Options Data
Status: Verified against code Last Updated: 2025-12-11
What This Means
When you request an OPTIONS trade, the algorithm needs to pick a specific contract. This section explains what data we have to make that selection.
What We Get
Options Chain
The full list of available contracts for your ticker:
| Data Point | What It Tells You |
|---|---|
| Strike Price | The price the option lets you buy/sell at |
| Expiration Date | When the contract expires |
| Contract Type | CALL (bullish) or PUT (bearish) |
| Bid / Ask | Current prices to sell / buy |
| Volume | Contracts traded today |
| Open Interest | Total contracts outstanding |
The Greeks
Risk measurements for each contract:
| Greek | What It Measures | How We Use It |
|---|---|---|
| Delta | Price sensitivity (0-1) | We filter for 0.30-0.55 |
| Theta | Time decay per day | Lower = better for buyers |
| Gamma | Delta's rate of change | Not directly filtered |
| Vega | Volatility sensitivity | Not directly filtered |
| IV | Implied volatility | Noted but not filtered |
Historical Options Prices
We CAN fetch historical OHLC bars for specific options contracts.
Currently used for: Backtesting and trade evaluation
NOT used during trade plan generation — We use the current chain snapshot when selecting contracts.
How We Filter Contracts
Step 1: Direction
- Technical Agent says LONG → look at CALLs only
- Technical Agent says SHORT → look at PUTs only
Step 2: Expiration (DTE)
| Style | Days to Expiration |
|---|---|
| SCALP | 0 DTE when available (otherwise nearest expiration) |
| DAY | 3-7 DTE |
| SWING | 8-30 DTE |
| INVESTMENT | 30-60 DTE |
0DTE availability note: Index ETFs (SPY/QQQ/IWM) can have daily expirations. Most individual stocks typically only have true same-day expiration on Fridays. If 0DTE isn't available for the ticker/day, the system should use the nearest expiration and clearly flag that it is not a true 0DTE scalp.
Step 3: Delta Filtering (Three Phases)
- Phase 1: Delta 0.30 to 0.55 (ideal range)
- Phase 2: Delta 0.20 to 0.65 (expanded, if Phase 1 finds nothing)
- Phase 3: Contracts with valid bid/ask but missing delta
Step 4: Expired Contract Removal
The data source sometimes returns stale contracts. We filter out:
- Contracts where expiration is in the past
- Contracts expiring TODAY if it's after 4:00 PM ET
Mike's Top 5 Selection Criteria
- Price - Affordable within risk budget
- Volume - Liquidity for entry/exit
- Theta - Low time decay
- Delta - 0.30-0.55 range
- Open Interest - Minimum 100 contracts
Backtest Methodology (Transparency Note)
When evaluating the historical accuracy of OPTIONS trade plans, the system uses underlying stock price movement rather than actual option premium P&L.
What this means:
- If the trade plan says "BUY CALLS with stop at $95 and target at $105"
- The backtest checks if the underlying stock hit $95 (loss) or $105 (win)
- It does NOT track the actual option premium changes
Why this matters:
- This approach measures directional accuracy (was the trade direction correct?)
- It may not reflect actual option P&L due to theta decay, IV changes, or greeks
- A "win" in the backtest means the underlying moved in the predicted direction and hit the target
Implication: Win rates reflect directional accuracy of the underlying asset, which is the most important factor for options trades, but actual P&L will vary based on contract selection, timing, and market conditions.
What We DON'T Have
- Options flow (institutional orders)
- Multi-leg strategies (spreads)
- Real-time unusual activity alerts