karennma
8,057 posts
msg #88813
- Ignore karennma |
2/26/2010 11:01:41 PM
Email from LiveVol
1. The scaner is live, realtime and functional for the entire optinable market (or a subset in a watchlist/folder). The scanner covers:
- Earnings: Earnings Vol, Earnings Price Changes, Pre and Post
- IV: Rising, Dropping, Exploding, Imploding
- IV vs HV: 30,60,90 comps
- Order Flow: ISE Sentiment, Call:Put, Net Premium, Net Deltas, OTM on Calls/Puts Offer, Active Issues, More
- Price: Gainers, Losers, Highs, Lows
- Time Spreads: Month 1, Month 2, Month 3 and all permutations
On our "Stats Tab" we sum up the number of calls and puts that trade on the offer or the bid. We also go further to break it out for OTM options as well. We provide totals and percentages. We even have a scan for unusual OTM call/put trading on the offer.
There is no answer to exactly how many options are bought and sold. Negotiated trades (the large trades) trade in between the NBBO. For example, if the market is 1.00 x 1.25 10up, someone may trade 1,000 for 1.20. The options exchanges do not (and cannot) directly disclose if the customer was a buyer or a seller. That requires experience and bit of common sense as well - in this case, 1.20 1,000x is a purchase almost certainly. In this case, the trade was not on the bid or the offer. The next example demonstrates even more ambiguity.
If something trades on the offer it is probably a purchase; vice versa for the bid. However, often times if a market is normally wide - say usually 0.60 x 1.00 - but a trade goes up for 0.95 with the market 0.95 x 1.00 - that is almost certainly a purchase even though it trades on the bid. But of course, there is no way to tell implicitly.
When looking at large order flow - especially unusually large order flow (which we have a scan for) - the general rule follows pretty well. i.e. Offer -->customer purchase; Bid --> customer selling. In these cases, the summary stats we provide are very helpful. If the order flow is one large trade, then analysis is required - granted it's pretty easy.
I hope that clarifies.
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