Options Break-Even Price Scan

I don't think we can build a scan for this in Thinkorswim. Here is the first set of metrics we need to compare: ATR of the underlying stock and the theoretical (or last) price of the option

Using the study filter, we can very simply compute the ATR for the underlying stock. However in order to compute the theoretical price of the options requires that we use a function called "OptionPrice".

Details here:

https://tlc.thinkorswim.com/center/reference/thinkScript/Functions/Option-Related/OptionPrice.html

As user defined inputs we need to supply the following:

strike: getStrike()
isPut: isPut()
daysToExpiration: getDaysToExpiration()
underlyingPrice: close(getUnderlyingSymbol())
Volatility: imp_volatility(getUnderlyingSymbol())
isEuropean: isEuropean()
yield: getYield()
interestRate: getInterestRate()

You can see that in order to compute the theoretical options price we have a very narrow scope. You must know before hand, which strike price and days to expiration you want to target with your scan. Something I'm sure you were hoping the scan would accomplish for you.

Despite having the reputation for being one of the foremost platforms for trading options, the language for Thinkorswim is severely lacking in tools needed to accomplish very basic tasks related to options strategies.