Scan ATM Options more than 20% of current stock price & DTE greater 270

Nick

Active member
2019 Donor
VIP
Hi there, need some help to configure the Options Screen to perform the condition stated below.
These are the few steps that I hope the scanner can perform but I like to request for assistance if any customise script can be configured.

With my little knowledge, what i hope the scanner can do

Objective : To scan for list of stocks when the ATM strike has Mark Price is 20% more than current price with at least 270 DTE

1. Find Stock Price >$200 and DTE > 270, then
2. Get CURRENT stock price
3. Find stocks with DTE greater than 270
3. Use DTE > 270, get the AT-THE-MONEY (ATM) STRIKE Options, "Mark Price". It is impossible to get exact ATM STRIKE, so the desired ATM strike can be within 5% greater than the current price
4. Compare ATM Strike "Mark Price", if "Mark Price" greater than 20% of the current stock price - Pass
5. Generate list of stock that are passed.

evpiK5i.jpeg


Thanks
 
Last edited by a moderator:

rad14733

Well-known member
VIP
@Nick Most of what you are requesting can be done using standard scanner components... Have you gotten to the point of being close yet...??? The trickiest parts of this scenario is to get ATM options only as well as the 20% of underlying value... Can you post a screen shot of how far you've gotten...???
 

Nick

Active member
2019 Donor
VIP
@Nick Most of what you are requesting can be done using standard scanner components... Have you gotten to the point of being close yet...??? The trickiest parts of this scenario is to get ATM options only as well as the 20% of underlying value... Can you post a screen shot of how far you've gotten...???
@rad14733 Hi, thank you for your prompt reply.

VUdyDDR.jpeg


Yes, this is the scan I have tried to configure based on trial an error. It did manage to produce some scan results for the stock.
Then i have to manually check every single stock and verify is the ATM options strike and if the Mark Price is greater than 20% of the current price.

Just wondering there is anyway to further improve on it?

I have two qns,
1. When the Options setting for "% out of the money" is set to 10% what does it mean or tell the scanner to do?
2. When the Options setting for "bid" is set to $10, what does it tell the scanner to do?

This is because when I set the Bid price to $1, I get alot of results that are inaccurate...so far, $10 seems to provide the closest results I am searching.

Thank you
 

rad14733

Well-known member
VIP
@Nick Let's back up a bit here... Don't get too focused on the numbers when it comes to options... I've seen it far too many times... Percentage in or out to me means little... I'm far more concerned about Delta than anything, but perhaps my option trading style differs from yours... Let me ask what it is you're trying to accomplish with this information, as in your option trading strategy...??? There's no need bending code and data to our will if it doesn't accomplish anything... You overall logic process will dictate what you really need instead of what you think you want...
 
Last edited:

Nick

Active member
2019 Donor
VIP
@rad14733 Appreciate your guidance, sorry for this long post.....Let me share my thoughts

To put things in context, these are my considerations for the strategy
1. I am neutral to bullish on Stock A and this stock will likely to stay above the current price about 1 year from now.
2. I would like to collect premiums upfront, min 20% credits for this strategy
3. I would like reduce my trading activities by selling LONGER DTE
4. I would like to do a max of 3 trades of this kind that last for 1 year

So this is my strategy,
Outlook : Neutral to Bullish sentiments on the stock
Timeframe : About 1yr ( Longer DTE, reduce my trading activities for close monitoring)
PUT Strike : Sell ATM Put Strike
Min Premium Required : At least 20% of the current price
When to Sell PUT : When IV is HIGH

With my limited knowledge on the options scanner, I have tried to configure it to help me to find stock with high IV, DTE at least 270 but I do not know how to configure the scanner also find stocks that have premiums of more than 20% of the current stock price. That's why I started to trial an error by putting "% out of Money" or bid....

I also assumed that the "Mark Price" is the closest value we can use to determine if the ATM premiums is greater than 20% of the current price

Thus, I am also thinking how to write a short script that can scan the " Mark Price" and then compare to the Current price.

In sum, my strategy is to SELL ATM PUT options with DTE at least 270 and the premiums is more than 20% of the current price.

I am also aware that this strategy will limit my profit, which is currently kept at 20% of the current price and I am also not keen to buy LEAP because of time decay against me.

Looking forward for your reply.

Thank you
 

rad14733

Well-known member
VIP
@Nick I'll have to ponder this a bit before I can come up with a good strategy... I've never played around with long term option investing so I need to wrap my head around it... I've only ever done scalping, day trading, and swing trading of options... Looking at data out more than 45 - 60 days would be something new... I'll try to see what I can come up with but it might be a day or three... I'm still playing catch up on a few other things...
 

Nick

Active member
2019 Donor
VIP
@Nick I'll have to ponder this a bit before I can come up with a good strategy... I've never played around with long term option investing so I need to wrap my head around it... I've only ever done scalping, day trading, and swing trading of options... Looking at data out more than 45 - 60 days would be something new... I'll try to see what I can come up with but it might be a day or three... I'm still playing catch up on a few other things...
@rad14733 Thank you very much and appreciate your assistance.

I did try to check out the options chain "Mark % of underlying" but couldn't find a definition what this condition serves to do.
 

drfsnr

New member
Hi all,

I was wondering how I would write a script that uses the at the money option price to draw comparisons to stock attributes with custom DTE ranges.

Let's say I wanted the at the money option strike price to be a percentage of the underlying stock price? What would this look like? Any help is appreciated. I imagine it's fairly simple, getatmoption() < (.80 * close) but not exactly sure how to derive price from the getatmoption since that just gives the code for the option.
 

Similar threads

Top