Thinkscript indictor that graphs the volume of SPX options on a SPY or /ES graph. I've found this usefull to track intraday SPY movements. Large SPX options volume seems to be much more correlated with SPY then SPY option volume.
- This is forked from an original repo from JeanTann3n.
Another example (excuse the terrible use of Paint)
- This will not work on SPX as there is no volume on SPX in TOS so the volume() functions will not work.
- The options will turn red/blue if the volume is > 1000.
- The "hours to graph" input is assuming 1 min aggregation
- There is a lot of data being processed, I would recommend using a longer aggregation period or a shorter time interval if you're seeing performance issues. This will still work on 1 min interval I prefer 2min.
- I would suggest upping your RAM to as high as possible.
- Currently strikes are pulled in dollar increments.
- It might take a while to load everything, be patient.
- This is ONLY for SPX Options
- Strike ranges and expirations need to be set manually but they can be pretty large. On the plus side this allows for effective filtering to a specific delta range if you look up what the strike range is for the equivalent delta range.
- The volume data is not raw order data, so specific sale prices, order sizes, etc. cannot be inferred.
Clone the repo or download the files. Click studies --> import then browse to the .ts files.
Feel free to ping me @harrib or @jeantann3n with questions or add issues/bugs in github!