John W Regular  Posts: 87 Joined: 8/1/2011 Location: Sydney, NSW, Australia  User Profile | Yes that data was EOD and is from Nirvana's open interest and volume indicators which is the sum of all open interests and all volume across all call option strikes. Conceptually the same as looking at volume EOD to see how many shares traded during the day. My simple calloi() and callvol() example was to identify symbols likely to have call options that are well traded and available strikes, so when you place trades you've got a good chance to enter and exit at reasonable fill prices. I like your idea to have a Nirvana indicator "don't trade this option unless there is an open interest of at least 100". | |
