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For Option buffs

  1. andrewk4

    1,368 Posts.

    I dont know if any of you are interested in this data, but here is a *sample* of what Im working on. I got sick of being told that I couldnt get live option data to feed into a charting package , so I learned how to create it myself.
    The time is 20 mins delayed (as Im in beta test mode, and hooked up to a free "delayed" site), so 16.20pm is really 16.00pm.
    Fair val is BlackScholes with 20day historical volatility, imp vola uses goal seek.
    This shows a few ncp calls at the close of trade yesterday. Yes, I have it for puts as well.
    Its NOT suposed to be a trading system, its just a big calculator for fair val and imp vola.

    Id be interested to see what comments I get from this.


    date/time, NCP ,code, strike ,bid ,ask, last, vol, OI, fair value , imp vola
    17/9/02 16:05 1009 NCPEH 8.5 1.62 1.59 1.66 1 256 1.60 0.8620
    17/9/02 15:56 1006 NCP1P 9 1.11 1.11 1.14 96 595 1.10 0.6608
    17/9/02 16:02 1008 NCP1P 9 1.125 1.12 1.15 106 595 1.12 0.6366
    17/9/02 16:05 1009 NCP1P 9 1.125 1.12 1.15 126 595 1.13 0.6070
    17/9/02 15:49 1004 NCP1Q 9.5 0.65 0.64 0.665 284 3835 0.66 0.5183
    17/9/02 15:56 1006 NCP1Q 9.5 0.665 0.65 0.67 309 3835 0.68 0.4945
    17/9/02 16:02 1008 NCP1Q 9.5 0.665 0.66 0.69 324 3835 0.70 0.5035
    17/9/02 16:12 1008 NCP1Q 9.5 0.69 0.655 0.69 344 3835 0.70 0.5035
    17/9/02 16:22 1003 NCP1Q 9.5 0.655 0.655 0.685 363 3835 0.66 0.5725
    17/9/02 16:33 1003 NCP1Q 9.5 0.65 0.67 0.69 373 3835 0.66 0.5825
    17/9/02 15:20 1002 NCP1R 10 0.3 0.29 0.3 842 4970 0.34 0.4530
    17/9/02 15:40 1004 NCP1R 10 0.3 0.3 0.32 888 4970 0.35 0.4678
    17/9/02 15:49 1004 NCP1R 10 0.325 0.32 0.33 993 4970 0.35 0.4838
    17/9/02 15:53 1006 NCP1R 10 0.32 0.31 0.33 1013 4970 0.36 0.4663
    17/9/02 15:56 1006 NCP1R 10 0.33 0.31 0.33 1041 4970 0.36 0.4663
    17/9/02 16:02 1008 NCP1R 10 0.33 0.325 0.34 1070 4970 0.37 0.4644
    17/9/02 16:05 1009 NCP1R 10 0.34 0.335 0.35 1115 4970 0.38 0.4714
    17/9/02 16:12 1008 NCP1R 10 0.34 0.335 0.34 1125 4970 0.37 0.4644
    17/9/02 16:15 1005 NCP1R 10 0.33 0.325 0.33 1167 4970 0.36 0.4751
    17/9/02 16:22 1003 NCP1R 10 0.3 0.3 0.34 1222 4970 0.35 0.5084
    17/9/02 16:26 1003 NCP1R 10 0.34 0.31 0.36 1232 4970 0.35 0.5404
    17/9/02 16:33 1003 NCP1R 10 0.33 0.31 0.345 1238 4970 0.35 0.5164
    17/9/02 15:40 1004 NCP1S 10.5 0.12 0.11 0.12 298 2209 0.15 0.4523
    17/9/02 15:49 1004 NCP1S 10.5 0.125 0.12 0.125 394 2209 0.15 0.4617
    17/9/02 15:53 1006 NCP1S 10.5 0.125 0.12 0.125 416 2209 0.16 0.4509
    17/9/02 15:56 1006 NCP1S 10.5 0.125 0.125 0.13 421 2209 0.16 0.4616
    17/9/02 16:02 1008 NCP1S 10.5 0.13 0.13 0.135 426 2209 0.17 0.4598
    17/9/02 16:05 1009 NCP1S 10.5 0.14 0.125 0.145 458 2209 0.17 0.4714
    17/9/02 16:12 1008 NCP1S 10.5 0.135 0.12 0.135 459 2209 0.17 0.4598
    17/9/02 16:15 1005 NCP1S 10.5 0.13 0.12 0.135 487 2209 0.16 0.4751
    17/9/02 16:22 1003 NCP1S 10.5 0.13 0.12 0.13 517 2209 0.15 0.4765
    17/9/02 15:40 1004 NCP1T 11 0.045 0.035 0.05 104 4162 0.06 0.4988
    17/9/02 15:56 1006 NCP1T 11 0.045 0.04 0.05 113 4162 0.06 0.4890
    17/9/02 16:22 1003 NCP1T 11 0.05 0.05 0.055 171 4162 0.06 0.5164

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