thinkScript for option volume twice the option open interest

[calvingee]

Hello thinkScript wizards,

Trying to setup a scan for option volume twice the option open interest for the same strike date.

Need a thinkScript to insert into the editor.

Any guidance or help would be appreciated. Not code literate.

Thanks in advance.

 

[samks_30]

Below is a simple script for ATM OI and Volume.

input DOE = 20191122;
def OI = open_interest(GetATMOption(GetUnderlyingSymbol(), DOE, OptionClass.CALL), period = AggregationPeriod.DAY);
def Vol = volume(GetATMOption(GetUnderlyingSymbol(), DOE, OptionClass.CALL), period = AggregationPeriod.MIN);

plot scan = Vol > 2 * OI;

 

[calvingee]

Below is a simple script for ATM OI and Volume.

input DOE = 20191122;
def OI = open_interest(GetATMOption(GetUnderlyingSymbol(), DOE, OptionClass.CALL), period = AggregationPeriod.DAY);
def Vol = volume(GetATMOption(GetUnderlyingSymbol(), DOE, OptionClass.CALL), period = AggregationPeriod.MIN);

plot scan = Vol > 2 * OI;

thanks for the quick reply.

when I insert into editor I get an error message --> No such function: GetATMOption

Also, can it be coded without specifying the DOE and scan all of them. I will use a filter for DOE's less than 60 days.

 

[tomsk]

thanks for the quick reply.

when I insert into editor I get an error message --> No such function: GetATMOption

Also, can it be coded without specifying the DOE and scan all of them. I will use a filter for DOE's less than 60 days.

No, GetATMOption() is not available within the scanner, that's why you see the message as displayed

I have seen studies with code using GetATMOption within a study
Additionally I have also used it in the past within a user defined custom quote within an option chain
That helps me to flag strikes where the volume is greater than the open interest

 

[calvingee]

Below is a simple script for ATM OI and Volume.

input DOE = 20191122;
def OI = open_interest(GetATMOption(GetUnderlyingSymbol(), DOE, OptionClass.CALL), period = AggregationPeriod.DAY);
def Vol = volume(GetATMOption(GetUnderlyingSymbol(), DOE, OptionClass.CALL), period = AggregationPeriod.MIN);

plot scan = Vol > 2 * OI;

how do is use this? thanks in advance

 

[Superfast]

Hello, can someone create a script that scans for options with the highest change in open interest from the previous session e.g. day or hour, 5 min etc. Perhaps a % change may be most suitable.

 

[tomsk]

Unfortunately, fields like Option Volume, Open Interest are not available to scan against. I recently tuned in to the Thinkscript lounge where this specific issue was discussed

 

[xexykid]

Hi all, Does any one know in thinkscript "Option Time & Sales", how to call this highest traded option's DOE, Class etc? (and also the second biggest option, etc) Any such example scripts available anywhere? Thanks!

 

[inthefutures]

maybe you can bring sizzle into the equation and look for large changes

 

[alphabeta]

@samks_30 great study . is it possible to get at the money implied volatility change in percentage from yesterday thank you!!

@Superfast hi i am also looking for same solution did you find it!!! if you find it can you please share with us thank you

 

[JPowellPrintingIntern]

Im looking for assistance in creating a simple filter in the Options Hacker Scan that will filter options contracts for volume > open interest.