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 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 lst = new List();
			if (GetGlobal(key) == null)
			{
				lst = OpenInterestForOptions.GetDataForSymbol(Bars.Symbol, OptionType.Put, dateTime);
				SetGlobal(key, (object)lst);
			}
			else
				lst = (List)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));
		}
	}
}