http://www.dripinvesting.org/Tools/Tools.asp
Then I used my add-in to find the next five expiration dates from Yahoo for each ticker symbol. Then grabbed the first options page from Yahoo for each ticker and summed up the the open interest of all calls listed on the page.
I sorted by Expiry1 thru Expiry5, ascending, and by descending total open interest.
Then I broke the remaining data into groups, dropping those tickers that had no expiration dates listed (there were about 5 to 10).
I'm trying to decide how to use the data, but thought I'd post it in case anyone has any suggestions. I may just focus on the weeklies. Maybe also the Monthly 1 and Monthly 2 using a total open interest threshold (100? 300? 500?).
Anyway, the sorted data:
| Ticker | Expiry1 | Expiry2 | Expiry3 | Expiry4 | Expiry5 | Tot OI | Group |
| T | 2016-09-30 | 2016-10-07 | 2016-10-14 | 2016-10-21 | 2016-10-28 | 14816 | Weeklies |
| CVX | 2016-09-30 | 2016-10-07 | 2016-10-14 | 2016-10-21 | 2016-10-28 | 11858 | |
| XOM | 2016-09-30 | 2016-10-07 | 2016-10-14 | 2016-10-21 | 2016-10-28 | 11404 | |
| PG | 2016-09-30 | 2016-10-07 | 2016-10-14 | 2016-10-21 | 2016-10-28 | 10954 | |
| MCD | 2016-09-30 | 2016-10-07 | 2016-10-14 | 2016-10-21 | 2016-10-28 | 7494 | |
| WMT | 2016-09-30 | 2016-10-07 | 2016-10-14 | 2016-10-21 | 2016-10-28 | 7076 | |
| MO | 2016-09-30 | 2016-10-07 | 2016-10-14 | 2016-10-21 | 2016-10-28 | 5206 | |
| PEP | 2016-09-30 | 2016-10-07 | 2016-10-14 | 2016-10-21 | 2016-10-28 | 3985 | |
| JNJ | 2016-09-30 | 2016-10-07 | 2016-10-14 | 2016-10-21 | 2016-10-28 | 3648 | |
| NUE | 2016-09-30 | 2016-10-07 | 2016-10-14 | 2016-10-21 | 2016-10-28 | 3259 | |
| LOW | 2016-09-30 | 2016-10-07 | 2016-10-14 | 2016-10-21 | 2016-10-28 | 3236 | |
| TGT | 2016-09-30 | 2016-10-07 | 2016-10-14 | 2016-10-21 | 2016-10-28 | 3046 | |
| WBA | 2016-09-30 | 2016-10-07 | 2016-10-14 | 2016-10-21 | 2016-10-28 | 2645 | |
| KO | 2016-09-30 | 2016-10-07 | 2016-10-14 | 2016-10-21 | 2016-10-28 | 2351 | |
| MDT | 2016-09-30 | 2016-10-07 | 2016-10-14 | 2016-10-21 | 2016-10-28 | 1923 | |
| MMM | 2016-09-30 | 2016-10-07 | 2016-10-14 | 2016-10-21 | 2016-10-28 | 1039 | |
| CL | 2016-09-30 | 2016-10-07 | 2016-10-14 | 2016-10-21 | 2016-10-28 | 918 | |
| ADM | 2016-09-30 | 2016-10-07 | 2016-10-14 | 2016-10-21 | 2016-10-28 | 691 | |
| EMR | 2016-10-21 | 2016-11-18 | 2016-12-16 | 2017-01-20 | 2017-03-17 | 8320 | Monthly 1 |
| CLX | 2016-10-21 | 2016-11-18 | 2016-12-16 | 2017-01-20 | 2017-04-21 | 3653 | |
| HP | 2016-10-21 | 2016-11-18 | 2016-12-16 | 2017-01-20 | 2017-03-17 | 2699 | |
| APD | 2016-10-21 | 2016-11-18 | 2016-12-16 | 2017-01-20 | 2017-03-17 | 2234 | |
| HRL | 2016-10-21 | 2016-11-18 | 2016-12-16 | 2017-01-20 | 2017-03-17 | 1789 | |
| ITW | 2016-10-21 | 2016-11-18 | 2016-12-16 | 2017-03-17 | 2288 | ||
