List of all US options with ATM IV and whether Weekly/Monthly

thecoder said:
Update / New developments:
I'm hopeful to compile such a list myself and post it here tomorrow or so.
It will have all the 5869 or so tickers on the CBOE list.
More...
Ok, now finally the list has been created. I named it "US_Options_Meta_Data":
Code: 
The attached file "US_Options_Meta_Data_as_of_2021-11-10-We-AH.zip" was compiled by
using options EOD data from 2021-11-10-We from data source YahooFinance (via API).

It contains two files: a .csv and a .txt (this README text). The .csv file can of course be
loaded in M$ Excel as well in LibreOffice Calc (an Excel clone, or a similar tool).

Version 1.0

Columns in the CSV file:
  Underlying_Ticker
  NumExpDates
  ExpDateThis                                              # Expiration date as YYYY-MM-DD
  Underlying_Spot
  Call_ATM_IV_as_Pct
  Put_ATM_IV_as_Pct
  TickerType                                               # S=Stock, E=ETF, I=Index
  OptionType                                               # M=Monthly, W=Weekly
  NumCallStrikes
  NumPutStrikes
  CallStrikeLo
  CallStrikeHi
  PutStrikeLo
  PutStrikeHi
  From_Spot_to_C_Klo_as_Pct                                # C_Klo means CallStrikeLo
  From_Spot_to_C_Khi_as_Pct                                # C_KHi means CallStrikeHi
  From_Spot_to_P_Klo_as_Pct                                # P_Klo means PutStrikeLo
  From_Spot_to_P_Khi_as_Pct                                # P_Khi means PutStrikeHi


Notes:

  - ATM IV calculation uses the nearest ITM and OTM strike, ie. in total just 2 strikes

  - Call and Put have their own individual ATM IV

  - Calculated only for the current "Front Expiration Date" (ie. not for the full series of ExpDates)

  - Of the 5889 tickers in CBOE's cboesymboldirequityindex.csv, 5485 tickers were processed successfully.
    The other ones have either no option data, or lack something other (hadn't time yet to analyse this further,
    but I think one of the reasons is naming issues for indices, as Yahoo uses the ^ character in front of the ticker, but not CBOE.
    The few tickers with ^ I added manually)

  - This is the very first compilation of this list, so bugs are possible --> just report any inconsistency seen

  - Posted at Elitetrader/Options on 2021-11-12-Fr by thecoder

  - Currently this list will be posted only once per month, planned for the start of the month.

  - Contact author via PM at ET for new columns and/or features to include in the list


Compiled by: thecoder @ ET
Edit / Update: it now is in ZIP format, initially had it wrongly packed with tar, instead of zip :-)
 

Attachments

Last edited:
Here's my updated version of the said list. Some new fields were added, and the list is now sorted by the "Score" column:
Code: 
The attached file "US_Options_Meta_Data_as_of_2021-11-10-We-AH_v1_1.zip" was compiled by
using options EOD data from 2021-11-10-We from data source YahooFinance (via API).

It contains two files: a .csv and a .txt (this README text). The .csv file can of course be
loaded in M$ Excel as well in LibreOffice Calc (an Excel clone, or a similar tool).


Version info:
  v1.1 this version, sorted and with some more fields
  v1.0 inital version, unsorted


Columns in the CSV file:
  Underlying_Ticker
  NumExpDates
  ExpDateThis                                              # Expiration date as YYYY-MM-DD
  Underlying_Spot
  Call_ATM_IV_as_Pct
  Put_ATM_IV_as_Pct
  CAIVxPAIV                                                # = Call_ATM_IV_as_Pct * Put_ATM_IV_as_Pct
  TickerType                                               # S=Stock, E=ETF, I=Index
  OptionType                                               # M=Monthly, W=Weekly
  NumCallStrikes
  NumPutStrikes
  CallStrikeLo
  CallStrikeHi
  PutStrikeLo
  PutStrikeHi
  From_Spot_to_C_Klo_as_Pct                                # C_Klo means CallStrikeLo
  From_Spot_to_C_Khi_as_Pct                                # C_KHi means CallStrikeHi
  From_Spot_to_P_Klo_as_Pct                                # P_Klo means PutStrikeLo
  From_Spot_to_P_Khi_as_Pct                                # P_Khi means PutStrikeHi
  C_K_Range                                                # = From_Spot_to_C_Khi_as_Pct - From_Spot_to_C_Klo_as_Pct
  P_K_Range                                                # = From_Spot_to_P_Khi_as_Pct - From_Spot_to_P_Klo_as_Pct
  CKRxPKR                                                  # = C_K_Range * P_K_Range
  Score                                                    # = CAIVxPAIV * CKRxPKR





Notes:

  - ATM IV calculation uses the nearest ITM and OTM strike, ie. in total just 2 strikes

  - Call and Put have their own individual ATM IV

  - Calculated only for the current "Front Expiration Date" (ie. not for the full series of ExpDates)

  - Of the 5889 tickers in CBOE's cboesymboldirequityindex.csv, 5485 tickers were processed successfully.
    The other ones have either no option data, or lack something other (hadn't time yet to analyse this further,
    but I think one of the reasons is naming issues for indices, as Yahoo uses the ^ character in front of the ticker, but not CBOE.
    The few tickers with ^ I added manually)

  - File is sorted by the "Score" field in descending order (one of my sort preferences). You can of course sort as you wish.

  - This is the very first compilation of this list, so bugs are possible --> just report any inconsistency seen

  - Posted at Elitetrader/Options on 2021-11-12-Fr by thecoder

  - Currently this list will be posted only once per month, planned for the start of the month.

  - Contact author via PM at ET for new columns and/or features to include in the list


Compiled by: thecoder @ ET

And the zipped file:
 

Attachments

Matt_ORATS said:
Yes, if you don't want a subscription you can email me and we can work something out.
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Thank you for this kind offer, but I just compiled my own list (cf. my prev. posting) which already suits my needs fully.
Thx again.
 
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