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» Option chain retrieval should include vitals
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| Author | Topic: Option chain retrieval should include vitals (6 messages, Page 1 of 1) |
 FullyArticulate -DTN Guru- Posts: 332 Joined: Sep 22, 2005 |
Posted: Jan 26, 2006 12:14 AM
Msg. 1 of 6
Right now, if I want to download an option chain and display it to the user, I must query the chain, then watch and immediately unwatch each individual symbol in order to determine the strike price, expiration date, and right.
It would be really helpful if the option chain query returned something like: symbol,right,strikePrice,daysToExpiration\n So, for example, a query on NFLX would return entries that look like: QNQ BY,call,27.5,23 QNQ BE,call,25,23 Better yet, include the contract muliplier (100, 150, whatever). Thanks for listening! |
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DTN_Jay_Froscheiser -VP, Product Operations- Posts: 1746 Joined: May 3, 2004 
DTN IQFeed/DTN.IQ/DTN NxCore |
Posted: Jan 26, 2006 08:27 AM
Msg. 2 of 6
We will take a look at this. We do have the multiplier in our ticker plant, and will put it on the list of items to add to IQFeed in future releases.
Jay Froscheiser DTN - Trading Markets |
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EspressoE -Interested User- Posts: 30 Joined: Mar 8, 2006 |
Posted: Mar 13, 2006 03:45 PM
Msg. 3 of 6
Is the contract multiplier already supplied somewhere? I have a need for it to flag non-standard Index/Equity options.
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FullyArticulate -DTN Guru- Posts: 332 Joined: Sep 22, 2005 |
Posted: Mar 13, 2006 04:03 PM
Msg. 4 of 6
Sadly no. DTN says they have the data available, but it's not part of the feed.
Still, multiplier isn't really the complete picture. For example, if I do a query of options for FRO, it returns both FXW and FRO-rooted options for the next few months. FRO options are for a normal 100 shares of FRO. FXW are for FRO shares + shares of another company. How that's represented in a multiplier, I'm not sure. A "non-standard" flag would be nice. :-) |
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EspressoE -Interested User- Posts: 30 Joined: Mar 8, 2006 |
Posted: Mar 13, 2006 04:17 PM
Msg. 5 of 6
Yes, it does get difficult. I currently download the OCC memos and insert the adjustments by hand into my own simulation system. For example, the FXW options that you mentioned have an actual deliverable of FXW = FRO + .05 (SFL) according to the OCC's latest memo:
http://www.optionsclearing.com/market/infomemos/2006/feb/21475.pdf Thinking about it, one way to do it would be to flag an option contract as non-standard and provide a text equation like "FXW = FRO + .05 (SFL)", the contract multiplier, and a human description of the memo information. For most cases, it should be possible to provide a machine-parseable equation, although the grammar may not be trivial to handle all cases. I wonder if DTN has the memo information available in a better format than the OCC's online PDF format and if it's possible for them to make it available. Edited by EspressoE on Mar 13, 2006 at 04:17 PM |
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FullyArticulate -DTN Guru- Posts: 332 Joined: Sep 22, 2005 |
Posted: Mar 13, 2006 07:39 PM
Msg. 6 of 6
The formula would be really neat. I'm currently working on an option opportunity finder. The current best deal in the S&P 100 is to sell BAC Mar 32.5 Puts for $5.30.
BAC is currently at $45.95 and hasn't seen 32.50 for 3 years. Obviously something else is up, but my tool isn't smart enough to know that it's FAR too good to be true rather than just a little too good to be true. :-) |
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