The purpose of this project is to write set of scripts with Perl for screening stocks and options.
Programmer must have some understanding and experience of financial options.
There are many features in this project. This is just initial project. Much more will be awarded later after successful finish of this one. The project is described as following:
Functional
1. Download Options data from CBOE website (or similar) with following fields: Call or Put, Expiration, Strike, Ask, Bid, Ask Size, Bid Size, Volume, current stock price
2. Download Stock data from [login to view URL], price and volume from some website (e.g. [login to view URL])
3. Calculate "days to expiration" for options and add to option data
4. Save Options data in separate files by stock name in defined folder. In file header include stock information
5. Zip this folder (with all options)
Interface
1. Execution parameters (destination folder, expiration month, numbers, percent’s etc ) are loaded from separate file (loaded on start) (e.g. [login to view URL])
2. List of stocks is loaded from separate file on start (e.g. [login to view URL])
3. Calculation output can be output to specific file or directly on screen
Feature 1: Volume check
1. Run for Stocks listed in file1 (e.g. [login to view URL])
2. Ask for following parameters on execution (or take these parameters from file e.g. [login to view URL]): expiration date, Target_volume, open interest
3. Get Stock price
4. Get according Options price list with specific expiration.
5. Run calculation:
a. Current Strike = Rounded Stock Price(mathematical)
b. Open_interest_call0 = open interest for call (Current Strike)
c. Open_interest_put0 = open interest for put (Current Strike)
d. If Open_interest_call0 > Target_volume and Open_interest_put0 > > Target_volume then print (or save to file) -> Stock Ticker
I have a MBA from WashU and an engineerin g degree from Arizona State. I have more than 5 years of experience working with derivatives, and am also good with Perl scripting. I can provide you with the necessary scripts.