SPX Option Volume Charting

[jayn1321]

Hi All,

I noticed that SPX options data, particularly volume, cannot be charted on a standard SPX chart. I understand SPX is not traded, thus there is no volume, but it seems like TOS blocks any language related to volume on a SPX chart.

For example, I am pulling volume data from various strikes automatically and charting them as an indicator. All equites display the indicator except for any where the underlying does not trade shares (VIX, SPX, etc.). The indicator simply disappears, much like the regular TOS volume indicator (yet the indicator is still listed under the active studies).

Is there any workaround?

Hope that makes sense...
Thanks in advance.

 

[Tiredoflosing]

im having the same issue. i know there's a fix because someone on Twitter uses the SPX option volume as a lower study for /ES

 

[germanburrito]

im having the same issue. i know there's a fix because someone on Twitter uses the SPX option volume as a lower study for /ES

you can use the /es option volume if you wanted to, ust go to trade and right click and send the option to the desired chart

also can i know who is the trader that uses this DATA and how he uses it if you dont mind sharing this information please

 

[Tiredoflosing]

you can use the /es option volume if you wanted to, ust go to trade and right click and send the option to the desired chart

also can i know who is the trader that uses this DATA and how he uses it if you dont mind sharing this information please

the goal is to use SPX volume for ES :/ cant seem to find how to fix this script. the script very similar to his, but his shows spx options.

Ofcourse! The trade is Dr. harlin ( nextsignal), twitter the twitter link is directly to his tweet on how he uses spx volume

 

[MerryDay]

@jayn1321 @Tiredoflosing
Have you tried to make this script work for you:
https://github.com/WSTHarry/tos-spx-option-volume

 

[Tiredoflosing]

@jayn1321 @Tiredoflosing
Have you tried to make this script work for you:
https://github.com/WSTHarry/tos-spx-option-volume

omg yes!! i just found it also!!
thank you MD!!!

 

[MerryDay]

omg yes!! i just found it also!!
thank you MD!!!

Please give back to the community, by coming back and give us an update. Sharing your script, chart, and experiences is an immense help to the forum

 

[jayn1321]

Great find @MerryDay ! I will try it out later today and update.

I did figure out a brute force workaround, but it is rather time consuming. I had to input each strike's full notation with the volume() command. I.e. I had to write out .SPX211119P4700 in the code to get it to work. I tried pretty much all combinations of getting it to work without the strike, "P" or "C", expiry, etc. but it seems like as soon as ThinkScript reads the "SPX" without the full option notation, it defaults to hiding any volume-related script. You also have to use another chart, such as /ES or SPY with it.

It does work in end though, just depends how much patience you have!

Thank you!

 

[mushanon]

Great find @MerryDay ! I will try it out later today and update.

I did figure out a brute force workaround, but it is rather time consuming. I had to input each strike's full notation with the volume() command. I.e. I had to write out .SPX211119P4700 in the code to get it to work. I tried pretty much all combinations of getting it to work without the strike, "P" or "C", expiry, etc. but it seems like as soon as ThinkScript reads the "SPX" without the full option notation, it defaults to hiding any volume-related script. You also have to use another chart, such as /ES or SPY with it.

It does work in end though, just depends how much patience you have!

Thank you!

I am messing around with this too and same challenge. I can get it working, but not in a way that would make it feasible to use. I am trying to see if I can have any luck messing with the code to work with a ticker and will report back if I have any luck'

 

[mushanon]

Just to update I did have some success with the chart populating and losing data. Today was a little nuts and market didn't slow down enough for me to really put time into whether data was accurate or helpful, but will continue to try. Ultimately the goal would be to get this working on indexes but think it may be easier to get it worker on a ticker rather than trying to fork SPX data into SPY.

 

[germanburrito]

Just to update I did have some success with the chart populating and losing data. Today was a little nuts and market didn't slow down enough for me to really put time into whether data was accurate or helpful, but will continue to try. Ultimately the goal would be to get this working on indexes but think it may be easier to get it worker on a ticker rather than trying to fork SPX data into SPY.

keep sharing please

 

[Tiredoflosing]

i tried loading this but am just getting regular volume bars with the headers... not sure how attach a screen shot or id show ya lol thanks for any help... new to the board.

thanks!

are you using the Script on /ES? it works fine for me. sometimes loading takes a while.

 

[ganq]

are you using the Script on /ES? it works fine for me. sometimes loading takes a while.

Hi, so this script pulls SPX options volume but the chart only works on /ES but not on SPX?

 

[MerryDay]

Hi, so this script pulls SPX options volume but the chart only works on /ES but not on SPX?

You need to read all the files from the link above.
Start with this one: https://github.com/WSTHarry/tos-spx-option-volume/blob/master/README.md

 

[spe533]

are you using the Script on /ES? it works fine for me. sometimes loading takes a while.

Yea its on ES and i changed calls to range from 4000 to 5000 just showing up like yours but no bars

thanks

 

[Tiredoflosing]

Yea its on ES and i changed calls to range from 4000 to 5000 just showing up like yours but no bars

thanks

it should be working. Make sure u are using the correct option expiries. Also sometimes the bars just disappear / take a while to show up.

 

[robocop34]

it should be working. Make sure u are using the correct option expiries. Also sometimes the bars just disappear / take a while to show up.

What Options Expiries are you using? Do you just go in and manually change the dates? This is what's getting me hung up. Dr. Harlin mentioned something about a Saturday option being the trick, do you know what he's referring to?

 

[Tiredoflosing]

What Options Expiries are you using? Do you just go in and manually change the dates? This is what's getting me hung up. Dr. Harlin mentioned something about a Saturday option being the trick, do you know what he's referring to?

I'm not sure, I have been trying to find the sweet spot myself. I know many prefer the Monthly & Quarterly expirations, so I'm using that

 

[germanburrito]

What Options Expiries are you using? Do you just go in and manually change the dates? This is what's getting me hung up. Dr. Harlin mentioned something about a Saturday option being the trick, do you know what he's referring to?

I think weekly cause the cynically they expore on the weeknd not Fridays. I could be wrong

 

[NTN]

any tips or pointer to a study that differentiates if the option was bid/ ask (bought or sold )?