Options Quotes Wish List
- Thread starter Grant
- Start date
Is there a way to fetch an option call /put price for only the ATM for equity options? To do my scans, I have to request the whole montage, calculate the ATM strike, get what I need then go on to the next ticker. It takes a long time, any suggestions on data sources? Life would be much simpler if there were no 1/2 strikes.
Thanks
Thanks
Mr Spread,
What is "short interest"?
GA Trader,
Have you tried using dde's to Excel?
Of course, the atm's will fluctuate with the underlying but I'm sure you can tolerate say, 4-6 strikes ; hardly a strain on your pc.
On one Excel sheet, for each index - STOXX, DAX, SMI - I've got "last trade" and "time" (of last trade) and underlying (at time of last of last trade) for 50 strikes each for puts and calls to 8 expry months (Dec 08).
If I'm correct, that works out at (dde's) 50 "last trades", 50 "times", 50 underlying = 150 x 2 (calls and puts) x 8 (expiries) =2,400 x 3 indices (STOXX, DAX, SMI) = 7,200 dde's . Takes around 20 seconds to load. And from a live feed.
It will also calculate if a premium is trading at a discount, ie zero implied volatility.
I'l be glad to help you if I can. Then again, whither my credibility re "short interest" above?
Grant.
What is "short interest"?
GA Trader,
Have you tried using dde's to Excel?
Of course, the atm's will fluctuate with the underlying but I'm sure you can tolerate say, 4-6 strikes ; hardly a strain on your pc.
On one Excel sheet, for each index - STOXX, DAX, SMI - I've got "last trade" and "time" (of last trade) and underlying (at time of last of last trade) for 50 strikes each for puts and calls to 8 expry months (Dec 08).
If I'm correct, that works out at (dde's) 50 "last trades", 50 "times", 50 underlying = 150 x 2 (calls and puts) x 8 (expiries) =2,400 x 3 indices (STOXX, DAX, SMI) = 7,200 dde's . Takes around 20 seconds to load. And from a live feed.
It will also calculate if a premium is trading at a discount, ie zero implied volatility.
I'l be glad to help you if I can. Then again, whither my credibility re "short interest" above?
Grant.
Short Interest: The total number of shares of a security that have been sold short by customers and securities firms.
Short interest is typically expressed as a percentage. For example, 3% short interest means that 3% of the outstanding shares are held short.
This answer brought to you buy investopia dot com
It is a good indicator of short term market sentiment.
And the OX does indeed have this listed in quote detail.
Short interest is typically expressed as a percentage. For example, 3% short interest means that 3% of the outstanding shares are held short.
This answer brought to you buy investopia dot com
It is a good indicator of short term market sentiment.
And the OX does indeed have this listed in quote detail.
Mr Spread,
Thank you for the clarification re "short interest". I was tricked - I was racking my brains re short interest in an options context (he say defensively).
DDE's "sounds fun" - that bought a smile to my face.
I'm assuming you are familiar with Excel. OK, you have your prices from your quote vendor or the internet. Simultaneously, you have Excel running. Click on a price on your quotes, then click on a cell in Excel, then Copy, Paste, Special, Paste Link. The price will appear in the Excel cell and, in most cases (depending on availability of the facility), the cell in Excel will update at the same time as your quotes.
The value in the Excel cell can now be used for realtime/delayed or end-of-day calculations.
A very simple example of use. Standard prices available are current, high, low, previous close, open; maybe previous high, previous low, etc.
It may be useful to know where the current price is in relation to the open, high, low, for example.
Assume the current price is in cell A1, open in B1, High in C1, low in D1 and previous close in E1.
In cell B2, enter
=A1-B1
for current in relation to the open;
In C2,
=A1-C1, current vs high
In D2,
=A1-D1, current vs low
In E2,
=C1-D1, high/low range
In F2
=B1-E1, open vs close, ie any Gap
Etc.
These will provide data in point terms; it's also useful to show these in percentage terms.
