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Option Block Trades Screener
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As of 29-Nov-2024, 1:00 PM ET
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 Notional, Trade Quantity,
Time of Day, Option Type, Exchange, or Trade Condition (which is explained at the bottom of the page). Trades must have a minimum of $10k notional to appear.
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.
Important Note: Results are limited to 50 items. Subscribe to see all items.
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
Technical Indicator
This filter applies technical indicators for the underlying symbol for the
current trading day (29-Nov-2024),
even if you're looking at a previous date
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
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.
3: Option trade descriptions:
Single Leg Auction Non ISO: Transaction was the execution of an electronic order which was "stopped" at a price and traded in a two sided auction mechanism that goes through an exposure period. Such auctions mechanisms include and not limited to Price Improvement, Facilitation or Solicitation Mechanism
Single Leg Auction ISO: Transaction was the execution of an Intermarket Sweep electronic order which was "stopped" at a price and traded in a two sided auction mechanism that goes through an exposure period. Such auctions mechanisms include and not limited to Price Improvement, Facilitation or Solicitation Mechanism marked as ISO
Single Leg Cross Non ISO: Transaction was the execution of an electronic order which was "stopped" at a price and traded in a two sided crossing mechanism that does not go through an exposure period. Such crossing mechanisms include and not limited to Customer to Customer Cross and QCC with a single option leg
Single Leg Cross ISO: Transaction was the execution of an Intermarket Sweep electronic order which was "stopped" at a price and traded in a two sided crossing mechanism that does not go through an exposure period. Such crossing mechanisms include and not limited to Customer to Customer Cross
Single Leg Floor Trade: Transaction represents a non-electronic trade executed on a trading floor. Execution of Paired and Non-Paired Auctions and Cross orders on an exchange floor are also included in this category
Multi Leg autoelectronic trade: Transaction represents an electronic execution of a multi leg order traded in a complex order book
Multi Leg Auction: Transaction was the execution of an electronic multi leg order which was "stopped" at a price and traded in a two sided auction mechanism that goes through an exposure period in a complex order book. Such auctions mechanisms include and not limited to Price Improvement, Facilitation or Solicitation Mechanism
Multi Leg Cross: Transaction was the execution of an electronic multi leg order which was "stopped" at a price and traded in a two sided crossing mechanism that does not go through an exposure period. Such crossing mechanisms include and not limited to Customer to Customer Cross and QCC with two or more options legs
Multi Leg floor trade: Transaction represents a non-electronic multi leg order trade executed against other multi-leg order(s) on a trading floor. Execution of Paired and Non-Paired Auctions and Cross orders on an exchange floor are also included in this category
Multi Leg autoelectronic trade against single leg(s): Transaction represents an electronic execution of a multi Leg order traded against single leg orders/ quotes
Stock Options Auction: Transaction was the execution of an electronic multi leg stock/options order which was "stopped" at a price and traded in a two sided auction mechanism that goes through an exposure period in a complex order book. Such auctions mechanisms include and not limited to Price Improvement, Facilitation or Solicitation Mechanism
Multi Leg Auction against single leg(s): Transaction was the execution of an electronic multi leg order which was "stopped" at a price and traded in a two sided auction mechanism that goes through an exposure period and trades against single leg orders/ quotes. Such auctions mechanisms include and not limited to Price Improvement, Facilitation or Solicitation Mechanism
Multi Leg floor trade against single leg(s): Transaction represents a non-electronic multi leg order trade executed on a trading floor against single leg orders/ quotes. Execution of Paired and Non - Paired Auctions on an exchange floor are also included in this category
Stock Options autoelectronic trade: Transaction represents an electronic execution of a multi leg stock/options order traded in a complex order book
Stock Options Cross: Transaction was the execution of an electronic multi leg stock/options order which was "stopped" at a price and traded in a two sided crossing mechanism that does not go through an exposure period. Such crossing mechanisms include and not limited to Customer to Customer Cross
Stock Options floor trade: Transaction represents a non-electronic multi leg order stock/options trade executed on a trading floor in a Complex order book. Execution of Paired and Non-Paired Auctions and Cross orders on an exchange floor are also included in this category
Stock Options autoelectronic trade against single leg(s): Transaction represents an electronic execution of a multi Leg stock/options order traded against single leg orders/ quotes
Stock Options Auction against single leg(s): Transaction was the execution of an electronic multi leg stock/options order which was "stopped" at a price and traded in a two sided auction mechanism that goes through an exposure period and trades against single leg orders/ quotes. Such auctions mechanisms include and not limited to Price Improvement, Facilitation or Solicitation Mechanism
Stock Options floor trade against single leg(s): Transaction represents a non-electronic multi leg stock/options order trade executed on a trading floor against single leg orders/ quotes. Execution of Paired and Non-Paired Auctions on an exchange floor are also included in this categor
Multi Leg Floor Trade of Proprietary Products: Transaction represents execution of a proprietary product non-electronic multi leg order with at least 3 legs. The trade price may be outside the current NBBO
Multilateral Compression Trade of Proprietary Products: Transaction represents an execution in a proprietary product done as part of a multilateral compression. Trades are executed outside of regular trading hours at prices derived from end of day markets. Trades do not update Open, High, Low, and Closing Prices
Extended Hours Trade: Transaction represents a trade that was executed outside of regular market hours. Trades do not update Open, High, Low, and Closing Prices
