shortorlong
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Posts: 16
Joined: Jan 31, 2008
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Posted: Feb 3, 2008 11:27 AM
Msg. 1 of 9
a) How can we determine open interest for a given option? Does IQFeed provide this data somehow?
b) I also want to compute the greeks, I know that I will ned to compute this myself. I have a few formulas I found that show how to do it, not too bad. Curious though, does anyone have code/pseudo-code on how to calculate the greeks they could post?
Cheers,
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shortorlong
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Posts: 16
Joined: Jan 31, 2008
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Posted: Feb 3, 2008 07:30 PM
Msg. 2 of 9
I see that HD queries return open interest. Does that mean I can only see open interest on a daily basis? Is yesteday's open interest the best I can get or can I get more recent open interest by doing the query for today?
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shortorlong
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Posts: 16
Joined: Jan 31, 2008
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Posted: Feb 3, 2008 10:08 PM
Msg. 3 of 9
Bizarre - When doing an 'HD' query for an option, I get the proper OHLC values, and the volume looks okay, but Open Interest is set to 0 for every option.
Anyone else getting open interest all 0s?
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DTN_Steve_S
-DTN Guru-
Posts: 2093
Joined: Nov 21, 2005
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Posted: Feb 4, 2008 03:08 PM
Msg. 4 of 9
Open Interest is not reported for all symbols. Can you tell me which symbols you are looking for Open Interest?
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shortorlong
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Posts: 16
Joined: Jan 31, 2008
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Posted: Feb 4, 2008 08:46 PM
Msg. 5 of 9
Thanks for all of the help Steve!
I haven't been able to find open interest for any of the Nasdaq option symbols. All of the google options for example, GOO IT, GOO NT, etc have 0 open interest.
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DTN_Steve_S
-DTN Guru-
Posts: 2093
Joined: Nov 21, 2005
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Posted: Feb 5, 2008 09:15 AM
Msg. 6 of 9
After chatting with the server team, it turns out that only futures have open interest stored in history.
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shortorlong
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Posts: 16
Joined: Jan 31, 2008
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Posted: Feb 6, 2008 11:21 AM
Msg. 7 of 9
Does anyone have suggestions on how we can calculate open interest? It seems that knowing this figure is pretty important.
Thanks again,
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DTN_Steve_S
-DTN Guru-
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Joined: Nov 21, 2005
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Posted: Feb 6, 2008 01:23 PM
Msg. 8 of 9
Open interested is supplied in the Level 1 data (streaming quotes) for all symbols that the exchange provides it. Judging from the example here: http://www.investopedia.com/terms/o/openinterest.aspI do not know of anyway that it can be calculated without knowing a lot more information than what is provided in the exchange datafeed.
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R6Solutions
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Posts: 7
Joined: Feb 9, 2008
Imagination is more important than knowledge
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Posted: Feb 9, 2008 12:44 AM
Msg. 9 of 9
Quote: a) How can we determine open interest for a given option? Does IQFeed provide this data somehow?
b) I also want to compute the greeks, I know that I will ned to compute this myself. I have a few formulas I found that show how to do it, not too bad. Curious though, does anyone have code/pseudo-code on how to calculate the greeks they could post?
Cheers, --- Original message by shortorlong on Feb 3, 2008 11:27 AM For the greeks you need a cost to carry assumption (rate), a volatility assumption (rate), an interest rate (there's all kinds - open interest - yields to expiration for reversals or conversions - in the money - out of the money). You need a strike - a stock price range and an expiration. Volatilities can be computed - they're like a moving average and a function of the underlying stock, unlike a VIX, which is a function of the option (i think). An open interest might work. All the greeks require a guy called the "partial derivative". Then - depending on which greeks you are interested in, the derivatives are a variation on a theme. You can visit my web site for more info - and there is a book by Haug that offers the formulas - but some of them call Excel functions - and some - when you implement them do not agree with his results. If you make your question more specific - I might be able to help you with details. If you're going to work with assumptions it would be pretty easy - but if you're rendering from market data, then your first effort should be to establish your metrics for volatilities and interest.
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