Screen for Stocks Trading a Lot of Options on Average
Author: sedelstein
Creation Date: 12/26/2016 4:18 PM
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sedelstein

#1
I was reading an article on a website that referenced a tool that would allow screening on optional stocks. Specifically, it screened for stocks that trade at least 1,000 options a day and those options have an average bid/ask spread of less than 2%

While I know that the bid-ask data is not available, is there a way in W/L to find stocks that trade "a lot" of options on average?

Thanks for the help.
Wishing W/L users a prosperous new year.
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Cone

#2
No feature for that in Wealth-Lab.

Thanks for the New Year's wishes, and the same for you!
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sedelstein

#3
Found this

http://research.investors.com/options-center/reports/option-volume

Not automated but gets part way there
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Eugene

#4
Steve, and here's something for you to start with:

1. In the strategy's References... dialog, add references to System.Core, System.Xml and System.Web.
2. Make sure that HtmlAgilityPack.dll exists in WLP main folder (comes with many extensions like Community.Components).

CODE:
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