Scan for option contracts which lose 75% of their value or higher within a day

[Blazer990]

The title explains most of it. Basically I want to scan for option contracts that lose 75% (or higher) of their value in a single day.

Ex: I was following $CSIQ this week and noticed that the $45 calls opened at 1.00 and were trading at 0.15 2 hours later. Although it only dropped to that level for a brief moment... I'd Ideally want to capture it for some kind of strategy.

I've been messing around with OptionPrice to try to do this but have had zero success. Any help would be appreciated.

 

[rad14733]

@Blazer990 That's the nature of options based on The Greeks... I've seen options fluctuate many multiples throughout a single trading day... SPY options was a good example yesterday... In order for a scan to produce worthwhile results there are multiple criteria that would need to be taken into consideration... I have a watchlist for options that updates based on a custom scan that provides we potential option scalps at a glance... It doesn't use percentages though, just an assortment of criteria... I can post an image of the Option Hacker Scan panel if interested...

 

[Blazer990]

@Blazer990 That's the nature of options based on The Greeks... I've seen options fluctuate many multiples throughout a single trading day... SPY options was a good example yesterday... In order for a scan to produce worthwhile results there are multiple criteria that would need to be taken into consideration... I have a watchlist for options that updates based on a custom scan that provides we potential option scalps at a glance... It doesn't use percentages though, just an assortment of criteria... I can post an image of the Option Hacker Scan panel if interested...

@rad14733 I'm interested in seeing the criteria on your scanner. Thanks for the help!

 

[rad14733]

@rad14733 I'm interested in seeing the criteria on your scanner. Thanks for the help!

@Blazer990 Here is the scan I was playing with on Friday...

The Scan In entry for this scan, Optionable, is the same Watchlist I use for my other option scan based on roughly 20 symbols at this time... Notice how I specified to only include SPY in the Custom Study entry which further filters the Watchlist in the Scan In entry...

Also notice how I specified both Call and Put Deltas in the lower section... Positive Deltas are for Calls and negative Deltas are for Puts...

All other criteria are subjective based on personal preferences... I always want at least 1,000 Open Interests and at least a short term Volume of 1,000 contracts traded... Last Price and Days To Expiration are adjusted based on what I am looking for...

This being Sunday morning the scan only returned 2 results while on Friday it was returning 12 - 17 during active trading hours... I hope this is helpful...

 

[Sammy800]

The title explains most of it. Basically I want to scan for option contracts that lose 75% (or higher) of their value in a single day.

Ex: I was following $CSIQ this week and noticed that the $45 calls opened at 1.00 and were trading at 0.15 2 hours later. Although it only dropped to that level for a brief moment... I'd Ideally want to capture it for some kind of strategy.

I've been messing around with OptionPrice to try to do this but have had zero success. Any help would be appreciated.

What kind of other stocks do you use in this scan setup. What code do you use to filter for the other set of optionable stocks? Thanks

 

[Blazer990]

What kind of other stocks do you use in this scan setup. What code do you use to filter for the other set of optionable stocks? Thanks

I don't have a particular subset of stocks I look at but I use a stock + option filters to find unusual option activity. $CSIQ just happened to be one of the scanner results from last week.