Use this report to see significant open interest changes by option contract
on the marketplace. These changes can often indicate notable activity in the underlying stock,
including whether traders are willing to accumulate long or short option positions, or if they are
trying to get out of their long positions quickly. Use the filters on that table as well, to narrow
by technical indicator, option price, or whether the symbol is held in an ETF or your custom Watchlist.
OI Chg % of Prev Volume
The change in option open interest, expressed as a percentage of the underlying symbol's option volume from the previous day.
In ETF
Price % Chg
Option Price
Option IV
OI Chg % of Avg Volume
The change in option open interest, expressed as a percentage of the underlying symbol's average daily option volume.
Option Volume
Sector
Stock Type
Option Price Chg
Option IV Chg
Volume as % of Und Avg
The option's volume, expressed as a percentage of the underlying symbol's total average daily volume
# Trades
Industry
Earnings Date
Option Volume
Option Delta
OI as % of Total OI
The option's open interest, expressed as a percentage of the underlying symbol's total open interest.
This will show a concentration of open interest on any one particular option.
% Single-Leg
Avg Und Opt Volume
OI Shares % of Avg Stock Volume
Equivalent Shares is the number of shares of stock required to exercise the entire open interest position at once.
Usually, this is equal to open interest x 100, as each option contract (typically) covers 100 shares.
Then, we take the equivalent shares and express it as a percentage of the underlying symbol's average daily stock volume.
Volume as % of Avg Und Volume
The option's volume, expressed as a percentage of the underlying symbol's total average daily volume
Open Interest
Change
Absolute Change
% Chg
OI Chg as % of Avg Volume
The change in open interest, expressed as a percentage of the underlying symbol's average daily option volume
Indicator
OI Chg as % of Prev Day Volume
The change in open interest, expressed as a percentage of yesterday's trading volume in that particular option
Volume
# Trades
% Single-Leg
The percentage of this option's trades from the previous day that were of the single-leg variety
% Multi-Leg
The percentage of this option's trades from the previous day that were of the multi-leg variety
% Contingent
The percentage of this option's trades from the previous day that were identified as contingent
VWAP
Total Open Interest
Option OI as % of Total OI
The option's open interest, expressed as a percentage of the underlying symbol's total open interest.
This will show a concentration of open interest on any one particular option.
Avg. Underlying Stock Volume
Option OI Equivalent Shares as % of Avg. Volume
Equivalent Shares is the number of shares of stock required to exercise the entire open interest position at once.
Usually, this is equal to open interest x 100, as each option contract (typically) covers 100 shares.
Then, we take the equivalent shares and express it as a percentage of the underlying symbol's average daily stock volume.
* Note: Open interest is only calculated once per day, based on settled trades, exercises, and splits. The report shows all of the settled
open interest from the end of the previous trading day.
What is the purpose of this screener?
The purpose of the screener is to detect option volume or open interest in a particular option contract that stands out as unusual activity. In order to
detect the unusual option volume or open interest, we use relative values and benchmarks.
What are relative values and benchmarks?
Since different stocks have different options volume from day to day, unusual volume for some stocks might be normal volume for other stocks. In order to
detect if a certain stock has unusual activity, we need to compare the activity to what is normal for that stock. To do this, we compare
the current levels of activity to a historical benchmark, and calculate how far away the current level is from that benchmark.
Which relative values and benchmarks are used this report, and how can I interpret them? Volume as % of Avg Underlying Volume: the purpose of this relative value is to detect unusual option
volume in a specific option contract. In order to do this, we create a benchmark -- the average daily option volume for all the options for that
underlying symbol. Then for a relative value, we divide the current option volume by that benchmark average. For example, if a particular stock has an
average daily volume of 3,000 contracts and today we see one single option trading 1,500 contracts, we know that this represents 50% of the average
daily volume. This allows us to detect if a particular option has unusual trading, and by how much.
Option Open Interest Change as % of Avg Underlying Volume: the purpose of this calculation is to compare
the open interest change from the prior trading day. As a benchmark, we use the average daily option volume for that underlying symbol. We want to find out
if the open interest changed by a factor of the average daily volume. If the open interest increased by 5,000 contracts for one option, but the average
daily option volume for that symbol is only 1,000 then the increase represents 5 x the average trading volume for one day.
Option Open Interest as % of Total Open Interest: the purpose of this calculation is to spot a
concentration of open interest relative to all the open interest for a particular symbol. If GE had 50,000 contracts of open interest in options total,
and the 15-Jan-2021 Call had open interest of 25,000, this would indicate that 50% of the open interest is concentrated in just that one option.
