Click here to Login








Individual Stocks Put and Call Volume

by Patrick Fonce, 588 days ago
Share |






The OCC, which stands for Options Clearing Corporation, is the world largest equity derivatives clearing organization. The OCC was founded in 1973 and it is under the jurisdiction of the CFTC, Commodity Futures Trading Commission and the SEC, Securities and Exchange Commission.
One of the OCC role is to clear transactions for put and call options on stocks, indexes, currencies, interest rate composites, futures stocks, futures and options on futures contracts.

The OCC has a record of all transactions that involve put and call options for all U.S. securities.
The current item downloads this data, which is made available on the Options Clearing Corporation website, and creates a database that will store the stocks put and call volume.
This item not only gets the volume of put and call options traded for U.S. stocks and for each trading day, it also gets the volume of put and call options traded by customers, firms and market makers.

The data is available since February 2008 and can be downloaded on a daily-basis. The database that will store the data is named 'putcall_volume'. It has nine fields:
Date: The date that corresponds to the volume data.
Call_Customer: The stock options call volume traded by customers. Customers refer to small and retail investors.
Put_Customer: The stock options put volume traded by customers.
Call_Firm: The stock options call volume traded by firms. Firms refer to Brokers and Dealers.
Put_Firm: The stock options put volume traded by firms.
Call_Market_Maker: The stock options call volume traded by market makers. Market makers refer to exchange members.
Put_Market_Maker: The stock options put volume traded by market makers.
Call_Total: The total stock options call volume traded for a particular date.
Put_Total: The total stock options put volume traded for a particular date.

To display the Put/Call ratio, you can use the following formula:
a = GetData("putcall_volume", "put_total", LastData) / GetData("putcall_volume", "call_total", LastData);
Plot(a,"put-call-ratio",colorBlack,chartLine,styleOwnScale);
This will plot the daily Put/Call ratio for a particular stock. The Put/Call ratio is a popular tool designed to help investors gauge the sentiment of a particular security.
The Put/Call ratio is generally used as a sentiment measure of the overall market. But research has shown that using individual stocks Put/Call ratio is more interesting.

You can also create some interesting time-series, like the percentage of the total call volume made by market makers:
a = GetData("putcall_volume", "call_market_maker", LastData) / GetData("putcall_volume", "call_total", LastData);
Plot(a,"market_makers",colorBlack,chartLine,styleOwnScale);

----------------------
Important:
If the downloader doesn't work then you should add a new file (with a text editor), name it "QuantShare.exe.config" and save it under c:\program files\ctrading\quantshare
The content of the file should be:

<?xml version="1.0" encoding="utf-8" ?>
<configuration>
<startup><supportedRuntime version="v4.0" sku=".NETFramework,Version=v4.0"/></startup>
</configuration>


Share This ->
Share |


You have to log in to bookmark this object
What is this?




Type: Download Script

Object ID: 357


Country:
United States

Market: Options Market

Style:
Technical Analysis

Reviews
You must log in first

Join now
and get instant access for free to the trading software, the Sharing server and the Social network website.
Click here


Related objects
Show All
Barchart GetHistory (by Christian, uploaded few weeks ago)
No notes

Rate an item Rate an item Rate an item Rate an item Rate an item Number of downloads 4 Notes Report an item
Quandl.com Universal Downloader (by Jim Harrison, uploaded several months ago)
No notes

Rate an item Rate an item Rate an item Rate an item Rate an item Number of downloads 120 Notes Report an item
One-Minute Data for Intraday Futures (by bug man, uploaded several months ago)
No notes

Rate an item Rate an item Rate an item Rate an item Rate an item Number of downloads 147 Notes Report an item
Splits Calendar - Historical data for U.S. Stocks (by Patrick Fonce, uploaded several months ago)
No notes

Rate an item Rate an item Rate an item Rate an item Rate an item Number of downloads 89 Notes Report an item
Historical Earnings Calendar Data for U.S. Stocks - Date/Time and EPS (by Patrick Fonce, uploaded several months ago)
No notes

Rate an item Rate an item Rate an item Rate an item Rate an item Number of downloads 228 Notes Report an item
Intraday Data for NSE Stocks (by Tom Huggens, uploaded several months ago)
No notes

Rate an item Rate an item Rate an item Rate an item Rate an item Number of downloads 228 Notes Report an item
Options Market - Trading volume data per Exchange for US Stocks (by Patrick Fonce, uploaded several months ago)
No notes

Rate an item Rate an item Rate an item Rate an item Rate an item Number of downloads 36 Notes Report an item
Number of reviews
Click to add a review
Average rate
Click to rate this item
Number of times this object was downloaded
Number of rates the current object received
Report an object
if you can't run it for example or if it contains errors
Click to report this object

Technical Analysis


Fundamental Analysis



Random Blog Posts

What's new in this trading software?

Historical volatility estimators

Short Selling Stocks

Stock split & dividend

Survivorship bias

Transaction Costs

How scripts communicate with each other

How to simulate options strategies

Show All

Number of reviews
Click to add a review
Average rate
Click to rate this item
Number of times this object was downloaded
Number of rates the current object received
Report an object
if you can't run it for example or if it contains errors
Click to report this object






QuantShare
Product
QuantShare
Features
Create an account
Affiliate Program
Support
Contact Us
Trading Forum
How-to Lessons
Manual
Company
About Us
Privacy
Terms of Use

Copyright 2019 QuantShare.com
Social Media
Follow us on Facebook
Twitter Follow us on Twitter
Google+
Follow us on Google+
RSS Trading Items



Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.