thinkScript for option volume twice the option open interest

C

calvingee

New member
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.
 
S

samks_30

New member
2019 Donor
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;
 
C

calvingee

New member
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.
 
T

tomsk

Well-known member
VIP
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
 
C

calvingee

New member
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
 
S

Superfast

New member
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.
 
T

tomsk

Well-known member
VIP
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
 
X

xexykid

New member
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

inthefutures

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

alphabeta

Member
@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
 
J

JPowellPrintingIntern

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

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