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futures options questions

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[2015-07-03 16:12:36] #1 [Go To First Post]
wwwingman - Posts: 185
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] #2 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
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. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2015-07-03 18:28:41

[2015-07-04 13:05:54] #3 [Go To First Post]
wwwingman - Posts: 185
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] #4 [Go To First Post]
User11942 - Posts: 298
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] #5 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
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. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

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