Open interest

#1
Greetings !

I have been trading for the past five years with both incomes and expenses (majority).

Nifty Open interest (EOD) seems to provide the exact picture of the day.

I request the masters to provide your valuable comments on below mentioned points : -

a) The daily option matrix (End of Day) including price, volume and
open interest along with value, change and percentage change for
various strike prices.

b) The daily graph / chart for various option strike prices (Intra
day), I repeat, intraday for the past available data.

c) The formula is - Whenever the open interest of any particular
call or put strike price is double or half (with 1% to 2 %
difference on either side ) of corresponding call or put strike price,
the system should give an alert, in respect of forthcoming days.

While scanning or back testing this search, the system should list out
those days (End of Day) for checking other parameters.

For example : -

Suppose / Assume that on 9th September, 2014 : -

8100 Call the open interest % is 45%. And 8100 Put the open
interest % is 90.1%

Hence the open interest % of put is double, the open interest % of call.

OR

The open interest % of call is half, the open interest % of put.


Then while back testing or scanning, the system should list the date
of 9th September, 2014

After that, check the daily option matrix (End of Day)
including price, volume and open interest along with value, change and
percentage change for various strike prices.for 9th September, 2014.

Then see the 8100 Put and 8100 Call Option Chart
for the next trading date, which is 10th September, 2014. ( I repeat
September, 2014 series, which was the current during that period)



The doubling or half of open interest should include both positive
and negative differences.

Example on : - Suppose / Assume that on 14th September, 2014 : -

8400 Call the open interest % is -14%. (negative 14%) And 8400
Put the open interest % is 27.2%

The scanning or back testing should list the date of 14th September, 2014.


The scope of stock is Nifty, Bank Nifty and CNXIT


The all strike price range (only round strike prices. like …..7900,
8000, 8100, 8200, 8300, 8400 …….etc avoiding 7950, 8050, 8150,
8250, 8350 ……..)


Hope you have understood the requirements.

Awaiting your comments.
 

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