Screen for Stocks Trading a Lot of Options on Average

Author: sedelstein

Creation Date: 12/26/2016 4:18 PM

Wealth Lab » General » Screen for Stocks Trading a Lot of Options on Average

sedelstein

12/26/2016 4:18 PM

I was reading an article on a website that referenced a tool that would allow screening on optional stocks. Specifically, it screened for stocks that trade at least 1,000 options a day and those options have an average bid/ask spread of less than 2%

While I know that the bid-ask data is not available, is there a way in W/L to find stocks that trade "a lot" of options on average?

Thanks for the help.
Wishing W/L users a prosperous new year.

Cone

12/27/2016 8:32 AM

No feature for that in Wealth-Lab.

Thanks for the New Year's wishes, and the same for you!

sedelstein

12/28/2016 3:39 AM

Found this

http://research.investors.com/options-center/reports/option-volume

Not automated but gets part way there

Eugene

12/28/2016 7:34 AM

Steve, and here's something for you to start with:

1. In the strategy's References... dialog, add references to System.Core, System.Xml and System.Web.
2. Make sure that HtmlAgilityPack.dll exists in WLP main folder (comes with many extensions like Community.Components).

CODE:
Please log in to see this code.

Size:

Color:

Steve, and here's something for you to start with:

1. In the strategy's [i]References... [/i]dialog, add references to [b]System.Core[/b], [b]System.Xml[/b] and [b]System.Web[/b].
2. Make sure that [b]HtmlAgilityPack.dll[/b] exists in WLP main folder (comes with many extensions like Community.Components).

[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using HtmlAgilityPack;
using System.Net;
using System.Linq;
using System.Web;

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		protected override void Execute()
		{
			HtmlAgilityPack.HtmlDocument doc = new HtmlAgilityPack.HtmlDocument();
			doc.LoadHtml(DownloadPage());
			
			if (doc.DocumentNode != null)
			{
				var items = doc.DocumentNode.SelectNodes(
					"//div[@id='optionReport']/div//table//tr[@class='row']").ToList().Select(n =>
					new
					{
						CompanyName = HttpUtility.HtmlDecode(n.ChildNodes[1].InnerText),
						Symbol = n.ChildNodes[2].InnerText,
						AverageVolume = double.Parse(n.ChildNodes[3].InnerText),
						});

if (items.ToArray().Count() > 0)
				{
					foreach (var t in items.ToArray())
					{
						try
						{
							PrintDebug(t.Symbol + "\t" + t.AverageVolume+ "\t" + t.CompanyName);
						}
						catch (Exception ex)
						{
							PrintDebug(ex.Message + "\t" + t.ToString());
							break;
						}
					}
				}
			}
		}
		
		private string DownloadPage()
		{
			string result = null;
			try
			{
				using (WebClient client = new WebClient())
				{
					client.Headers.Add("Referer", "http://research.investors.com/options-center/reports/");
					result = client.DownloadString("http://research.investors.com/options-center/reports/option-volume");
				}
			}
			catch { }

return result;
		}

}
}[/code]

Wealth Lab » General » Screen for Stocks Trading a Lot of Options on Average