Option Block Trades Screener

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Report Date: 8-Apr-2020

Screen and filter for large block option trades from a full list of actual trades for a specified date.

When analyzing a potential option investment, it is helpful to view how investors have actually traded recently. The Option Block Trades Screener allows you to evaluate market trading patterns as well as focus on a specific symbol (or sector) of interest. Use the filters to choose minimum Trade Quantity, Time of Day, Option Type, Exchange, or Trade Condition (which is explained at the bottom of the page).

Sort the table by clicking on the column header, ascending or descending. Reset all parameters to their defaults by clicking the "Clear" button at the top of the filters. Use the "Filter Symbol" box to narrow down on a particular symbol. More detailed option information on a specific symbol can be found by clicking on the Symbol link in the far-left column.

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Main Trade DetailsVolatility & Performance Tracking

Stock Details Option Details Initial Trade Trade Price Events
In My Watchlist Spot Price Trade Qty Trade Price Earnings Date
Technical Indicator This filter applies technical indicators for the underlying symbol for the current trading day (8-Apr-2020), even if you're looking at a previous date Option Type Qty % Avg Volume The trade quantity expressed as a percentage of the symbol's average daily option volume. For example, if the symbol trades an average of 500 contracts per day, and this trade is for 100 contracts, the percentage will be 20%. $ Notional Ex-Dividend
Market Cap Expiration Qty vs. Open Int The trade quantity as compared to the option's open interest. Trade Side NBBO1 Company Event
Stock Type Days to Exp Trade Condition2 Bid/Ask Spread
Sector Open Interest Trade Time Edge The difference between the trade price and the midpoint of the market's bid and ask price at the time of the trade. Always represented as a positive number.
In ETF Delta Exchange
Execution

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Option Details Theoretical Option Values
(at Time of Initial Trade) 		Initial Trade Details Tracking Performance Since Trade Volatility Trade Analytics
Option Implied Volatility Stock
Details Time Symbol Stock Type Sector Root Option
Expiration		 Type Strike Spot Price Open
Interest		 Theo Price
20-Day HV The theoretical price of the option, if calculated using the symbol's 20-day historical volatility. Calculated at the time of the trade. 		Theo Price
1-Yr HV The theoretical price of the option, if calculated using the symbol's 1-year historical volatility. Calculated at the time of the trade. 		Theo Price
HV Avg The theoretical price of the option, if calculated using the 50% of symbol's 20-day historical volatility and 50% of the symbol's 1-year historical volatility. Calculated at the time of the trade. 		Trade Qty Trade Price Bid Size Bid Ask Ask Size Trade $ Notional Side1 Current
Bid Latest available NBBO Bid price for the option. 		Current
Ask Latest available NBBO Ask price for the option. 		Return Performance of the option that was traded since trade Current The most recent midpoint implied volatility of the option IV Chg The % change in IV for the option, from the trade volatility to the current midpoint volatility Latest
Price		 Return The % return in the underlying stock price, from the time of the trade to the current market price Trade IV The implied volatility of the trade, based on the trade price. IV Chg The difference between the trade volatility and the previous day's closing IV for that option. IV % Rank This percentage rank compares the trade volatility (Trade IV column) to historical implied volatilities for options that meet the following criteria: - the same symbol and option type - the strike is the same % distance from the spot price (or at-the-money price) - the option has the same # of days to go until expiration Exch. Condition2 Execution Delta Bid Ask Spread Trade Edge Hist Vol
20-Day The 20-day historical volatility of the underlying symbol 		IV vs
HV
20-Day The difference between the trade volatility and the 20-day historical volatility, expressed as a percentage 		Hist
Vol
1-Yr The 1-year historical volatility of the underlying symbol 		IV vs
HV 1-Yr The difference between the trade volatility and the 1-year historical volatility, expressed as a percentage 		Expiration
Cycle		 Qty %
Avg Volume The trade quantity expressed as a percentage of the symbol's average daily option volume. For example, if the symbol trades an average of 500 contracts per day, and this trade is for 100 contracts, the percentage will be 20%. 		Days
To
Exp Trading days remaining until expiration 		Events

1: The Side describes the relation of the trade price to the NBBO bid and ask prices:

  • Below: Price is below the bid
  • Bid: Price is at the bid
  • Mid: Price is between the bid and ask
  • Ask: Price is at the ask
  • Above: Price is higher than the ask
  • Other: cross market, no market, etc.

2: Option trade condition codes:

  • Regular: Transaction was a regular sale without stated conditions
  • AutoExecution: Transaction was executed electronically; Processed like a regular trade
  • IntermarketSweep: Transaction was the execution of an order identified as an Intermarket Sweep Order
  • StockContingent: Transaction represents multi-leg option/stock trade
  • MultiLeg: Transaction represents a leg of a multi-leg option trade
  • MultiLegProprietaryProduct: Transaction represents execution of a proprietary product such as index options non-electronic. The trade price may be outside the current NBBO.