Option Search using Delta

Hi,
Does anyone know the best way to search option chain using delta value ?? I am struggling a bit on this one , please your help be much appreciated . Thanks

Run a loop over all options, calculate Delta for any option and break out of the loop when it is close enough to your target delta.

Thanks Petra,

But that would be a theoretical value.
Delta is supplied by the broker using Get_Greek command. I want to be able to use if that would be possible, I think the problem is that I would need to run contractPrice () for every selected contract and it may take a lot longer. I am thinking if there is a way to download greeks using ContractUpdate or running contractPrice() once for option chain?? Thanks again

I know that at least with IB you had to call optionprice for any option to get the delta and it takes a looong time. For speeding up, get delta only for a few options and then interpolate.

I'm having a similar conundrum... I had the Tradestation connection built for Zorro and shock horror... TradeStation does not deliver Greeks over the API. Ugh...

So for one strategy Im trying to specify I'm thinking of how I get around that issue where I have to calculate the Delta in high frequency perhaps. Basic intraday (preferentially on expiry day) strategy is buy a 50 Delta Put and Call (Straddle) within certain time windows. And because the trade is made on expiry day the pricing models are very unstable and some trades only last minutes sometimes less (I trade this manually at present).

So I am thinking I would need to create a high frequency options calculator of some kind (I'm not even sure if I should use some exotic calculator script, like a GARCH or something), store the results series and if a match up occurs in the live premium price delivered every second or minute then take a trade if the premiums arent to disparate for entry... exit is hard as well as sometimes on expiry day it can be done right in the last seconds of trading... so I'm not sure how or if it is possible to deal with this instability in pricing? Any thoughts or tips?

I'm just pretty sure I will need to calculate and store prices in the script or figure out a cheap and nasty way to quickly verify deltas or the premium to pay for puts and calls that match the 50 delta and then calculate the exit prices as well, this would need a fast clock in the script to measure the fractional expiry time.

Delta calculation is fast, so it should be no problem to calculate it for the whole chain based on historical volatility, and store it in the fVal field. But you need the options prices, and that's a slow process with most brokers. I don't know how fast it is with Tradestation though.

Thanks!