How to scan for options volume?

fungus12

Member
Here's my issue. I like to trade options that are relatively liquid (at least 300 volume at my specified delta), so when I trade I scan for options that have a minimum of 300 volume at my specified delta. Here's the issue though. At pre-market, the previous day's volume data is no longer present on options chains so I can't scan for them pre-market. Also, when the market opens, for stocks that don't have a crazy amount of liquidity like SPY which has hundreds in volume within the first minutes of open, it's hard to scan for what I'm looking for. I mainly day trade so waiting until a less heavily traded stock gets 300 volume might cause me to miss the start of the move as it wouldn't show up on my scanner watchlist.

The shitty workaround I've been working with is setting my volume search for 20 when the market opens, then an hour into market open I switch to my 300 volume search. I would really prefer not to do that. On top of that, that doesn't even work pre-market because there's no current options data.

I was recommended before to try the sizzle index but that doesn't seem to be what I'm looking for either. That's more for people who want to scan for unusual options activity.

So tldr is there any way at all to get some kind of average volume filter in scans? Like a 50 day average or something like that? Thanks in advance.
 
Yes, there's support for average volume built in. Just add a study filter and switch it to Volume -> Average_Volume. Make sure the length you set is less than or equal to how long the option has existed. If you use the default of 50 then options that have existed less than 50 days probably won't show up, unless you switch to an average type other than Simple.

Or you could use a custom study filter and just check yesterday's volume. volume[1] >= 300. Allowing either yesterday or today is probably better volume[1] >= 300 or volume >= 300. If you want to get fancy with it you can even probably have it check yesterday up until whatever time in the morning and then check today from then on.
 

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Yes, there's support for average volume built in. Just add a study filter and switch it to Volume -> Average_Volume. Make sure the length you set is less than or equal to how long the option has existed. If you use the default of 50 then options that have existed less than 50 days probably won't show up, unless you switch to an average type other than Simple.

Or you could use a custom study filter and just check yesterday's volume. volume[1] >= 300. Allowing either yesterday or today is probably better volume[1] >= 300 or volume >= 300. If you want to get fancy with it you can even probably have it check yesterday up until whatever time in the morning and then check today from then on.
I tried the Average_Volume study but it didn't quite work. Firstly, let me just show my current scan:

SaKY8GX.png


If you'll notice, I don't scan for option codes. That's because a) it's less clutter when it populates my watchlist and b) I have my watchlist linked to my charts so when something pops up there, I can just click it and look at the charts before buying that option. I don't look at the charts for options, I look at the overall underlying.

So here's what happened when I used the average_volume study:

hfNLD99.png


You'll notice a lot more stocks pop up. Now I figured this is probably because I'm scanning in stocks and this is just applying the average_volume to stocks, not options. So I switched the scan parameter to "options" and that didn't change much:

o3KAjj7.png


Same underlying results, just displaying their options instead. I get results like ticker ACH which have virtually no options volume at all.
 
Interesting. I don't trade options so I'm not sure how many to expect would have volume > 300 on an average day. I suspect using such a long average length will skew your results but using a very short one gives significant weight to the current partial day which may hide things you want to see. Based on these results, as a next step I'd probably try custom study code that just checks yesterday's and today's volume and see what that finds.

volume[1] >= 300 or volume >= 300
 
I use 2 day Average_Volume greater than 1000 for all of my option scans... Greater volume helps insure smaller Bid/Ask spreads and insures more rapid entries and exits... For scalping I need volume and momentum...
 
Interesting. I don't trade options so I'm not sure how many to expect would have volume > 300 on an average day. I suspect using such a long average length will skew your results but using a very short one gives significant weight to the current partial day which may hide things you want to see. Based on these results, as a next step I'd probably try custom study code that just checks yesterday's and today's volume and see what that finds.

volume[1] >= 300 or volume >= 300
300 is actually on the lower side of liquidity. Really liquid options like SPY average like 30,000 volume at strikes where I like to trade. 1,000 volume is considered good and on the average side of good liquidity.

I use 2 day Average_Volume greater than 1000 for all of my option scans... Greater volume helps insure smaller Bid/Ask spreads and insures more rapid entries and exits... For scalping I need volume and momentum...
That doesn't work though. Let me show you.

Here is my regular scan:

RpkMupg.png


And here is the scan with Volume removed and replaced with Average_Volume 300 over a 2 period SMA:

2t9T4hd.png


Notice the sheer difference in the number of results from the 300 Volume scan vs the 300 Average_Volume scan. The only thing I can reasonably conclude from this is that Average_Volume only scans for stock volume. You cannot get it to scan for options volume. Most of the results from the average_volume scan had literally zero options traded in volume.
 
@fungus12 Personally, I'd suggest adding the Volume column to your results to determine why there is such a discrepancy... I don't get more results than I expect but, then again, I don't scan All Symbols either... I have a trading Watchlist, which has 25 symbols, and have no reason to see anything else... I only want liquid options for equities known for volume and volatility rather than long shots... Are you scanning All Optionable by chance...???
 
Hey Friend Can anyone help me
I have seen On expiry day Some time after 3pm some time middle day
or early morning stock price suddenly move and far Otm option price will increase gives huge profit. and some time huge down.
this last Friday DT. 09/17/21 NFLX strike 585 option price was 0.45$ before 3.00pm and at 4.00 pm when it close
it was 4.85$ for strike 585.
so suddenly volume was increase so how we can set alert
which will guide where the volume is increasing on strike price and stock.

in tos
how we can scan or alert this thing during market hours.
 

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