategy run on an option of the stock, maybe it would work? i haven't tried this.
you would have to
. replace open[-1]
. with open( option symbol )[-1]

#  test_option_strategy_0

#https://usethinkscript.com/threads/zigzag-high-low-with-supply-demand-zones-for-thinkorswim.172/#post-7048
# robert

# define swing high and low points
input length = 10;
def bn = BarNumber();
def lastBar = HighestAll(if IsNaN(close) then 0 else bn);
def offset = Min(length - 1, lastBar - bn);

def swingLo = low < Lowest(low[1], length - 1) and low == GetValue(Lowest(low, length), -offset);
def swinghi = high > highest(high[1], length - 1) and high == GetValue(highest( high, length), -offset);

input verify_signals = no;
addverticalline(verify_signals  and swinglo, "low", color.red);
addverticalline(verify_signals  and swinghi, "hi", color.green);

def buy = swinglo;
def sell = swinghi;

input order_size = 1;

addOrder(OrderType.BUY_TO_OPEN, buy, open[-1], order_size, color.green, color.green, "buy");

addOrder(OrderType.SELL_TO_CLOSE, sell, open[-1], order_size, color.red, color.red, "sell");

# AddOrder ( int type, IDataHolder condition, IDataHolder price, IDataHolder tradeSize, CustomColor tickColor, CustomColor arrowColor, String name);   
#
#

if you want to test the profitability of a strategy on an option, maybe your strategy could be changed into a study, and add a profit/loss study added to the end of it.
this assumes your code has the ATM symbol.

here is a profit/loss study i made.
https://usethinkscript.com/threads/label-with-information-related-to-strategy.7902/#post-75825
the code would be copied to the end of your study.
then the following formulas would be changed to = your buy and sell signals.
close would have to be changed to = the option close, close( option symbol )

def long_open = 0;
def short_open = 0;
def long_close = short_open;
def short_close = long_open;



maybe this study can be altered to generate the desired option data
https://usethinkscript.com/threads/capture-option-chain-data-via-thinkscript.3871/#post-42708
# Weekly Options Implied Volatility Plotted intraday
# Mobius
# Chat Room Request
# 02.27.2016

https://tlc.thinkorswim.com/center/reference/thinkScript/Functions/Others/AddOrder

 

[Internet Name]

Thanks Halcy. I found a workaround that works good enough for what I'm trying to do.
- I went to Trade -> All Products (it could probably also be done under the Analyze tab).
- On the Trade grid, I turned on 2 columns and as many rows as possible. Then shrunk all the bottom grids and expanded the top 2 as tall as they could go.
- On the right grid, I have the stock with the strategy I want to look at.
- Then on the left grid, I can enter in whichever option I want to look at. The option chain doesn't have any past expiration dates, but you can still pull up past expirations as long as you enter the long form option string name in the ticker box. I have a separate strategy on the option chart where I can just tell it what date and time to buy and sell, and it will tell me what the profit/loss would've been.

So all I have to do is just figure out when the strategy wanted to buy and sell the ATM option, and then manually input it into the option grid on the left. I can give the codes I'm using if anyone is interested.

It's not going to answer a question like "what is my profit if I buy an ATM call option when the price goes above premarket high over a 90 day period", but it does a pretty good job at isolated day trades. The only issue I'm seeing so far is that the Bid/Ask data is a bit spotty. But the midpoint price still works.

 

[michalg95]

http://tos.mx/NLMLRwo

Make sure you update the right hand chart to the call/Put you want.

Buy call on the 2 min when 5 min 9 & 3 SMA crosses. Sell on exhaustion.

 

[AlphaOptions]

Buy call on the 1 min when 5 min 9 & 3 SMA crosses. Sell on exhaustion.

Michalg are there share links for these studies? I would like to try the upper and lower studies if possible?

