ATM Option Price

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Pete,

Is there a way that you can code ATM Option Price for both Call and Put?

Thank you for your help,

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Posted by (Questions: 5, Answers: 5)
Asked on July 3, 2019 9:03 am
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Private answer

http://toslc.thinkorswim.com/center/reference/thinkScript/Functions/Option-Related/GetATMOption.html

After receiving feedback from the author of this post I have updated my answer to include some code to plot the close of the ATM Call and Put. Notice that for some bars no data is available. This occurs when there are no trades recorded for the given option contract for some or all of the intraday candles.

declare lower;
input expiry = 20190713;
plot atmPutPrice = close(GetATMOption(GetUnderlyingSymbol(), expiry, OptionClass.PUT));
plot atmCallPrice = close(GetATMOption(GetUnderlyingSymbol(), expiry, OptionClass.CALL));

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Posted by (Questions: 37, Answers: 4118)
Answered on July 3, 2019 12:54 pm
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Pete, My idea is trying to plot both ATM Option Price for Call and Put in 1 line in the lower section. Thanks again for your help.
( at July 7, 2019 12:58 am)
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I have updated my answer to plot these on the lower subgraph as you have requested.
( at July 7, 2019 12:56 pm)
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