Add additional data to returned option sets

Add additional data to returned option sets

Usage

av_opt_helper_cols(indta, scaling = NULL, spot = NULL)

Arguments

indta

An option data.table as returned by av_get_pf()

scaling

(default NULL) Scaling factor for marks, last values, and greeks. Options are

• NULL or "none" : No Scaling

• "10contracts" : 10 contracts converted into market value

• "10kMV" : 10,000 USD converted into equivalent market value

• number : Any numeric value in thousands of USD into equivalent market value

spot

(default NULL) Spot to be used to determine itm/otm, If null then it is inferred from most out of the money call or put Note: This parameter only applies if there is one symbol in indta. If there is more than one ticker in indta a column spot must be in indta to get correct results.

Value

An option data.table with extra columns helpful for further analysis

Details

Adds columns including

Column	Definition
daysExp	Days to Expiration
bo_pct	Bid offer in percent of option mid
bid_size_poi	Bid size percent of open interest
ncak	Notional number of contracts

See also

av_grep_opts()

Examples

if (FALSE) { # \dontrun{
av_get_pf("IBM","HISTORICAL_OPTIONS") |> av_grep_opts("F,M,put",mindays=2) |> av_opt_helper_cols()
} # }