I built a script that screens and visualizes options contracts that are in relatively high demand in real time.
“Demand” is based on bid size and premium as a % of the strike price. Sorting and plotting the highest % return and the lowest delta yields tickers that reliably make large absolute moves in the following few weeks, but direction is less predictable. How would you trade with this info? What other data should I be analyzing to possibly make directional trades on the underlying securities that hit the scanner?
Posted by tony_letigre