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

Blazer990

New member
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.
 
Last edited:
@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...
 

Join useThinkScript to post your question to a community of 21,000+ developers and traders.

@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 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...

n83ro8m.png
 
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
 
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.
 

Similar threads

Not the exact question you're looking for?

Start a new thread and receive assistance from our community.

87k+ Posts
261 Online
Create Post

Similar threads

Similar threads

The Market Trading Game Changer

Join 2,500+ subscribers inside the useThinkScript VIP Membership Club
  • Exclusive indicators
  • Proven strategies & setups
  • Private Discord community
  • ‘Buy The Dip’ signal alerts
  • Exclusive members-only content
  • Add-ons and resources
  • 1 full year of unlimited support

Frequently Asked Questions

What is useThinkScript?

useThinkScript is the #1 community of stock market investors using indicators and other tools to power their trading strategies. Traders of all skill levels use our forums to learn about scripting and indicators, help each other, and discover new ways to gain an edge in the markets.

How do I get started?

We get it. Our forum can be intimidating, if not overwhelming. With thousands of topics, tens of thousands of posts, our community has created an incredibly deep knowledge base for stock traders. No one can ever exhaust every resource provided on our site.

If you are new, or just looking for guidance, here are some helpful links to get you started.

What are the benefits of VIP Membership?
VIP members get exclusive access to these proven and tested premium indicators: Buy the Dip, Advanced Market Moves 2.0, Take Profit, and Volatility Trading Range. In addition, VIP members get access to over 50 VIP-only custom indicators, add-ons, and strategies, private VIP-only forums, private Discord channel to discuss trades and strategies in real-time, customer support, trade alerts, and much more. Learn all about VIP membership here.
How can I access the premium indicators?
To access the premium indicators, which are plug and play ready, sign up for VIP membership here.
Back
Top