Option Block Trades Screener

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Report Date: 16-Oct-2019

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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Stock Details Option Details Trade Details Trade Price Implied Volatility Events
In My Watchlist Spot Price Trade Qty Trade Price Trade IV Earnings Date
Technical Indicator This filter applies technical indicators for the underlying symbol for the current trading day (16-Oct-2019), 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 IV Pct Ex-Dividend
Market Cap Expiration Qty vs. Open Int The trade quantity as compared to the option's open interest. Trade Side NBBO1 IV vs. 20-Day HV The implied volatility of the trade as compared to the symbol's 20-day historical volatility. Company Event
Stock Type Days to Exp Trade Condition2 Bid/Ask Spread IV vs. 1-Yr HV The implied volatility of the trade as compared to the symbol's 1-year historical volatility.
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. IV Change The difference between the implied volatility of the trade and the option's closing implied volatility from the previous day.
In ETF Delta Exchange

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Option Details Trade Details Volatility Trade Analytics
Details Time Symbol Stock Type Sector Root Option
Expiration
Type Strike Spot Price Open
Interest
Trade Qty Trade Price Bid Size Bid Ask Ask Size Trade $ Notional Side1 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 Pct 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 Exchange Condition2 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 EarningsType Technical Indicators InWatchlist TrdQtyVsOi

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: The condition codes come from OPRA. Here are their comments on those codes:

  • Regular: Transaction was a regular sale without stated conditions
  • OutOfSequence: Transaction is being reported late and is out of sequence; ie. later transactions have been reported for this particular option
  • SoldLast: Transaction is being reported late but is still in the correct sequence
  • OpenReportOutOfSequence: Transaction is a late report of the opening trade and is out of sequence
  • OpenReportInSequence: Transaction is a late report of the opening trade but is still in the correct sequence
  • AutoExecution: Transaction was executed electronically; Processed like a regular trade
  • ReOpen: Transaction is a reopening of an option contract in which trading has been previously halted
  • AdjTerms: Transaction is an option contract for which the terms have been adjusted to reflect a stock dividend, split or similar event
  • Spread: Transaction represents a trade in two options in the same class (a buy and a sell in the same class)
  • Straddle: Transaction represents a trade in two options in the same class (a buy and a sell in a put and a call)
  • BuyWrite: Transaction represents the option portion of an order involving a single option leg (buy or sell) and shares of stock
  • Combo: Transaction represents the buying of a call and the selling of a put for the same underlying stock or index
  • StoppedIM: Transaction was the execution of an order which was 'Stopped' at a price that did not constitute a Trade-Through on another market
  • IntermarketSweep: Transaction was the execution of an order identified as an Intermarket Sweep Order
  • FormT: Transaction reflects the execution of a 'Benchmark Trade'; Processed like a normal trade except doesn't update the 'Last Price'
  • TradeThruExempt: Transaction reflects execution of a Trade-Through Exempt order