Watch list indicator for SPX contracts about to expire

Brain Monkey

Brain Monkey

New member
This is a simple script that when added to a watch list, sifts out unusual option activity and brings it to the top of the list.
  • I start with making a watch list, for this I use just SPX.
  • I make an options scan on that watch list, Days to exp max:1, volume greater then 100.
  • Make a watch list for this scan. For the column I use, description, Mark, Volume, Open Interest, Days to expire, and this Custom Column (for some reason I name it Pain).
Code:
# Pain Watchlist
def Pain = ((bid + ask)/2) * volume;

plot R = Pain/1000;
  • It's important to click the box at the top and change it from Day to 15min, and I check the "include extended-hours" box because SPX contracts trade premarket.
  • Now when I check the "Pain" column placing the highest pain at the top of the list. When a large trade is made in a contract that could require Market Makers to adjust their delta, the watch list adjusts and moves this contract to the top of the list. This changes for every 15 min bar. I hope this makes sense.
 
V

vensonom

New member
@Brain Monkey so would you essentially Buy that contract which is on the top of list ?
 

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