Thinkscript indictor that graphs the volume of SPX options on a SPY or /ES graph. I've found this usefull to track intraday SPY movements. Large SPX options volume seems to be much more correlated with SPY then SPY option volume.

• This is forked from an original repo from JeanTann3n.

Another example (excuse the terrible use of Paint)

• This will not work on SPX as there is no volume on SPX in TOS so the volume() functions will not work.
• The options will turn red/blue if the volume is > 1000.
• The "hours to graph" input is assuming 1 min aggregation
• There is a lot of data being processed, I would recommend using a longer aggregation period or a shorter time interval if you're seeing performance issues. This will still work on 1 min interval I prefer 2min.
• I would suggest upping your RAM to as high as possible.
• Currently strikes are pulled in dollar increments.
• It might take a while to load everything, be patient.
• This is ONLY for SPX Options
• Strike ranges and expirations need to be set manually but they can be pretty large. On the plus side this allows for effective filtering to a specific delta range if you look up what the strike range is for the equivalent delta range.
• The volume data is not raw order data, so specific sale prices, order sizes, etc. cannot be inferred.

Clone the repo or download the files. Click studies --> import then browse to the .ts files.

Feel free to ping me @harrib or @jeantann3n with questions or add issues/bugs in github!