I made an Excel spread sheet a while ago that figured out the dollar weighted value on each side of the fence and then worked out a dollar weighted strike price of each side as well. If you took the average or those two numbers you could watch where the market was going because it would move in a similar fashion to SPI discount/premium. I did plan to make it into a smallindex with the top 20 option stocks but never got that far. Not too hard if you have a little skill with excel and the appropriate data.
I haven't used it in a while as I don't have live option data at the moment. Too busy trading futures.
I made an Excel spread sheet a while ago that figured out the...
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