To those that responded, either through PM or email, what I'd like to do is capture Open Interest on a daily basis for each expiry date, ie., all Jan Wk1 Calls and all Jan Wk 1 Puts, and so on through the Jan 14 contracts.
I'd like the data in tab delimited format so that I can put it into a spreadsheet for trend analysis.
In the future, as we become proficient with expiry data, I'd like to further break Open Interest out by Strike.
What I'm ultimately hoping to discern is which Strikes, and which Expiries are getting the most interest through CURRENT trend analysis. The deal is that motivations, hence trends, change. A contract written two or three months ago reflects overall perceived interest, but does not reflect CURRENT interest trends.
As an example of another way of deciphering Open Interest data, current P/C Ratio groups all contracts, regardless of Strike or Expiry together. Currently for every 100 Calls being written there are 68 Puts being written. Current P/C Ratio data as disseminated does not show if Jan Wk1 P/C Ratio is 1.2:1 (very Bearish) while Jan Wk2 Ratio is .55:1 (very Bullish). Breaking out Strike data would complete the story as we would have indication of LT trend (present P/C Ratio data format), AND ST trend (Expiry and Strike) on a current basis.
I don't have the ability to capture this data with my online broker - OptionsXpress. I'm pretty sure you can with APIs from Interactive Brokers (?).
Explaining what I'm trying to accomplish is difficult for me, so understanding what I want is even harder. I'm open for all questions. I can do it manually, but I do have a life that does not involve investing. I'd like to enjoy that as well.