Large Delta Volume Trades
The Large Delta Volume Trades screener lists option contracts whose single-leg trades today add up to a large position in share terms - delta volume, 100 x delta x contracts - of more than 5,000 shares and at least 30% of the stock's volume in the minute of the latest trade. Premium and Premium Options members see the full list; everyone else sees 3 rows a page with the rest blurred.
What is the Large Delta Volume Trades screener?
An option's delta is how much its price moves when the stock moves $1, so the number of contracts x 100 x delta is the trade's size in shares - its delta volume. 10 calls with a delta of 0.50 are worth about 500 shares. Market makers who take the other side of a big option trade often hedge with stock, so an option trade whose delta volume is large next to the stock's own trading can matter for the stock. The Large Delta Volume Trades screener, the Delta Volume Screener tab of the option trade screeners, lists the option contracts where that happened today.
How trades are picked
- Single-leg trades, added up by contract. Today's single-leg trades in stock and ETF options - reported as regular, intermarket sweep or automatic executions - are added up for each option contract: the number of trades, contracts, average price and premium. Legs of spreads, trades tied to stock and cancelled trades are left out. Click Num Trades to see the trades behind a row.
- Delta volume. 100 x the option's delta x the contracts traded, using the delta at the latest trade. Calls give a positive number and puts a negative one.
- Large for the stock. A contract is listed when its delta volume is more than 5,000 shares and at least 30% of the stock's volume in the minute of the latest trade. Delta/Stock Vwap shows that ratio: 2.0 means the option position is worth twice the shares that traded in that minute.
- Bought or sold. Interpretation is the latest trade's label from our trade-reading rules: Bought, Sold, or Und when the rules can't tell. The screener starts with Bought and Sold only and a premium of more than $10,000; change the Interpretation and Notional filters to see the rest.
- Open interest. O.I. is the previous trading day's figure, before today's trades. Days To Exp counts trading days.
- Through the session. The totals are worked out again through the trading day, and the list on the page is rebuilt about every 5 minutes. The screener shows the latest session; there is no date picker.
The sign of delta volume shows call or put, not bullish or bearish: a sold call and a bought put both lean bearish. The screener shows trading activity, not buy or sell signals.
What you can find out
Which option trades are large compared with the stock's own trading?
Sort by Delta/Stock Vwap to put the contracts with the most delta volume against the stock's volume first. See today's large delta trades
Were the calls bought or sold?
Filter Interpretation to Bought or Sold and Option Type to Call or Put. Click Num Trades to see each trade's price against the bid and ask, its implied volatility and its exchange. Filter by bought or sold
Which large delta trades went through in my stocks?
Type a symbol in the search box, or filter by watchlist, ETF holdings, market cap or equity type. Search the screener
Which large delta trades are in short-dated or near-the-money options?
Use Days to Exp for the time left and Delta for how far in or out of the money the option is: a delta near 0.50 (or -0.50 for puts) is close to the money. What delta means
Where to find it
Menu: Options › For Premium Users › Tools › Large Delta Volume Trades, or go straight to /large-delta-volume-option-trades-screening-tool.
Premium and Premium Options members see every row, can sort any column and save filter presets. Everyone else sees the earliest trades of the day first, with the first 3 rows in full and the rest blurred.
What the columns mean
| Column | What it shows |
|---|---|
| Num Trades, Time | How many trades are added up in the row, and the time of the latest one |
| Symbol, Expiration, Type, Strike | The option contract |
| Stock, O.I. | The stock price at the latest trade, and the previous day's open interest |
| Qty, VWAP Price, Notional | Contracts traded, the volume-weighted average price per contract, and the total premium |
| Delta (Trade Details) | The option's delta at the latest trade |
| Interpretation | Bought, Sold or Und, from the latest trade |
| Delta Volume (Analysis) | Delta volume: 100 x delta x contracts, in shares |
| Days To Exp | Trading days left to expiration |
| Delta/Stock Vwap | Delta volume divided by the stock's volume in the minute of the latest trade |
FAQ
- What is delta volume?
- An option trade's size in shares: 100 x the option's delta x the contracts. 20 calls with a 0.40 delta are 800 delta shares - about as much exposure to the stock as 800 shares.
- Does each row show a single trade?
- No. Each row adds up the day's single-leg trades in one option contract. Time, Stock, Delta and Interpretation come from the latest one; click Num Trades for the list.
- Why is a sold put negative?
- The sign follows the option type: calls are positive and puts negative, whether bought or sold. A sold put leans bullish, so read Interpretation together with the sign.
- Who can use the screener?
- Premium and Premium Options members see every row, sort any column and save filter presets. Everyone else sees the earliest trades first, 3 rows a page in full and the rest blurred.
- Is a large delta volume trade a signal?
- No. It shows that a big position traded, not which way the stock will go; the trade may be a hedge or part of a larger position.
Related
Option delta volume Option Block Trades Screener Single Leg Trade Screener Order flow: Top Bullish and Top BearishTerms on this page
Delta Delta volume Open interest VWAPMarket Chameleon provides data, not investment advice.