by gigantoir
This is something I’ve seen on everyone’s wishlist for a while but no one ever stepped up to code it really. Well merry Christmas tards because it was fucking easy. You can view, run and download the notebook here and you should be good as long as you have a Google account. Let’s take a peak under the hood:
Essentially what we’re doing is looping over the whole fuckin S&P 500 and looking for options for a given expiration that have a reasonable open interest (> 200) and their volume/open interest on the last trading day is notable (>.5). I don’t know that this is the best criteria, but I encourage you to mess around with the filters and add some of your own.
Once you run the code, you can download a csv of the data and mess around with it how you like. It’s interesting to look at the V/OI as well as the value of the open interest. I about shit my pants when I saw someone buy 500 AMAT 3/20 $45s since they’re $19 OTM but then saw that those contracts are going for like 5 cents.
In terms of top V/OI let’s take a look at what’s going on for 2/28 puts:
| Symbol | stock_price | strike | % OTM | lastPrice | volume | openInterest | impliedVolatility | V/OI | Value |
|---|---|---|---|---|---|---|---|---|---|
| WYNN | 127.95 | 123 | 3.87% | 1.32 | 3915 | 220 | 0.549 | 17.80 | $29,040 |
| WYNN | 127.95 | 124 | 3.09% | 1.61 | 3659 | 343 | 0.544 | 10.67 | $55,223 |
| ABT | 87.45 | 88 | -0.63% | 1.2 | 2414 | 296 | 0.219 | 8.16 | $35,520 |
| AMD | 53.28 | 52.5 | 1.46% | 1.19 | 4398 | 634 | 0.623 | 6.94 | $75,446 |
| AMZN | 2095.97 | 2090 | 0.28% | 27.25 | 1606 | 249 | 0.317 | 6.45 | $678,525 |
| NOW | 344.48 | 330 | 4.20% | 1.95 | 2146 | 350 | 0.443 | 6.13 | $68,250 |
| AMD | 53.28 | 53 | 0.53% | 1.38 | 6545 | 1096 | 0.615 | 5.97 | $151,248 |
| AMZN | 2095.97 | 2120 | -1.15% | 43.17 | 1905 | 329 | 0.317 | 5.79 | $1,420,293 |
| CCL | 41.69 | 42 | -0.74% | 0.91 | 2905 | 514 | 0.402 | 5.65 | $46,774 |
We can see that this week people are betting big against Wynn, Carnival and some tech names. Maybe you can hop on these on Monday and make money, I don’t know.
As I say in the code, this shit’s free for you to use and feel free to DM me with questions that aren’t “can you teach me how to code”. I especially look forward to suggestions that are already coded.
Also, if you find some free money please let me/everyone else know. Cheers autists.
Disclaimer: This information is only for educational purposes. Do not make any investment decisions based on the information in this article. Do you own due diligence.