 

[michalg95]

Michalg are there share links for these studies? I would like to try the upper and lower studies if possible?

http://tos.mx/NLMLRwo

Make sure you update the right hand chart to the call/Put you want.

 

[AlphaOptions]

http://tos.mx/NLMLRwo

Make sure you update the right hand chart to the call/Put you want.

Thank you!

 

[barbaros]

Thanks Halcy. I found a workaround that works good enough for what I'm trying to do.
- I went to Trade -> All Products (it could probably also be done under the Analyze tab).
- On the Trade grid, I turned on 2 columns and as many rows as possible. Then shrunk all the bottom grids and expanded the top 2 as tall as they could go.
- On the right grid, I have the stock with the strategy I want to look at.
- Then on the left grid, I can enter in whichever option I want to look at. The option chain doesn't have any past expiration dates, but you can still pull up past expirations as long as you enter the long form option string name in the ticker box. I have a separate strategy on the option chart where I can just tell it what date and time to buy and sell, and it will tell me what the profit/loss would've been.

So all I have to do is just figure out when the strategy wanted to buy and sell the ATM option, and then manually input it into the option grid on the left. I can give the codes I'm using if anyone is interested.

It's not going to answer a question like "what is my profit if I buy an ATM call option when the price goes above premarket high over a 90 day period", but it does a pretty good job at isolated day trades. The only issue I'm seeing so far is that the Bid/Ask data is a bit spotty. But the midpoint price still works.

Curious what your slope degree is.

 

[huab]

How to get the ATM call price for the previous week open ? and will it extract the previous week date automatically, or there is no other way than manually type it -every week- ?

 

[MerryDay]

How to get the ATM call price for the previous week open ? and will it extract the previous week date automatically, or there is no other way than manually type it -every week- ?

Does this help? https://usethinkscript.com/threads/...the-money-option-in-strategy.9180/#post-84758

 

[Internet Name]

Curious what your slope degree is.

https://usethinkscript.com/threads/how-to-find-slope-of-line-in-thinkorswim.8936/

The horizontal lines on it are standard deviation levels. Haven't found them very useful though since you are limited to 2,000 prior candles.

 

[rlove1221]

http://tos.mx/NLMLRwo

Make sure you update the right hand chart to the call/Put you want.

Buy call on the 2 min when 5 min 9 & 3 SMA crosses. Sell on exhaustion.

hello, Does this work for longer times ?for example on swing trade timeframe

 

[michalg95]

hello, Does this work for longer times ?for example on swing trade timeframe

Yeah just play around with it. Make sure the timeframes go together though

 

[rlove1221]

Yeah just play around with it. Make sure the timeframes go together though

like Daily & 4hrs on the split ?

 

[michalg95]

like Daily & 4hrs on the split ?

There would be less entries on Daily.. But yeah any timeframe!

For instance, this was yesterdays scalp. Looking forward to increase my number of contracts.

 

[rlove1221]

like Daily & 4hrs on the split ?

Great! been playing around with it just to make sure I have it correct, you didn’t add the 3&9 sma’s in your link unless I missed something

 

[michalg95]

Great! been playing around with it just to make sure I have it correct, you didn’t add the 3&9 sma’s in your link unless I missed something

Sorry! You should prepare for an entry short or long depending on whether they cross. I added the SMA below.

http://tos.mx/bgpa3LB

 

[AlphaOptions]

Sorry! You should prepare for an entry short or long depending on whether they cross. I added the SMA below.

http://tos.mx/bgpa3LB

Thanks for all you have shared here so far. What in your plan of action when the non-colored (black) bars appear?

 

[michalg95]

Thanks for all you have shared here so far. What in your plan of action when the non-colored (black) bars appear?

Happy to help! Black means neutral so you should anticipate a trend change to either the up or downside. On my chart it’s supposed to be yellow not black though.

It’s the slim ribbon study though.

https://usethinkscript.com/threads/slim-ribbon-indicator-for-thinkorswim.245/