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Option Chain

The document provides instructions for setting up options chain analysis in Amibroker. It details copying specific AFL files to specific directories, setting the strike multiple for different symbols, ensuring required options symbols are defined, and using the OptionsChainWithOI AFL by double clicking on it in a chart to generate the options chain graph.

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anil singh
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172 views4 pages

Option Chain

The document provides instructions for setting up options chain analysis in Amibroker. It details copying specific AFL files to specific directories, setting the strike multiple for different symbols, ensuring required options symbols are defined, and using the OptionsChainWithOI AFL by double clicking on it in a chart to generate the options chain graph.

Uploaded by

anil singh
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd

Options Chain AFL Setups and Pre-requisites

Setup

1. Copy the AFL files in the appropriate directory


There are three files
- OptionsPricing.afl
- OptionSymbols.afl
- OptionsChainWithOI.afl

Copy the first two files (OptionsPricing.afl and OptionSymbols.afl) into the folder
<Amibroker directory>\Formulas\Include

Copy OptionsChainWithOI.afl to <Amibroker directory>\Formulas\Custom folder

The first two files are generic function which can be used in any AFL for Option Pricing and
generating options symbols. Since these functions are generic they are stored in a separate common
directory so that they can be access easily in the future.

2. Update Strike Multiple


Each Future contract has a different Strike Multiple. Bank Nifty has 100, Nifty is 50, TCS is 20
and so on. The following setup will help tell Amibroker what is the Strike multiple for a
symbol. Select a Symbol and then from AmiBroker Menu>Symbols>Information tab

In the Information Tab, Enter the Strike Multiple for that Symbol. Below I am enter the Strike
Multiple as 100 for BankNifty_I in the “Shares Out.” Field. This is a onetime setup so that
every time we don’t need to tell Amibroker the Strike Multiple.
Similarly for NIFTY_I, you enter the value of 50 in the “Shares Out.” Field.

Pre-requisites

Ensure that all the required Options Symbols are defined in our Amibroker Database. The Options
Chain is Dynamic AFL. It plots the options strikes around the ATM. i.e. +/- 10 to 15 Strikes around the
ATM. So lets say BNF is trading at 22400, the Chain will plot strikes from 23400 to 21400. These
symbols have to be present in the Amibroker database.
Using the AFL

Go to a Blank Sheet for futures Symbol, Say BankNIFTY_I. and Simply double Click on
“OptionChainWithOI” in the Custom folder in the charts tab

The Parameter will popup.

1. Choose the DataProvider- from the dropdown. Currently on Truedata, GDFL, BestRTNex,
AccelPix , Amifeed/AmiFeeder and are supported.
2. Choose the Number of Strikes to plot
3. Enter the Expiry Date.
4. Choose Monthly or Weekly Options. Note for Stock Future do not use “Weekly”

Click on OK and you are ready to go.


If you do not like something in the design or the way it works, please do not hesitate to DM me.

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