Login Page - Create Account

Support Board

Date/Time: Sun, 28 Feb 2021 01:13:05 +0000

[User Discussion] - Study - Cumulative OptionChain Volume At Strike

[2021-02-23 18:38:13]
User71961 - Posts: 142 | Ending Date: 2021-03-25
Is there a study that accumulates all the volume from the various underlying option chains (all expiries), and displays the volume traded at each strike price on the underlying?

So, similar to a VolumeAtPrice study....but here the volume is number of option contracts traded at each strike during the associated time period (regardless of the price of the option when it was traded....this is intended to visually show on the chart of the underlying where delta/gamma sensitivity is located).

Similar to VolumeAtPrice, in settings would be an option to show a separate profile for each day, or to aggregate some number of days, or entire visible chart.

Another setting would be ability to initialize the days's profile with open interest at each strike, from the full option chain of multiple expiries (because option dealers are continuously delta hedging their portfolio).

Also, a chart drawing feature called DOVP "Draw Option Volume Profile" (just like DVP "draw volume profile") allowing to draw onto a chart the exact time period to view this?

If these don't exist, can they be added?
Date Time Of Last Edit: 2021-02-23 21:21:38

To post a message in this thread, you need to login with your Sierra Chart account:


Login Page - Create Account