Sunday, June 14, 2009

Search for Covered Calls and also Build Options data Database

This post is in continuation to my previous blog post on getting the Options Data from websites such as Yahoo, Optionetics and Options Express. I wanted to collect End-Of-Day Options Data from those websites and search for Covered Calls that I could trade. Covered Call is a strategy wherein you buy the stock and write an Out-of-the money CALL option and thus generate monthly income from the stock. This strategy can also be used if you already own a stock and want to earn some income on it. You can also write In the Money Call Option which will give you more downside protection, but less return. At the end of each day one can run the following program and thus store the options Data and use it for further analysis.

After collecting the data, One could search for those stocks that have the highest premium and which you think are good stocks and wont mind holding on to them.


Note that this function depends on Get_Yahoo_Options_Data2.m function that I talked about in my previous blog post. One can purchase it, if interested.

%%%%%%%%%% CODE %%%%%%%%%%%%%%%%

function Out = CoveredCalls(SymbolList)
%CoveredCalls gives the Options Data and Calculates Covered Calls returns
%for a given Symbol for that particular day
% This function can also be used to build a database of Options Data
% on a daily basis.
% NOTE that This function requires Get_Yahoo_Options_Data2.m function

% Inputs: A cell array of Symbols
% Output: A structure with the following fields:
% calldata : This contains the Calls data and also has Flat and
% Exercised returns
% The colummn names are as follows:
% {'Symbol','Strike','Last','Change','Bid','Ask','Volume','Open Int',
% 'Expiry','MonthNum','time Value','Exercise Return','Flat Return'};
% RawData : This contains Both the Calls and Puts Data
% The column names are as follow:
% {'Symbol','Last','Change','Bid','Ask','Volume','Open Int','Strike',
% 'Symbol','Last','Change','Bid','Ask','Volume','Open Int',
% 'Expiry','MonthNum','Last Price'};

% Example:
% Out = CoveredCalls({'cnh','ibm'});
% If user wants a single big cell array, one can get it by using command:
% vertcat(Out.calldata{:})

% (c) tradingwithmatlab.blogspot.com

% Atleast one input is required
if(nargin < 1)
error('Atleast one Input is needed')
end
% Check if its either a cell array or Character
if~(ischar(SymbolList)||iscell(SymbolList))
error('SymbolList needs to be either a character or Cell Array')
end

if(iscell(SymbolList) && ~isvector(SymbolList))
error('SymbolList needs to be a cell array')
end

% Convert Char to a cell string
SymbolList = cellstr(SymbolList);

% Number of Symbols
nsymbols = length(SymbolList);
% Initialize
Out.calldata = cell(nsymbols,1);
Out.RawData = cell(nsymbols,1);

% for each symbol, Get the Options Data and Calculate The returns

for idx = 1:nsymbols;idx
% Get Data from YAHOO
data = Get_Yahoo_Options_Data2(SymbolList{idx});
% We are interested only in CALL options

calldata = data.Calls;
LastPrice=data.Last;

if(isempty(calldata))
continue
end
% Get the Parameters
Strike = cell2mat(calldata(:,2));
Bid = cell2mat(calldata(:,5));
LastPrice = LastPrice(ones(length(Bid),1));

% Calculate Time value---If Option Exercised
TimeValue = Strike + Bid - LastPrice;
TimeValuePercent = TimeValue./LastPrice;

% Calculate Flat return
FlatReturn = Bid ./ LastPrice;

% Store the data
Out.calldata{idx} = [repmat(SymbolList(idx),size(calldata,1),1),...
calldata num2cell([TimeValue TimeValuePercent FlatReturn])];

Out.RawData{idx} = [data.data num2cell(LastPrice)];
end

5 comments:

Jenice said...

Thanks for sharing this awesome detail about covered calls and a function with the help of which one can easily search for those stocks that have the highest premium.
options trading software

binary options said...

Very interesting, this is one of my favorite posts I have read on your site and I really appreciate the given information. Thanks for a great job !

Anonymous said...

do you find the bid and ask for options at EOD are true bid and ask, it seems like they move them out of the market range after the close?

mithila anderson said...

There are significant variations between binary option trading and a regular trading. Under ordinary trading you really own the asset and may possess it for if you desire. Binary Options Under option buying and selling, you are actually trading about the variances of the resource.

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