Search Criteria for Contracts

When creating a Trade Template in OptionsApp, strikes for each leg can be individually defined using various search criteria. This applies in particular to independent legs, where OptionsApp determines the contract from the search criteria you configured. The logic of this selection is based on methods commonly used in professional backtesting tools.

1. Available Search Criteria

Four main criteria are available:

• Premium
  • When executing, OptionsApp tries to find a contract whose option price comes closest to the specified target premium (e.g., $1.00).
• Delta
  • OptionsApp searches for the strike whose delta value comes as close as possible to the target value (e.g., 20).
  • Delta is always entered as an absolute value. There is no sign, neither for calls nor for puts.
  • The "Delta" search criterion corresponds to the actual delta value multiplied by 100, for example Delta=0.25 is specified as Delta=25.
• Percentage (OTM)
  • This is the percentage distance in the direction of strikes further out of the money.
  • Example Put: SPX is at 5000, at 5% this results in a strike of 4750.
  • Example Call: SPX is at 5000, at 5% this results in a strike of 5250.
  • Positive percentage values always correspond to the direction of contracts further out of the money.
• Offset (ATM)
  • The strike is determined in absolute points relative to the at-the-money strike.
  • Example 1: -30 results in a strike 30 points below the ATM strike.
  • Example 2: +50 results in a strike 50 points above the ATM strike.
  • The Offset (ATM) represents the distance to the ATM strike in a sign-dependent manner, regardless of whether it is a call or put.

2. Application for Independent Legs

These criteria are only available for independent legs. An independent leg is searched for on its own and is not based on the strike of another leg. This allows each leg to use its own logic for strike determination. This is especially valuable for flexible or asymmetrical strategies.

You can find more information about independent legs in this article.

3. Special Feature for Dependent Legs

For dependent legs, the choice of strike criteria is limited. Here only an offset in points can be defined, relative to the so-called main leg. The app first determines the strike of the main leg according to its criterion (e.g., delta) and calculates the strike of the dependent leg by adding the specified point offset. The sign is crucial here, as it is always added.

Example:

• Short Put with Premium $1.00
• Long Put with Offset -30 points
• Results in a Long Put 30 points below the strike of the Short Put

You can find more information about dependent legs in this article.

4. Execution Order

When there are multiple legs within a group, the main leg is executed first. All dependent legs follow in execution because they directly depend on the main leg. Independent legs, on the other hand, are searched independently of each other, but processed in the order they were created in the template.

5. Additional Settings

Price Approximation Logic (Nearest, Above, Below):
This setting determines how OptionsApp searches for the desired target value (e.g., premium, delta, or percentage).

• Nearest: Selects the value closest to the target.
• Above: Selects the closest value above the target.
• Below: Selects the closest value below the target.

More details on the exact rules and examples can be found in the article: Contract Approximation Logic (Nearest, Above, Below)

Use Price Range:
Optionally, a minimum and maximum price limit can be defined. After OptionsApp has found a contract according to the selected criterion, it checks whether the price is within the defined range. If not, the leg will not be opened and will be set to CANCELED. This helps avoid unwanted deviations in volatile markets.

Use Closer Strikes:
This option checks whether alternative strikes with the same premium are available, but which result in a better spread (e.g., due to smaller distance). This allows OptionsApp to select the most efficient contract without incurring additional costs.

6. Example Configurations

Independent:

• Short Put with Delta 20
• Long Put with Delta 10

Both strikes are searched individually based on their respective criteria.

Dependent:

• Short Put with Premium $1.00
• Long Put with Offset -30 points

The strike of the Long Put is derived directly from the strike of the Short Put minus 30 points.

With this flexible configuration, all common strategy types can be implemented, from simple verticals to complex multi-leg constructions with individual criteria for each leg.