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Option Chain PCFs Rate this Topic:
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Al_Gorithm
Posted : Wednesday, August 16, 2017 11:30:08 AM

Registered User
Joined: 6/30/2017
Posts: 1,227

Bruce, apologies if I asked this already. Sounds vaguely familiar, but...

Can PCFs be written using Option Chain values?

The specific value I'm interested in (at least until my next cup of coffee, LOL) is the average price per day of an option's time value, or...

avg price per day = Time Value / Days Till Expiration

I know time decay doesn't happen in a linear fashion, but the calculation does have its uses.

If not, any other way to do the same thing in TC2000?

If not, and I think I already suggested this, but no harm in stuffing the ballot box for v18 ... exporting the Option Chain data would allow further analysis. The sticky bit is probably the data provide not being happy about letting exporting their data into the wild.

Thanks.

Al_Gorithm
Posted : Wednesday, August 16, 2017 11:34:59 AM

Registered User
Joined: 6/30/2017
Posts: 1,227

data provide s/b data provider

Man, I hate typos :)

Bruce_L
Posted : Wednesday, August 16, 2017 11:36:56 AM


Worden Trainer

Joined: 10/7/2004
Posts: 65,138

No, there isn't a way to reference option chain values in a Personal Criteria Formula. Thank you foryour suggestion.



-Bruce
Personal Criteria Formulas
TC2000 Support Articles
Al_Gorithm
Posted : Wednesday, August 16, 2017 11:39:08 AM

Registered User
Joined: 6/30/2017
Posts: 1,227

Thanks, Bruce!

Kendallman
Posted : Saturday, August 26, 2017 6:30:42 PM
Platinum Customer Platinum Customer

Joined: 10/7/2004
Posts: 15

QUOTE (UnclePennybags)

Bruce, apologies if I asked this already. Sounds vaguely familiar, but...

Can PCFs be written using Option Chain values?

The specific value I'm interested in (at least until my next cup of coffee, LOL) is the average price per day of an option's time value, or...

avg price per day = Time Value / Days Till Expiration

I know time decay doesn't happen in a linear fashion, but the calculation does have its uses.

If not, any other way to do the same thing in TC2000?

If not, and I think I already suggested this, but no harm in stuffing the ballot box for v18 ... exporting the Option Chain data would allow further analysis. The sticky bit is probably the data provide not being happy about letting exporting their data into the wild.

Thanks.

Kendallman
Posted : Saturday, August 26, 2017 6:31:49 PM
Platinum Customer Platinum Customer

Joined: 10/7/2004
Posts: 15

I too would like this very same feature.  We are now building lots of column setting scans and would be very helpful to have PCF's off of option value and days till expiration.  Please this feature and thank you.

 

Bruce_L
Posted : Monday, August 28, 2017 9:53:19 AM


Worden Trainer

Joined: 10/7/2004
Posts: 65,138

Thank you for your suggestion.



-Bruce
Personal Criteria Formulas
TC2000 Support Articles
zentrades
Posted : Tuesday, August 14, 2018 3:37:25 PM
Registered User
Joined: 12/31/2014
Posts: 7

I am trying to figure out how to do a condition or PCF to narrow my scan to only options with 60-90 days to expiration, but can't figure out how to. Is this now a feature on v18?

thanks

Bruce_L
Posted : Tuesday, August 14, 2018 4:40:55 PM


Worden Trainer

Joined: 10/7/2004
Posts: 65,138

You can choose how many days out you want when creating the option chain you are scanning (or choose a particular month), but I don't know of a way to choose 60 to 90 days out.



-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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