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Is there block trade indicator for options?
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Is there block trade indicator for options?

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Is there block trade indicator for options?

Hey guys,

i wonder if someone could help me and potentially others who find this useful.

Is there any platform offering time and sales (or other way viewing this) where i can see big blocktrades in option market for all stocks and just not one particular. So i see aha, big block trade options in TWTR or big block trade options in ADBE and all trades over lets say 10 000 contracts show nomatter what ticker symbol it happens in?

Is there some way i can see this without having to look at all options time and sales for all stocks since it would take to much time and making me to slow to take decisions.

Thank you, i wish you all a good 2019.
Dave

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  #3 (permalink)
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davethetrade View Post
Hey guys,

i wonder if someone could help me and potentially others who find this useful.

Is there any platform offering time and sales (or other way viewing this) where i can see big blocktrades in option market for all stocks and just not one particular. So i see aha, big block trade options in TWTR or big block trade options in ADBE and all trades over lets say 10 000 contracts show nomatter what ticker symbol it happens in?

Is there some way i can see this without having to look at all options time and sales for all stocks since it would take to much time and making me to slow to take decisions.

Thank you, i wish you all a good 2019.
Dave

I don't think it exists.
As an example there is than around 8000 options for GOOG or AMZN, maybe 1 million options traded on OPRA, so I don't see, technically speaking, how to check the T&S on so many instruments in parallel and raise an alert.
It should be possible in downloading historical data for a bunch of instruments but you'll get the information after a delay.

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Hey Man..

I do this...or something like this. There are a few items that might help you. Inbox me or tag me here again on Monday and I will see if I can help you.

Think or Swim has a scan that is fairly reliable that provides some of this info. Also, the Najarian brothers had a product in the past...what they use to find unusual activity, that can possibly be used as a template for what you describe.

Dan



davethetrade View Post
Hey guys,

i wonder if someone could help me and potentially others who find this useful.

Is there any platform offering time and sales (or other way viewing this) where i can see big blocktrades in option market for all stocks and just not one particular. So i see aha, big block trade options in TWTR or big block trade options in ADBE and all trades over lets say 10 000 contracts show nomatter what ticker symbol it happens in?

Is there some way i can see this without having to look at all options time and sales for all stocks since it would take to much time and making me to slow to take decisions.

Thank you, i wish you all a good 2019.
Dave


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  #5 (permalink)
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wldman View Post
I do this...or something like this. There are a few items that might help you. Inbox me or tag me here again on Monday and I will see if I can help you.

Think or Swim has a scan that is fairly reliable that provides some of this info. Also, the Najarian brothers had a product in the past...what they use to find unusual activity, that can possibly be used as a template for what you describe.

Dan

Interactive Brokers also have some scanners/filters but not for this exact request, it would be interesting to see if TOS can do it.

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Hey Sam...

What options criteria would you like to scan for? I'll see if ToS will do it. I DO NOT have a scan for exactly what I'd like but I know that John and Pete have a very specific scan they like. (not ToS)

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wldman View Post
What options criteria would you like to scan for? I'll see if ToS will do it. I DO NOT have a scan for exactly what I'd like but I know that John and Pete have a very specific scan they like. (not ToS)

Ask the OP, @davethetrade , I simply stepped in .
The details are in the first post I think (big block trade options whatever the underlying).

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wldman View Post
What options criteria would you like to scan for? I'll see if ToS will do it. I DO NOT have a scan for exactly what I'd like but I know that John and Pete have a very specific scan they like. (not ToS)


Hey, thank you so much for all answers to everybody. It seem to be a topic that interest a lot of people.

Iīve tried the scan in thinkorswim but i have only managed to get it to show the total ammount of options contract traded in a specific stock for that day which show stocks with big option activity, but i donīt want the total amount because i want to see at what time a big option trade Went through.

