Using Weekly Expiration with GetATMOption

[Whistler]

The TOS Learning Center example of the GetATMOption function works great for monthly expirations, but I can't seem to get it to work for SPX weekly expirations. I've already tried replacing the "GetUnderlyingSymbol" with "SPXW", which is the symbol used when charting its option prices, but I still can't get it to work. Does anybody have any ideas? I eventually want to use this information to price the straddle, which will then be used to estimate the Expected Move on an intraday basis.

input expirationDate = 20211210;

AddLabel(IsOptionable(), "ATM Call option is " + GetATMOption(GetUnderlyingSymbol(), expirationDate, OptionClass.CALL));

 

[Whistler]

I heard back from TOS support via e-mail. Apparently, you can use the code as stated above, but when using weekly expirations you need to add one day to the date being used. In stead of using the Friday expiration date of 20211210, you need to use the day after of 20211211. This seems to work, but the resultant plot is very transitory. You don't get a plot on every bar and it does not seem to give you historical plots. Does anybody know why this is happening and have any ideas on a work-around?

# ExpectedMoveATMStraddle
# Created 12/1/21 by Whistler

Input ExpirationDate = 20211211;

def atmPut = close(GetATMOption(GetUnderlyingSymbol(), expirationDate, OptionClass.PUT));
def atmCall = close(GetATMOption(GetUnderlyingSymbol(), expirationDate, OptionClass.CALL));

plot EMhigh = close + atmPut + atmCall;
Plot EMlow = close - atmPut - atmCall;

 

[MerryDay]

I heard back from TOS support via e-mail. Apparently, you can use the code as stated above, but when using weekly expirations you need to add one day to the date being used. In stead of using the Friday expiration date of 20211210, you need to use the day after of 20211211. This seems to work, but the resultant plot is very transitory. You don't get a plot on every bar and it does not seem to give you historical plots. Does anybody know why this is happening and have any ideas on a work-around?

# ExpectedMoveATMStraddle
# Created 12/1/21 by Whistler

Input ExpirationDate = 20211211;

def atmPut = close(GetATMOption(GetUnderlyingSymbol(), expirationDate, OptionClass.PUT));
def atmCall = close(GetATMOption(GetUnderlyingSymbol(), expirationDate, OptionClass.CALL));

plot EMhigh = close + atmPut + atmCall;
Plot EMlow = close - atmPut - atmCall;

You can't get historical plots because the data isn't there. I assume that is why there is not data on every bar.
No, you can't work around it. It just isn't available.

 

[Whistler]

In Tradestation you can index any data and store it in a separate file for access anywhere else in the program. Does TOS have this capability? If so, this would be a viable work-around.

 

[MerryDay]

In Tradestation you can index any data and store it in a separate file for access anywhere else in the program. Does TOS have this capability? If so, this would be a viable work-around.

No ToS does not