Open Interest for Options data

Modified on 2019/10/31 06:23 by Eugene — Categorized as: Community Components

Syntax

public enum OptionType {Call, Put}

public class OptionsData { string Symbol, DateTime LastTradeDate, double Strike, double LastPrice, int Volume, double OpenInterest, double IV }

public static List<OptionsData> GetDataForSymbol(string symbol, OptionType type, DateTime dt)

Parameter Description

symbol	Symbol to get the options data
type	OptionType.Call or OptionType.Put
dt	An expiration date in the future

Description

For a given U.S. stock symbol, retrieves the option specific data (such as last trade date, strike, last price, volume, open interest and implied volatility) for a specified expiry date in the future and option type (call or put).

Example

using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using Community.Components;

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{	
		protected override void Execute()
		{
			ClearDebug();
			var dateTime = NextOptionExpiryDate(Bars.Count - 1);
			var key = Bars.Symbol + ";" + OptionType.Put + ";" + dateTime;
			PrintDebug(key);
			List<OptionsData> lst = new List<OptionsData>();
			if (GetGlobal(key) == null)
			{
				lst = OpenInterestForOptions.GetDataForSymbol(Bars.Symbol, OptionType.Put, dateTime);
				SetGlobal(key, (object)lst);
			}
			else
				lst = (List<OptionsData>)GetGlobal(key);

			PrintDebug("Symbol" + "\t" + "Last Trade" + "\t" + "Strike" + "\t" + "Last Price" + "\t" + "Volume" + "\t" + "Open Interest" + "\t" + "IV");
			foreach (var t in lst)
				PrintDebug(t.Symbol + "\t" + t.LastTradeDate + "\t" + t.Strike + "\t" + t.LastPrice + "\t" + t.Volume + "\t" + t.OpenInterest + "\t" +
					string.Format("Value: {0:P2}.", t.IV / 100d));
		}
	}
}