Specific Delta Strike Price Variable

[Green Trades]

Hello, here is one for the experts. There are some sharp individuals in this forum, so something tells me you will nail this one easily:

As part of a Study that I am building, I wish to define two variables with the strike prices at two user-input selected deltas (one for call; one for put)

Notes:
1) If there is no exact match for the user-selected delta in the options chain, then the strike for the next lower delta would be selected for the variable.

2) Sometimes, a delta will be repeated in the options chain. In this case I wish to select the strike for the matching delta that is furthest from ATM.

I hope this makes sense. Please help if possible. Thank you.

 

[rad14733]

@Green Trades That's somewhat of a tall order there... I'm not sure that there is an eloquent way to look up Strike Prices in an Option Chain based on Delta and do all of those comparisons from within a Study Script... The TOS platforms Option lookup capabilities are somewhat limited...

Here is a list of Option related Functions:

• Delta Gamma
• GetATMOption
• GetDaysToExpiration
• GetNextExpirationOption
• GetNextITMOption
• GetNextOTMOption
• GetStrike
• GetUnderlyingSymbol
• IsEuropean
• IsOptionable
• IsPut
• OptionPrice
• Rho
• Theta
• Vega

The Functions with Get prepended are what we would access contracts with, therefore we would need to iterate through the vast number of Option Strikes, manage to access the Delta and current price, etc... Not to mention different expiration dates... And also the fact that under extreme loads the platform doesn't update labels from Option Queries in a timely fashion...

To be honest, it's easier to just view the Option Chain or to use a filtered Watchlist, which is what I do to select the right-sized contract for my needs based on Price, Delta, and OpenInterests... It only takes a quick glance for me to switch contracts as underlying price moves up or down...

While we appreciate your flattery of our capabilities, this request would be difficult at best, and perhaps impossible to provide... Personally, I'll stick with what I know works...