| SHW | 2016-10-21 | 2016-11-18 | 2016-12-16 | 2017-03-17 | 1380 | ||
| BDX | 2016-10-21 | 2016-11-18 | 2016-12-16 | 2017-03-17 | 731 | ||
| DOV | 2016-10-21 | 2016-11-18 | 2016-12-16 | 2017-03-17 | 432 | ||
| MKC | 2016-10-21 | 2016-11-18 | 2016-12-16 | 2017-03-17 | 285 | ||
| LEG | 2016-10-21 | 2016-11-18 | 2016-12-16 | 2017-03-17 | 160 | ||
| RLI | 2016-10-21 | 2016-11-18 | 2016-12-16 | 2017-03-17 | 135 | ||
| CSL | 2016-10-21 | 2016-11-18 | 2016-12-16 | 2017-03-17 | 110 | ||
| NNN | 2016-10-21 | 2016-11-18 | 2016-12-16 | 2017-03-17 | 101 | ||
| NDSN | 2016-10-21 | 2016-11-18 | 2016-12-16 | 2017-03-17 | 80 | ||
| CINF | 2016-10-21 | 2016-11-18 | 2016-12-16 | 2017-03-17 | 78 | ||
| AWR | 2016-10-21 | 2016-11-18 | 2016-12-16 | 2017-03-17 | 59 | ||
| SEIC | 2016-10-21 | 2016-11-18 | 2016-12-16 | 2017-03-17 | 42 | ||
| LANC | 2016-10-21 | 2016-11-18 | 2016-12-16 | 2017-03-17 | 26 | ||
| VVC | 2016-10-21 | 2016-11-18 | 2016-12-16 | 2017-03-17 | 24 | ||
| CLC | 2016-10-21 | 2016-11-18 | 2016-12-16 | 2017-03-17 | 19 | ||
| MCY | 2016-10-21 | 2016-11-18 | 2016-12-16 | 2017-03-17 | 16 | ||
| NWN | 2016-10-21 | 2016-11-18 | 2016-12-16 | 2017-03-17 | 13 | ||
| JKHY | 2016-10-21 | 2016-11-18 | 2016-12-16 | 2017-03-17 | 12 | ||
| CTWS | 2016-10-21 | 2016-11-18 | 2016-12-16 | 2017-03-17 | 2 | ||
| PNY | 2016-10-21 | 2016-11-18 | 2016-12-16 | 2017-03-17 | 1 | ||
| VFC | 2016-10-21 | 2016-11-18 | 2017-01-20 | 2017-02-17 | 2017-05-19 | 4752 | Monthly 2 |
| AFL | 2016-10-21 | 2016-11-18 | 2017-01-20 | 2017-02-17 | 2017-05-19 | 1942 | |
| ED | 2016-10-21 | 2016-11-18 | 2017-01-20 | 2017-02-17 | 2017-05-19 | 1534 | |
| SYY | 2016-10-21 | 2016-11-18 | 2017-01-20 | 2017-02-17 | 2017-05-19 | 1441 | |
| GD | 2016-10-21 | 2016-11-18 | 2017-01-20 | 2017-02-17 | 2017-05-19 | 1108 | |
| HCP | 2016-10-21 | 2016-11-18 | 2017-01-20 | 2017-04-21 | 2018-01-19 | 15198 | |
| BEN | 2016-10-21 | 2016-11-18 | 2017-01-20 | 2017-04-21 | 2018-01-19 | 8386 | |
| KMB | 2016-10-21 | 2016-11-18 | 2017-01-20 | 2017-04-21 | 2018-01-19 | 8121 | |
| SWK | 2016-10-21 | 2016-11-18 | 2017-01-20 | 2017-04-21 | 2018-01-19 | 4041 | |
| TROW | 2016-10-21 | 2016-11-18 | 2017-01-20 | 2017-04-21 | 3930 | ||
| GWW | 2016-10-21 | 2016-11-18 | 2017-01-20 | 2017-04-21 | 1419 | ||
| ORI | 2016-10-21 | 2016-11-18 | 2017-01-20 | 2017-04-21 | 1370 | ||
| BCR | 2016-10-21 | 2016-11-18 | 2017-01-20 | 2017-04-21 | 1032 | ||
| BMS | 2016-10-21 | 2016-11-18 | 2017-01-20 | 2017-04-21 | 2018-01-19 | 651 | |
| NFG | 2016-10-21 | 2016-11-18 | 2017-01-20 | 2017-04-21 | 621 | ||
| MDU | 2016-10-21 | 2016-11-18 | 2017-01-20 | 2017-04-21 | 452 | ||
| SON | 2016-10-21 | 2016-11-18 | 2017-01-20 | 2017-04-21 | 382 | ||
| ATO | 2016-10-21 | 2016-11-18 | 2017-01-20 | 2017-04-21 | 238 | ||
