John W Regular  Posts: 87 Joined: 8/1/2011 Location: Sydney, NSW, Australia  User Profile | I've had a look to see if I still have those custom Omniscans from about 5 years ago, but they have been overwritten. CallOI() - you could try looking for greater than (say) 500,000 and then use CallVol() in the sort field descending to filter for the top 30. You could also try a simple liquid stocks sort filter such as SMA(C*V,10) and use the top 30. This 2nd formula may even be better than the first, it needs to be researched. SPY is by far the most liquid symbol to trade so don't forget the ETF's - a good starting list is All US Stocks & ETF's with weekly options. Compare the 2 approaches and see what you like best, or even develop a combo. I'd use just a normal todo list run to start and when you are happy with an approach then extend that to a dynamic run to see if that approach has merit over time. Bear in mind that when you restrict to 30 symbols that you will need to add more strategies to get a reasonable number of trades. I also suggest looking in detail at the option chains when in option trader, its very illuminating to review various strikes and see the volume and open interest at those strikes. I had no idea how thinly traded some option strikes are until I looked into the detail. A simple short cut for those who don't like number detail is to plot Call Open Interest and Call Volume on a chart (right click > Add Indicator > Option Module). Just click through the charts and be surprised e.g. look at SPY, AAPL then look at AVGO, both are in the 187 symbols set that we regularly use. SPY - Open Interest 7,413,000; Call Volume yesterday 1,459,000 AAPL - Open Interest 1,541,000; Call Volume yesterday 516,000 AVGO - Open Interest 83,000; Call Volume yesterday 8,000. The 20th traded symbol using the first filter I suggested at the start of this message was EEM. EEM - Open Interest 4,025,000; Call Volume yesterday 207,000. Notice how rapidly the liquidity declines, the 20th most active symbol yesterday had only 15% of the volume liquidity of SPY. The 30th most active (DIS) had only 7% of the volume liquidity of SPY. AVGO had 0.1% the volume liquidity of SPY. In this example, trading AVGO options at this time could cost a trader his or her shirt! | |
