Applying Scanning in 3 OTMs

Streak - backtesting
1

I want to scan to options 3 strikes place away from ATM. for example, if current atm is 17500. I want to apply scanning to 17500 to 17800 OTM calls and 17500 to 17200 OTM puts. It is there in strategy but I couldn’t able to apply the same in scan. Any idea?

2

@Streak can you.

3

Hi @TradingDude,

Strike selection on the basis of distance from ATM done by Dynamic Contract can only be used in a Strategy. The scanner will filter on all strikes within the basket and not on the basis of position (ATM, ITM, OTM).

This is not possible in a scanner currently. But, I have taken note of this requirement.

1 Like
4

Thanks for making a note of this request. I tried a workaround by applying below condition but, it works only against CE and not on PE. any idea?

Option greeks(delta,0,10,0) higher than equal to 0.55
and
Option greeks(delta,0,10,0) lower than equal to 0.25

5

You need to use Abs function like
Abs(Option greeks(delta,0,10,0)) lower than xxx

Put has a negative delta. Note the underlying is the index spot and not the future