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Hello,
I have gone through all of the boot camps and am trying to put together an options strategy however I am not sure how to put all the pieces together. I am looking for rising/directional options at open. I have my parameters to analyze once I have the top 20 or 40 options that are moving up in a day (calls or puts) but I don't know how to put that list together without specifying the underlying symbol.
I want this scan to be liquid/dynamic without specifying the underlying stock. Also, these options do not have to be liquid the previous day. I just need a list of the top x options by percentage gain (weekly options) that are less than 5% OTM strike and max 1% ITM strike.
Can someone please help me with this scan or point me in the right direction?
Thank you in advance!
Hussain
Louis Szeto
Hi Hussain
We're regretted that the pure option selection tool is not available, and it is too computationally expensive to possibly fetch all equities' options to rank. However, since the option is a derivative, it is possible to estimate some of the biggest option movers by equity selection first.
Note that from the Black-Scholes equations, partial first derivatives (Delta, Vega, Theta, Rho) could give us insight into what drives the option price changed. If you take timesteps, strike price, and assume interest rates are constants, then the expectations of the first 2 of the above Greeks were linear combinations of price change, volatility, and their differencing (too small that are neglectable). We also use only close-expiratory options since (1) time decay change is larger, and (2) the option price itself is lower for a larger change. Thus, we can first get the top 10-20 stocks with the highest multiple of the absolute values of the stocks' price change and annualized volatility. Then use OptionChainProvider.GetOptionContractList and AddOptionContract to get the option universe.Note that this method is assuming high market efficiency and is not suitable for finding arbitrage pairs.
Best
Louis
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Hussain Hashim
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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