| UGI | 2016-10-21 | 2016-11-18 | 2017-01-20 | 2017-04-21 | 189 | ||
| ABM | 2016-10-21 | 2016-11-18 | 2017-01-20 | 2017-04-21 | 121 | ||
| PPG | 2016-10-21 | 2016-11-18 | 2017-02-17 | 2017-05-19 | 3540 | Monthly 3 | |
| ADP | 2016-10-21 | 2016-11-18 | 2017-02-17 | 2017-05-19 | 1378 | ||
| PNR | 2016-10-21 | 2016-11-18 | 2017-02-17 | 2017-05-19 | 1371 | ||
| GPC | 2016-10-21 | 2016-11-18 | 2017-02-17 | 2017-05-19 | 1135 | ||
| RPM | 2016-10-21 | 2016-11-18 | 2017-02-17 | 2017-05-19 | 712 | ||
| CTAS | 2016-10-21 | 2016-11-18 | 2017-02-17 | 2017-05-19 | 678 | ||
| SPGI | 2016-10-21 | 2016-11-18 | 2017-02-17 | 2017-05-19 | 388 | ||
| PH | 2016-10-21 | 2016-11-18 | 2017-02-17 | 2017-05-19 | 192 | ||
| UVV | 2016-10-21 | 2016-11-18 | 2017-02-17 | 2017-05-19 | 128 | ||
| BKH | 2016-10-21 | 2016-11-18 | 2017-02-17 | 2017-05-19 | 111 | ||
| RAVN | 2016-10-21 | 2016-11-18 | 2017-02-17 | 2017-05-19 | 58 | ||
| EV | 2016-10-21 | 2016-11-18 | 2017-02-17 | 2017-05-19 | 47 | ||
| BRC | 2016-10-21 | 2016-11-18 | 2017-02-17 | 2017-05-19 | 26 | ||
| CBSH | 2016-10-21 | 2016-11-18 | 2017-02-17 | 2017-05-19 | 7 | ||
| FRT | 2016-10-21 | 2016-11-18 | 2017-02-17 | 267 | |||
| TDS | 2016-10-21 | 2016-11-18 | 2017-02-17 | 196 | |||
| DCI | 2016-10-21 | 2016-11-18 | 2017-02-17 | 75 | |||
| MGEE | 2016-10-21 | 2016-11-18 | 2017-02-17 | 73 | |||
| UBSI | 2016-10-21 | 2016-11-18 | 2017-02-17 | 16 | |||
| FUL | 2016-10-21 | 2016-11-18 | 79 | Others | |||
| STR | 2016-10-21 | 2016-12-16 | 2017-01-20 | 2017-04-21 | 91 | ||
| WTR | 2016-10-21 | 2016-12-16 | 2017-03-17 | 84 | |||
| SCL | 2016-10-21 | 2016-12-16 | 2017-03-17 | 58 | |||
| MSEX | 2016-10-21 | 2016-12-16 | 2017-03-17 | 8 | |||
| GRC | 2016-10-21 | 2016-12-16 | 2017-03-17 | 5 | |||
| UHT | 2016-10-21 | 2016-12-16 | 2017-03-17 | 2 | |||
| CWT | 2016-10-21 | 2016-12-16 | 2017-03-17 | 1 | |||
| MSA | 2016-10-21 | 2016-12-16 | 2017-03-17 | 1 | |||
| SJW | 2016-10-21 | 2016-12-16 | 2017-03-17 | 0 | |||
| TR | 2016-10-21 | 2016-12-16 | 2017-03-17 | 0 | |||
| VAL | 2016-10-21 | 2017-01-20 | 2017-04-21 | 2018-01-19 | 1599 | ||
| WGL | 2016-10-21 | 2017-01-20 | 2017-04-21 | 60 | |||
| TNC | 2016-10-21 | 2017-01-20 | 427 | ||||
| TMP | 2016-12-16 | 2017-03-17 | 24 | ||||
| SRCE | 2016-12-16 | 1 | |||||
| CTBI | 2016-12-16 | 1 | |||||
| ERIE | 2017-03-17 | 20 |
Posts
Hi Randy,
ReplyDeleteI suggest trying to filter for individual companies at specific strike price (in-the-money only and OI>300). Seek only >25% static annualized return for weeklies and >18% static annualized return for monthlies. Note: require no earnings before expiration date and also consider financial impact of any ex-div dates before expiration (these factors complicate analysis substantially but are important factors nonetheless.
Best,
Jeff