Criterias is a bit tricky because what is big option trade is relative to every stock and their number traded but if i can see option trades over 5000 contracts maybe? Honestly i donīt really know what would be a big option trade for stocks with over 100 000 in volume does anyone know that?

Thank you for trying to help me.

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Hey Dave

John and Pete Najarian are old friends from the CBOE. DRJ and NFX respectively. They created Mercury Trading, became a DPM (designated primary market maker) then sold that business to Citadel. They created Options Monster but I don't remember who they sold that to. At Options Monster they created an algo that looks for unusual activity in the options market. That is the rough background for the segment they currently do on CNBC's Halftime Report. That specific methodology is "proprietary" in nature...so I don't want to speculate about what they might be doing other than to say I am doing something similar.

What you described in the PM is on the right track, for sure. IMO a good starting point might be the ToS item "Sizzle Index"...funny that ToS also calls their method "proprietary". The clue phone is ringing.

So, get a look at Put Sizzle and Call Sizzle as a watchlist column.

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It is sortable, so you could top level filter, say the S&P 500 looking for stocks where there is an "unusual activity" relative to normal activity based on what information the platform provides about their calculation for "Sizzle"

Here is a pic from my custom watchlist sorted by "Call Sizzle"

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I'm not going to run through my entire metric but lets take a look at the top item PSA.
When you find a high "Sizzle" stock you can go to the all products tab. Open up Options Time and Sales. Way over on the right you see a little gear. That gear allows you to select a number for todays biggest trades, click in 10...the max:

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That should be a solid base for any reasonably sophisticated person to derive a legit filter to find candidates for speculative options trades. Happy to answer questions or go deeper on what items I might look at to isolate hi probability candidates.

What I'd be interested in is help from a "ThinkScript savy person that could build out an item that eliminates some of the "manual" work".

Dan

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wldman View Post
John and Pete Najarian are old friends from the CBOE. DRJ and NFX respectively. They created Mercury Trading, became a DPM (designated primary market maker) then sold that business to Citadel. They created Options Monster but I don't remember who they sold that to. At Options Monster they created an algo that looks for unusual activity in the options market. That is the rough background for the segment they currently do on CNBC's Halftime Report. That specific methodology is "proprietary" in nature...so I don't want to speculate about what they might be doing other than to say I am doing something similar.

What you described in the PM is on the right track, for sure. IMO a good starting point might be the ToS item "Sizzle Index"...funny that ToS also calls their method "proprietary". The clue phone is ringing.

So, get a look at Put Sizzle and Call Sizzle as a watchlist column.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


It is sortable, so you could top level filter, say the S&P 500 looking for stocks where there is an "unusual activity" relative to normal activity based on what information the platform provides about their calculation for "Sizzle"

Here is a pic from my custom watchlist sorted by "Call Sizzle"

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


I'm not going to run through my entire metric but lets take a look at the top item PSA.
When you find a high "Sizzle" stock you can go to the all products tab. Open up Options Time and Sales. Way over on the right you see a little gear. That gear allows you to select a number for todays biggest trades, click in 10...the max:

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


That should be a solid base for any reasonably sophisticated person to derive a legit filter to find candidates for speculative options trades. Happy to answer questions or go deeper on what items I might look at to isolate hi probability candidates.

What I'd be interested in is help from a "ThinkScript savy person that could build out an item that eliminates some of the "manual" work".

Dan

Thank you Dan,

I think itīs a good start at least, then i only need to keep my eyes on the watchlist to see if something new comes up in the top of the sizzle index list and the list have a threshold only showing stocks with a sizzle above a certain number XXX. but maybe that could be tricky if there is a lot of stocks to keep track on. If there only was an alert everytime a new stock appears in the watchlist it would be really good. Could that be possible to get?

Also i wonder what would be considered a high sizzle index?
Yes, is someone here good on thinkscript?
Thank you

Dave


Last edited by davethetrade; January 1st, 2019 at 12:24 PM.
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