pull back option data

[mikemoewill]

How can I pull back option data for a stock that falls within the range of specific delta price? For instance, Looking at SPY after 45 minutes from the opening bell if the price crosses above 562, what is the call option closest to .15 delta within the range of .10 and .14 delta? I want to print this value on the chart but only when both conditions are meet.

So far I only see the following functions: Delta, GetATMOption, GetNextITMOption, GetNextOTMOption, OptionPrice.

I am looking for similar functionality of what the user is describing here:
https://usethinkscript.com/threads/...used-in-thinkorswim.13822/page-14#post-144456

How can I pull back option data that matches a specific delta criteria. I am testing this in the OnDemand feature in TOS. For example, looking at SPX, for August 28, 2024 from the opening bell, I am looking to find the first OTM option call with a delta between .9 and .15 not including the endpoints.

I know how to get the current ATM call option and the Next OTM call option, but am looking for a for loop that can iterate up the option ladder to find an option that meets the delta criteria. Currently, I have not found a way to use Delta to pull back the data for the ATM call option or Next OTM call option to compare the results and traverse through the loop.

Any help would be appreciated.

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MOD edit
did you mean this link #273
https://usethinkscript.com/threads/...used-in-thinkorswim.13822/page-14#post-143763

 

[useThinkScript]

How can I pull back option data for a stock that falls within the range of specific delta price? For instance, Looking at SPY after 45 minutes from the opening bell if the price crosses above 562, what is the call option closest to .15 delta within the range of .10 and .14 delta? I want to print this value on the chart but only when both conditions are meet.

So far I only see the following functions: Delta, GetATMOption, GetNextITMOption, GetNextOTMOption, OptionPrice.

I am looking for similar functionality of what the user is describing here:
https://usethinkscript.com/threads/...used-in-thinkorswim.13822/page-14#post-144456

How can I pull back option data that matches a specific delta criteria. I am testing this in the OnDemand feature in TOS. For example, looking at SPX, for August 28, 2024 from the opening bell, I am looking to find the first OTM option call with a delta between .9 and .15 not including the endpoints.

I know how to get the current ATM call option and the Next OTM call option, but am looking for a for loop that can iterate up the option ladder to find an option that meets the delta criteria. Currently, I have not found a way to use Delta to pull back the data for the ATM call option or Next OTM call option to compare the results and traverse through the loop.

Any help would be appreciated.

Unfortunately, no.

It is not possible to build a loop that can iterate up the option ladder to scan for an option that meets the delta criteria.

Here is what is available:
https://usethinkscript.com/threads/options-scan-hacker-in-thinkorswim.5114/

 

[rewardiaz]

How can I pull back option data for a stock that falls within the range of specific delta price? For instance, Looking at SPY after 45 minutes from the opening bell if the price crosses above 562, what is the call option closest to .15 delta within the range of .10 and .14 delta? I want to print this value on the chart but only when both conditions are meet.

So far I only see the following functions: Delta, GetATMOption, GetNextITMOption, GetNextOTMOption, OptionPrice.

I am looking for similar functionality of what the user is describing here:
https://usethinkscript.com/threads/...used-in-thinkorswim.13822/page-14#post-144456

How can I pull back option data that matches a specific delta criteria. I am testing this in the OnDemand feature in TOS. For example, looking at SPX, for August 28, 2024 from the opening bell, I am looking to find the first OTM option call with a delta between .9 and .15 not including the endpoints.

I know how to get the current ATM call option and the Next OTM call option, but am looking for a for loop that can iterate up the option ladder to find an option that meets the delta criteria. Currently, I have not found a way to use Delta to pull back the data for the ATM call option or Next OTM call option to compare the results and traverse through the loop.

Any help would be appreciated.

A work around is using "Watchlist Gadgets", please follow these steps.

1 - Create a Watchlist and only add "SPY" (I called mine "SCALP")
2 - Create scan query (Option Hacker) ...
a. Use the below settings:

Scan in: SCALP
Open Interest: Up to you.
Delta min: 10 (or whatever)
Delta max: 15 (or whatever)
Date to exp: blank to whatever

then create a gatget and will look like this. (Gatgets refresh is a bit slow between 3 to 5 min)

 

[mikemoewill]

The option hacker, for some reason, does not pull back data for 0DTE options. So, it does not appear to provide me the information I need for current day trading.

Is there a way using the option code on a chart to pull back the actual data provided in the option chain? For example if I have the option code .SPXW2409165565, can I use this code to grab the delta?

I have been able to use the following script to pull back an approximate delta, but it is not accurate because the IV value won't update like the delta does:

def expirationDate = GetYYYYMMDD();
def epsilon = 0.01 * close(getunderlyingSymbol());
def yield = 0.0;
def interest_rate = 0.0;
def DTE = DaysTillDate(expirationDate)+1;
def StockPrice = close(getUnderlyingSymbol());
def CenterStrike = RoundUp((StockPrice / 5), 0) * 5;

script getIV {
    input a = 0;
    def IV = imp_volatility(getUnderlyingSymbol());
    plot getIV = if isNaN (imp_volatility(getUnderlyingSymbol())) then IV[1] else IV;
}

def IV = getIV(expirationDate);

script getDelta {
    input a = 0;
    input b = 0;
    input c = 0;
    input d = 0;
    input e = 0;
    input f = 0;
    input g = 0;
    input h = 0;
    plot getDelta = (OptionPrice(h, no, DaysTillDate(a)+1, g, f, no, c, d) - OptionPrice(h + b, no, DaysTillDate(a)+1, g, f, no, c, d))/b;
}

def Delta = getDelta(expirationDate, epsilon, yield, interest_rate, DTE, IV2, StockPrice, CenterStrike);

AddLabel (yes, "Delta Approximate " + Delta);
AddLabel (yes, "IV " + IV);
addlabel (yes, "DTE " + DTE);

Is there anyway to get the IV value to update with each bar? Am I missing something in my code. Why does the built in function Delta not work on the symbol's chart?