Please ask if I can help further (no trick questions).
Grant.
Thank you for the clarification re "short interest". I was tricked - I was racking my brains re short interest in an options context (he say defensively).
DDE's "sounds fun" - that bought a smile to my face.
I'm assuming you are familiar with Excel. OK, you have your prices from your quote vendor or the internet. Simultaneously, you have Excel running. Click on a price on your quotes, then click on a cell in Excel, then Copy, Paste, Special, Paste Link. The price will appear in the Excel cell and, in most cases (depending on availability of the facility), the cell in Excel will update at the same time as your quotes.
The value in the Excel cell can now be used for realtime/delayed or end-of-day calculations.
A very simple example of use. Standard prices available are current, high, low, previous close, open; maybe previous high, previous low, etc.
It may be useful to know where the current price is in relation to the open, high, low, for example.
Assume the current price is in cell A1, open in B1, High in C1, low in D1 and previous close in E1.
In cell B2, enter
=A1-B1
for current in relation to the open;
In C2,
=A1-C1, current vs high
In D2,
=A1-D1, current vs low
In E2,
=C1-D1, high/low range
In F2
=B1-E1, open vs close, ie any Gap
Etc.
These will provide data in point terms; it's also useful to show these in percentage terms.
Please ask if I can help further (no trick questions).
Grant.
Thanks Grant!
This makes sense to me so far. I will have to try it out.
The only thing I am not sure of is the real time update, but again Ill try it out.
Without doing it yet, will it auto update after I close and re-open the next day?
This could be what I have been wanting to do for a long time!
(I want to track this very information on several stocks at once and do not want to have to open all kind of different "watch lists" every 3 seconds... hehe (I use OX) You are my hero for the week.
Mike
This makes sense to me so far. I will have to try it out.
The only thing I am not sure of is the real time update, but again Ill try it out.
Without doing it yet, will it auto update after I close and re-open the next day?
This could be what I have been wanting to do for a long time!
(I want to track this very information on several stocks at once and do not want to have to open all kind of different "watch lists" every 3 seconds... hehe (I use OX) You are my hero for the week.
Mike
Mike,
The prices on your Excel sheet will update whenever the prices from the source update â real-time, delayed, end-of-day, etc.
Similarly, prices will update when you close and re-open the sheet (remember to save the sheet first, something Iâve havenât done in the past).
The point re Excel is its ease of use in constructing simple or complex calculations without translating the mathematics into some esoteric code. The only limiting factor is your computing power, which in todayâs terms is not very limiting. You could have over a thousand different stocks on your sheet and perform calculations with their prices (as outlined in the original reply above).
To repeat, check that an Excel dde facility is available via you quotes programme.
Do a Google search for âExcel downloaderâ and you may be surprised at whatâs available similar to your requirements. Avoid AnalyserXL â bad reputation.
Thank you for the âHeroâ designation but it is undeserved; Iâm just helping someone out with little effort on my part. Others have helped me, so Iâll help others.
Let me know if I can help further.
Grant.
The prices on your Excel sheet will update whenever the prices from the source update â real-time, delayed, end-of-day, etc.
Similarly, prices will update when you close and re-open the sheet (remember to save the sheet first, something Iâve havenât done in the past).
The point re Excel is its ease of use in constructing simple or complex calculations without translating the mathematics into some esoteric code. The only limiting factor is your computing power, which in todayâs terms is not very limiting. You could have over a thousand different stocks on your sheet and perform calculations with their prices (as outlined in the original reply above).
To repeat, check that an Excel dde facility is available via you quotes programme.
Do a Google search for âExcel downloaderâ and you may be surprised at whatâs available similar to your requirements. Avoid AnalyserXL â bad reputation.
Thank you for the âHeroâ designation but it is undeserved; Iâm just helping someone out with little effort on my part. Others have helped me, so Iâll help others.
Let me know if I can help further.
Grant.