- Platform
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- Thinkorswim
These set of indicators plot the CALL and PUT option volumes in a histogram. You will need to adjust the expiration dates and price range. I am hoping we can enhance this indicator to automatically determine the price ranges and expiration dates. Another possible enhancement is to combine both indicators into one lower chart so CALL and PUT volumes can be compared easily.
Call Volume
Put Volume
Call Volume
Code:
# Options Call Volume
# Initial script by JeanTann3en
# Refactored and optimized by Wahakalaka
# This thinkscript will pull option call volume for the underlying symbol
# and then overlay it on a histogram, for the configured dates.
#input exp = "200417";
#input start_price = 2600;
#input end_price = 2700;
#input type = "C";
#def agg_put_vol = fold strike = start_price to end_price with v do v +
#if IsNaN(volume(Concat(".", Concat("SPX", Concat(exp, Concat(type, AsPrice(strike))))))) then 0
#else volume(Concat(".", Concat("SPX", Concat(exp, Concat(type, AsPrice(strike))))));
declare lower;
declare once_per_bar;
input strike_start = 4600;
input strike_end = 4700;
input date01 = "211112";
input date02 = "211115";
input date03 = "211117";
input type= "C";
input hours_to_graph=10;
def barNum = if IsNaN( close ) then Double.NaN else barNumber();
def lastBar = HighestAll( barNum );
def call_vol_agg_01;
def call_vol_agg_02;
def call_vol_agg_03;
if BarNumber() > lastBar-(hours_to_graph*60) then{
call_vol_agg_01 = fold strike = strike_start to strike_end with v do v +
if IsNaN(volume(Concat(".", Concat("SPXW", Concat(date01, Concat(type, AsPrice(strike))))))) then 0
else if 49 > volume(Concat(".", Concat("SPXW", Concat(date01, Concat(type, AsPrice(strike)))))) then 0 else
volume(Concat(".", Concat("SPXW", Concat(date01, Concat(type, AsPrice(strike))))));
call_vol_agg_02 = fold strike2 = strike_start to strike_end with v1 do v1 +
if IsNaN(volume(Concat(".", Concat("SPXW", Concat(date02, Concat(type, AsPrice(strike2))))))) then 0
else if 49 > volume(Concat(".", Concat("SPXW", Concat(date02, Concat(type, AsPrice(strike2)))))) then 0 else
volume(Concat(".", Concat("SPXW", Concat(date02, Concat(type, AsPrice(strike2))))));
call_vol_agg_03 = fold strike3 = strike_start to strike_end with v2 do v2 +
if IsNaN(volume(Concat(".", Concat("SPXW", Concat(date03, Concat(type, AsPrice(strike3))))))) then 0
else if 49 > volume(Concat(".", Concat("SPXW", Concat(date03, Concat(type, AsPrice(strike3)))))) then 0 else
volume(Concat(".", Concat("SPXW", Concat(date03, Concat(type, AsPrice(strike3))))));
} else {
call_vol_agg_01 =0;
call_vol_agg_02 =0;
call_vol_agg_03 =0;
}
def total_call_agg = call_vol_agg_01 + call_vol_agg_02 + call_vol_agg_03;
plot CallVolAgg = total_call_agg;
# Data is visualized with an overlayed histogram.
# Because alpha values cannot be passed to CreateColor, please remember to set white to 99 alpha under RGB.
CallVolAgg.SetPaintingStrategy(PaintingStrategy.SQUARED_HISTOGRAM);
CallVolAgg.AssignValueColor(if CallVolAgg >= 1000 then CreateColor(35, 158, 201) else Color.DARK_GRAY);
AddLabel(1, "SPX Calls", CreateColor(35, 158, 201));Put Volume
Code:
# Options Put Volume
# Initial script by JeanTann3en
# Refactored and optimized by Wahakalaka
# This thinkscript will pull option call volume for the underlying symbol
# and then overlay it on a histogram, for the configured dates.
#input exp = "200417";
#input start_price = 2600;
#input end_price = 2700;
#input type = "C";
#def agg_put_vol = fold strike = start_price to end_price with v do v +
#if IsNaN(volume(Concat(".", Concat("SPX", Concat(exp, Concat(type, AsPrice(strike))))))) then 0
#else volume(Concat(".", Concat("SPX", Concat(exp, Concat(type, AsPrice(strike))))));
declare lower;
declare once_per_bar;
input strike_start = 4600;
input strike_end = 4700;
input date01 = "211112";
input date02 = "211115";
input date03 = "211117";
input type= "P";
input hours_to_graph=5;
def barNum = if IsNaN( close ) then Double.NaN else barNumber();
def lastBar = HighestAll( barNum );
def call_vol_agg_01;
def call_vol_agg_02;
def call_vol_agg_03;
#AddLabel(yes,Concat(".", Concat("SPXW", Concat(date01, Concat(type, AsPrice(2300))))));
if BarNumber() > lastBar-(hours_to_graph*60) then{
call_vol_agg_01 = fold strike = strike_start to strike_end with v do v +
if IsNaN(volume(Concat(".", Concat("SPXW", Concat(date01, Concat(type, AsPrice(strike))))))) then 0
else if 49 > volume(Concat(".", Concat("SPXW", Concat(date01, Concat(type, AsPrice(strike)))))) then 0 else
volume(Concat(".", Concat("SPXW", Concat(date01, Concat(type, AsPrice(strike))))));
call_vol_agg_02 = fold strike2 = strike_start to strike_end with v1 do v1 +
if IsNaN(volume(Concat(".", Concat("SPXW", Concat(date02, Concat(type, AsPrice(strike2))))))) then 0
else if 49 > volume(Concat(".", Concat("SPXW", Concat(date02, Concat(type, AsPrice(strike2)))))) then 0 else
volume(Concat(".", Concat("SPXW", Concat(date02, Concat(type, AsPrice(strike2))))));
call_vol_agg_03 = fold strike3 = strike_start to strike_end with v2 do v2 +
if IsNaN(volume(Concat(".", Concat("SPXW", Concat(date03, Concat(type, AsPrice(strike3))))))) then 0
else if 49 > volume(Concat(".", Concat("SPXW", Concat(date03, Concat(type, AsPrice(strike3)))))) then 0 else
volume(Concat(".", Concat("SPXW", Concat(date03, Concat(type, AsPrice(strike3))))));
} else {
call_vol_agg_01 =0;
call_vol_agg_02 =0;
call_vol_agg_03 =0;
}
def total_call_agg = call_vol_agg_01 + call_vol_agg_02 + call_vol_agg_03;
plot CallVolAgg = total_call_agg;
# Data is visualized with an overlayed histogram.
# Because alpha values cannot be passed to CreateColor, please remember to set white to 99 alpha under RGB.
CallVolAgg.SetPaintingStrategy(PaintingStrategy.SQUARED_HISTOGRAM);
CallVolAgg.AssignValueColor(if CallVolAgg >= 1000 then CreateColor(255, 0, 0) else Color.DARK_GRAY);
AddLabel(1, "SPX Puts", CreateColor(255, 0,0));