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Date/Time: Fri, 07 Aug 2020 03:37:18 +0000



futures options questions

[2015-07-03 16:12:36]
wwwingman - Posts: 180 | Ending Date: 2019-10-06 [Expired]
Hi,


Both questions apply to futures options :
1. is it possible to have access to the delta ? (rate of change with respect to its underlying security's price, like available in TOS).
Ideally on the quoteboard / quote spreadsheet / ACSIL s_SCBasicSymbolData ...

2. is it possible to have intraday Open Interest ? Or a change in the day of open interest ?
Ideally on the quoteboard / quote spreadsheet / ACSIL s_SCBasicSymbolData ...

3. It the answer is no, is it possible to plan such enhancements ?

Thx.
-- W
[2015-07-03 18:28:32]
Sierra Chart Engineering - Posts: 88410 | Ending Date: 2021-04-05
2. We would think Open Interest is already available. What Data or Trading service are you using?

The other answers are no. Sierra Chart support for options is limited and we do not plan any development in this area.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
Date Time Of Last Edit: 2015-07-03 18:28:41
[2015-07-04 13:05:54]
wwwingman - Posts: 180 | Ending Date: 2019-10-06 [Expired]
2. I use IQFeed.

The open interest study shows correct values on daily historical charts of futures options.
Same for the real time open interest in quoteboards and quote spreadsheets.
Same for ACSIL real time s_SCBasicSymbolData openInterest field.

However, on intraday charts the open interest study gives values I cannot interpret.
Ex: On a daily chart of September 2015 2050 futures options Call (@ESU15C205000), the open interest since ~June 15 is >5000.
On an intrady chart of the same symbol values never went above 6.

Sorry to hear no dev is planned for futures options, since futures+futures options are of interest for many pros.
I hope you will reconsider this position.

--W.
[2015-07-04 21:09:00]
User11942 - Posts: 298 | Ending Date: 2019-02-11 [Expired]
Open interest for US options and futures is always available from exchanges for previous trading day only (that is kind of end of day data). Some data vendors can store OI data for some days back and it might be available by request but intraday OI (from exchanges) simply doesn't exist.
[2015-07-04 22:00:41]
Sierra Chart Engineering - Posts: 88410 | Ending Date: 2021-04-05

However, on intraday charts the open interest study gives values I cannot interpret.
This is true and if you look at the Open Interest study documentation, it explains that what you are seeing is the number of trades per bar.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.

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