Options Volume and Open Interest Indicators

Transcription

1 Options Volume and Open Interest Indicators Usage Notes February 2015 This suite of six indicators is designed to monitor volume and open interest in options, issue by issue. Many traders want to monitor, as well as sort and rank, symbols for high levels of options activity as precursors or confirming indications of price action in the underlying asset. Each of these indicators includes alert criteria (for real-time alerts and sorting in RadarScreen ) that are much more useful than the alert criteria in the TradeStation-supplied options volume indicators. The alerts in the Labs suite are based on volume or open interest exceeding its recent average, with user-defined lengths and percentages. (The TradeStation-supplied options volume indicators allow alerting only by absolute volume level, and there are no alert criteria for open interest.) These are the six indicators in the suite. Their names are self-explanatory. TSL:Volume - All Opts TSL:Volume - Calls TSL:Volume - Puts TSL:Open Int - All Opts TSL:Open Int - Calls TSL:Open Int - Puts These indicators may be used in charting and RadarScreen and Scanner. The data should be formatted for daily or greater bars. Any combination of these indicators may be used in any particular chart or RadarScreen window. There is a sample workspace provided with the indicators. TSL Options Volume and OI contains: a chart and RadarScreen window with the two All Opts indicators a chart and RadarScreen window with the two Calls indicators a chart and RadarScreen window with the two Puts indicators a RadarScreen window with the three Volume indicators. Options Volume and Open Interest Indicators Page 1 of 5

2 Indicator: TSL:Volume - All Opts OptVolume AvgOptVolume Current volume of all options for that symbol Average volume of all options for input Length bars Current volume as percent of average volume (displayed in RadarScreen only) Input Default Length 20 Length in bars of average options volume AlertPct 25 Percent of options volume above average to trigger alert Color of font in RadarScreen or histogram in charting if options volume Option volume greater than average volume by AlertPct percent <> option volume exceeds 1<AlertPct> % of average option volume Indicator: TSL:Volume - Calls CallVolume AvgCallVolume Current volume of call options for that symbol Average volume of call options for input Length bars Current call volume as percent of average call volume (displayed in Input Default Length 20 Length in bars of average call options volume AlertPct 25 Percent of call options volume above average to trigger alert Color of font in RadarScreen or histogram in charting if call options volume Call option volume greater than average call volume by AlertPct percent <> call option volume exceeds 1<AlertPct> % of average option volume Options Volume and Open Interest Indicators Page 2 of 5

3 Indicator: TSL:Volume - Puts PutVolume AvgPutVolume Current volume of put options for that symbol Average volume of put options for input Length bars Current put volume as percent of average put volume (displayed in Input Default Length 20 Length in bars of average put options volume AlertPct 25 Percent of put options volume above average to trigger alert Color of font in RadarScreen or histogram in charting if put options volume Put option volume greater than average put volume by AlertPct percent <> put option volume exceeds 1<AlertPct> % of average put option volume Indicator: TSL:Open Int - All Opts OptOpenInt AvgOptOI Current open interest of all options for that symbol Average open interest of all options for input Length bars Current open interest as percent of average open interest (displayed in Input Default Length 20 Length in bars of average options open interest AlertPct 25 Percent of options open interest above average to trigger alert Color of font in RadarScreen or histogram in charting if options open Option open interest greater than average open interest by AlertPct percent <> option open interest exceeds 1<AlertPct> % of average option open interest Options Volume and Open Interest Indicators Page 3 of 5

4 Indicator: TSL:Open Int - Calls CallOpenInt AvgCallOI Current open interest of call options for that symbol Average open interest of call options for input Length bars Current call open interest as percent of average call open interest (displayed in Input Default Length 20 Length in bars of average call options open interest AlertPct 25 Percent of call options open interest above average to trigger alert Color of font in RadarScreen or histogram in charting if call options open Call option open interest greater than average call open interest by AlertPct percent <> call option open interest exceeds 1<AlertPct> % of average call option open interest Indicator: TSL:Open Int - Puts PutOpenInt AvgPutOI Current open interest of put options for that symbol Average open interest of put options for input Length bars Current put open interest as percent of average put open interest (displayed in Input Default Length 20 Length in bars of average put options open interest AlertPct 25 Percent of put options open interest above average to trigger alert Color of font in RadarScreen or histogram in charting if put options open Put option open interest greater than average put open interest by AlertPct percent <> put option open interest exceeds 1<AlertPct> % of average put option open interest Options Volume and Open Interest Indicators Page 4 of 5

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