Indicators
Tuesday, September 17th 2019
Finding The At-The-Money Strike Given Ticker and Trade Date
Find the ATM strike given a stock ticker and trade date.
Summary
To find the nearest at-the-money (ATM) strike for a given stock ticker and trade date, use the loStrikeM1, hiStrikeM1, loStrikeM2, and hiStrikeM2 data points in the Earn Core data set, which list the nearest strike to the stock price. The associated data points straPxM1 and straPxM2 show the straddle price for these expirations. The current stock price is not in the Earn Core but in the General Core, with pxCls being the close from the day before and pxAtmIv being the stock price at the time of the options quotes.
We had a question today, "Can I get the nearest ATM strike for a given ticker and tradeDate?"
Yes, there is.
In the Earn Core data set there is are the following data points:
- loStrikeM1
- hiStrikeM1
- loStrikeM2
- hiStrikeM2
These data list the nearest strike to the stock price. There are associated data points that show the straddle price associated with these expirations called straPxM1 and straPxM2. The month1 and month2 are standard expirations on the third Friday of the month.
We used to list strangles and straddles and that is why there is a loStrike and hiStrike but now these are the same strike and we only list straddles.
The current stock price is not in the Earn Core but in the General Core. The Earn Core has pxCls which is the close from the day before. The General Core has pxAtmIv that is the stock price at the time of the options quotes.
See more Earn Core definitions here: https://docs.orats.io/data-api-guide/definitions.html#core-earn
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