Volume Burst Screener
The Volume Burst Screener counts each stock's buy and sell bursts today - one-minute bars with volume at least 2.5 standard deviations above the stock's usual level for that time of day, and a price move of at least 1 cent - and compares them with its previous 30 trading days. The free S&P 500 Volume Burst Trades report adds up unusually large trades in S&P 500 stocks into a net buy or sell imbalance, overall and by sector.
What is a volume burst?
A volume burst is a short spell of unusually heavy trading in a stock that moves its price up or down. Two tools track them. The Volume Burst Screener counts each stock's buy and sell bursts today, minute by minute, and compares them with the stock's own recent days. The S&P 500 Volume Burst Trades report adds up unusually large trades in S&P 500 stocks and shows whether they leaned toward buying or selling, for the whole index and by sector.
How bursts are found
- One-minute bars. The screener splits each stock's regular-session trading, on exchanges and off them, into one-minute bars, each with its volume and volume-weighted average price (VWAP).
- Heavy for the time of day. Each minute's volume is compared with the stock's average one-minute volume for that part of the day over about the previous two weeks. The day has six parts - the first half hour, 10 to 11 AM, 11 AM to 3 PM, 3 to 3:58 PM and each of the last two minutes - because trading is naturally heavier near the open and the close. A minute at least 2.5 standard deviations above that average is unusually heavy.
- Buy or sell burst. A heavy minute is a buy burst when its VWAP rose at least 1 cent from the minute before, and a sell burst when it fell at least 1 cent. Heavy minutes with no price change are not counted.
- Against the stock's own history. Avg is the stock's average number and dollar value of bursts on the days it had any over the previous 30 trading days. Relative divides today by that average.
- On-Balance. Buy-burst dollars minus sell-burst dollars, for today and added up over the last 5 and 10 trading days, with the number of those days that came out positive or negative.
- Which day. During the session the counts are updated about every minute, until 20 minutes after the close, and the screener's table refreshes about every 5 minutes. Until shortly after the 9:30 AM ET open, and on weekends and holidays, it shows the last trading day.
Every trade has a buyer and a seller: buy and sell here describe which way the price moved during the burst. Bursts show where heavy trading happened, not buy or sell signals.
What you can find out
Which stocks had the most buying bursts today?
The screener opens on its Summary tab sorted by today's buy-burst count, highest first, with the sell-burst count, the dollars traded in each kind of burst and today's On-Balance next to it. Stocks we track with no bursts today are listed too, with zero counts. Open the Volume Burst Screener
Which stocks are seeing bursts of selling?
Sort by the sell-burst count, or by Today's On-Balance from the lowest up, to find stocks where heavy minutes pushed the price down. Members of any Premium plan can filter on both. See sell bursts
Is today's burst activity unusual for the stock?
Relative compares today's number and dollar value of bursts with the stock's average on its burst days over the previous 30 trading days: 3.0 means three times its usual amount. The Burst Details tab shows today, the average and the ratio for both sides. Compare bursts with the average
Has buying or selling been building over several days?
The Historical tab adds up On-Balance over the last 5 and 10 trading days and counts how many of those days came out net positive and net negative. See the 5- and 10-day On-Balance
Is the stock now above or below where the bursts traded?
Burst VWAP is the average price of today's buy bursts, and separately of the sell bursts. Price vs. VWAP shows how far the current price is from each, as a percentage. See burst prices
Are large trades in S&P 500 stocks leaning toward buying or selling today?
The S&P 500 Volume Burst Trades report shows the day's net buy or sell imbalance in dollars, a chart of it through the day, the split between buying and selling and between dark pools and exchanges, the imbalance in each sector and the five stocks with the largest buy and sell imbalances. See today's S&P 500 bursts
Where to find it
Menu: Stocks › For Premium Users › Screeners › Volume Burst Screener, or go straight to /PriceAction/VolumeBurstScreener. The S&P 500 report is under Stocks › Features › S&P 500 Volume Burst Trades, at /Reports/SP-500-Volume-Burst-Trades.
The S&P 500 Volume Burst Trades report is free. On the Volume Burst Screener, members of any Premium plan see every stock and can filter by watchlist, market cap, stock type, burst counts and dollars, On-Balance, option volume, IV rank and upcoming earnings or events; Premium and Premium Options members can also save filter presets. Everyone else sees a preview of 6 rows with the filters locked.
The screener and the S&P 500 report
| Volume Burst Screener | S&P 500 Volume Burst Trades | |
|---|---|---|
| Stocks | The stocks and ETFs we track that traded today | S&P 500 stocks |
| What counts | A one-minute bar with volume at least 2.5 standard deviations above the stock's average for that time of day, and a price move of at least 1 cent | A large trade burst - a big order printed as one trade or many at the same moment - well above the dollar size of the stock's large bursts over the previous five trading days: 2 standard deviations from 10:30 AM to 3:00 PM ET, 3 nearer the open and close, or $250,000 or more without enough history |
| Buy or sell | The minute's VWAP up or down at least 1 cent from the minute before | The stock's one-minute VWAP up or down from the minute before |
| Left out | Premarket and after-hours trading | The opening and closing auctions |
| History | Today against the previous 30 trading days; On-Balance over 5 and 10 days | The current or last session only, charted in 15-minute steps (5 minutes on half days) |
| Access | Any Premium plan; a 6-row preview for everyone else | Free |
FAQ
- What is a volume burst?
- On the Volume Burst Screener, a one-minute bar in which a stock trades at least 2.5 standard deviations more shares than its average for that time of day over about the last two weeks, while its average price moves at least 1 cent.
- Does a buy burst mean someone was buying?
- Every trade has a buyer and a seller. A burst counts as buying when the minute's volume-weighted average price rose and as selling when it fell, so the label shows which way the heavy trading moved the price.
- What does On-Balance mean?
- Buy-burst dollars minus sell-burst dollars. A positive figure means more burst dollars traded in rising minutes; the 5- and 10-day figures add up the recent trading days.
- How is this different from the Large Volume Burst Trades Learn page?
- That older page describes burst trading in general terms and in options. This guide covers how the two burst tools on the site work today; both look at stock trades.
- Who can use the burst tools?
- The S&P 500 Volume Burst Trades report is free. The Volume Burst Screener's full list and filters are for members of any Premium plan; everyone else sees a preview of 6 rows.
- Are volume bursts buy or sell signals?
- No. A burst shows that heavy trading moved the price, not who traded, why, or where the price goes next.
Related
Unusual Stock Volume Big Money Stock Flow Market MoversTerms on this page
VWAP Standard deviation Dark pool Relative volumeMarket Chameleon provides data, not investment advice.