a) How can we determine open interest for a given option? Does IQFeed provide this data somehow?


b) I also want to compute the greeks, I know that I will ned to compute this myself. I have a few formulas I found that show how to do it, not too bad. Curious though, does anyone have code/pseudo-code on how to calculate the greeks they could post?


Cheers,

I see that HD queries return open interest. Does that mean I can only see open interest on a daily basis? Is yesteday's open interest the best I can get or can I get more recent open interest by doing the query for today?

Bizarre - When doing an 'HD' query for an option, I get the proper OHLC values, and the volume looks okay, but Open Interest is set to 0 for every option.

Anyone else getting open interest all 0s?

Open Interest is not reported for all symbols. Can you tell me which symbols you are looking for Open Interest?

Thanks for all of the help Steve!


I haven't been able to find open interest for any of the Nasdaq option symbols. All of the google options for example, GOO IT, GOO NT, etc have 0 open interest.

After chatting with the server team, it turns out that only futures have open interest stored in history.

Does anyone have suggestions on how we can calculate open interest? It seems that knowing this figure is pretty important.

Thanks again,

Open interested is supplied in the Level 1 data (streaming quotes) for all symbols that the exchange provides it.

Judging from the example here:
http://www.investopedia.com/terms/o/openinterest.asp

I do not know of anyway that it can be calculated without knowing a lot more information than what is provided in the exchange datafeed.

For the greeks you need a cost to carry assumption (rate), a volatility assumption (rate), an interest rate (there's all kinds - open interest - yields to expiration for reversals or conversions - in the money - out of the money). You need a strike - a stock price range and an expiration.

Volatilities can be computed - they're like a moving average and a function of the underlying stock, unlike a VIX, which is a function of the option (i think).

An open interest might work.

All the greeks require a guy called the "partial derivative". Then - depending on which greeks you are interested in, the derivatives are a variation on a theme.

You can visit my web site for more info - and there is a book by Haug that offers the formulas - but some of them call Excel functions - and some - when you implement them do not agree with his results. If you make your question more specific - I might be able to help you with details.

If you're going to work with assumptions it would be pretty easy - but if you're rendering from market data, then your first effort should be to establish your metrics for volatilities and interest.