Glossary
% ChangeThe ‘percentage change’ in an option’s contract represents the change in the respective contract’s price from the previous close. A contract that closed the previous day at 1.00 that is now trading at 1.50 would have a ‘% Change’ of 50%. |
The ‘percentage change’ in an option’s contract represents the change in the respective contract’s price from the previous close. A contract that closed the previous day at 1.00 that is now trading at 1.50 would have a ‘% Change’ of 50%.
% DiffThe ‘percentage difference’ is the difference between the stock price and the transacted contract’s strike price. This value can be both positive (out of the money) and negative (in the money). |
The ‘percentage difference’ is the difference between the stock price and the transacted contract’s strike price. This value can be both positive (out of the money) and negative (in the money).
% Floor‘% Floor’ is the total percentage of volume for a given option’s contract that took place via a Floor Trade. |
‘% Floor’ is the total percentage of volume for a given option’s contract that took place via a Floor Trade.
% Multi‘% Multi’ is the total percentage of volume for a given option’s contract that has been labeled as a ‘multi-leg trade.’ Also see multi-leg. |
‘% Multi’ is the total percentage of volume for a given option’s contract that has been labeled as a ‘multi-leg trade.’ Also see multi-leg.
% Total Vol‘% Total Vol’ is the percentage value of total volume for an overall equity that is being taken up by the respective options contract. |
‘% Total Vol’ is the percentage value of total volume for an overall equity that is being taken up by the respective options contract.
For example if an option’s contract has a ‘% Total Vol’ value of ‘35%’ that means that for every 100 trades for the respective equity 35 of them were for the respective options contract.
4 Basic Option TradesEvery options trade or strategy, no matter how simple or complex , involves one or more of these types of trades: |
Every options trade or strategy, no matter how simple or complex, involves one or more of these types of trades:
-Buying a call (Long Call)
-Buying a put (Long Put)
-Selling a call (Short Call or alternatively a Covered Call)
-Selling a put (Short Put or alternatively a Cash Secured Put)
Any 2 or more of these strategies can be combined in order to create a more complex strategy. For example: a long call and a short call be used in conjunction to create a (bullish) call debit spread or a (bearish) call credit spread.
A call and put can both be longed or shorted in a variety of different ways to create strategies of varying sentiment. For example: shorting a call and longing a put would result in a (bearish) synthetic short while shorting a put and longing a call would create a (bullish) synthetic long.
Different types of options strategies carry different types of risk. Make sure you understand your chosen strategy's risk profile: some strategies have a theoretical infinite loss.
Relevant Resources:
Unusual Whales Options Strategy listing
4 Types of OrdersEvery individual options trade is the result of one of the four actions: - Buy to Open (BTO) - Buy to Close (BTC) - Sell to Open (STO) - Sell to Close (STC) |
Every individual options trade is the result of one of the four actions:
- Buy to Open (BTO)
- Buy to Close (BTC)
- Sell to Open (STO)
- Sell to Close (STC)
I'm sure you're already familiar with the actions of Buying and Selling. Attaching the word "to open" and "to close" will provide additional context to the trade.
When you purchase a contract to initiate the position you are 'buying to open' (BTO). When you decide to sell your position you are 'selling to close' (STC).
When you write a contract, such as a covered call, you are 'selling to open' (STO). You can close the position by ‘buying to close’ (BTC).
Understanding these concepts is crucial for any trader interested in analyzing flow, and especially for those attempting to follow unusual options flow.
A BTO trade will always be closed via an STC trade, while an STO trade will always be closed via a BTC trade.
What makes distinguishing between 'opening flow' and closing trades difficult is the fact that they are not expressly labeled as such: the flow data does not label a trade as being BTO, STO, etc. Consider that a transaction in which a trader has bought (to close) $1,000,000 in (covered) calls will look very similar in the flow feed to a trader who is buying (to open) $1,000,000 in calls.
Relevant Resources:
BearishBearish , as it pertains to the markets, is the view that investment positions, or the market in general, will decline. An investor can be bearish on an individual stock, bond, sector, commodity, or market as a whole. |
Bearish, as it pertains to the markets, is the view that investment positions, or the market in general, will decline. An investor can be bearish on an individual stock, bond, sector, commodity, or market as a whole.
Bearish, as it pertains to the Unusual Whales platform, may be used in several different contexts.
Bearish Premium is premium derived from ask-side puts or bid-side calls for a respective ticker. The opposite is bullish premium, which is derived from bid-side puts and ask-side calls. Bearish + Bullish premium = the total premium.
A call transaction will have a Bearish emoji if it has taken place at or closer to the Bid side (nothing more nothing less!).
A put transaction will have a Bearish emoji if it has taken place at or closer to the Ask side (nothing more nothing less!).
Bid-Ask SpreadThe Bid-Ask Spread is the difference between the highest price that a buyer is willing to pay for an asset (the bid price) and the lowest price that a seller is willing to accept (the ask price). |
The Bid-Ask Spread is the difference between the highest price that a buyer is willing to pay for an asset (the bid price) and the lowest price that a seller is willing to accept (the ask price).
Someone looking to be a seller can find a buyer at the bid price, whereas someone looking to be a buyer can find a seller at the ask price.
It is essentially a measure of market liquidity, as well as a measure of supply and demand. A wide spread may indicate that the market for the underlying is not very active, while a tighter spread may suggest the opposite.
The Bid-Ask Spread is often used in conjunction with options transactions prices in order to try and determine whether the trade was initiated by a buyer or a seller.
The Bid and Ask price at the time of each transaction is provided in the flow feed.
Bid-Ask Spread Resources:
Using a variety of data points (including bid ask) to analyze options on Youtube
BullishBullish , as it pertains to the markets, is the view that investment positions, or the market in general, will go higher. An investor can be bullish on an individual stock, bond, sector, commodity, or market as a whole. |
Bullish, as it pertains to the markets, is the view that investment positions, or the market in general, will go higher. An investor can be bullish on an individual stock, bond, sector, commodity, or market as a whole.
Bullish, as it pertains to the Unusual Whales platform, may be used in several different contexts.
Bullish Premium is premium derived from ask-side calls or bid-side puts for a respective ticker. The opposite is bearish premium, which is derived from ask-side puts and bid-side calls. Bearish + Bullish premium = the total premium.
A call transaction will have a Bullish emoji if it has taken place at or closer to the Ask side (nothing more nothing less!).
A put transaction will have a Bullish emoji if it has taken place at or closer to the Bid side (nothing more nothing less!).
Chain Bid/AskThe Chain Bid/Ask bar displays the breakdown of bid/mid/ask/and no side activity for the respective contract. |
The Chain Bid/Ask bar displays the breakdown of bid/mid/ask/and no side activity for the respective contract.
It is provided as a column on the Unusual Whales flow feed, and is also visible in the historical contract data from within the flow pop up.
When seen in the flow feed the bar displays the breakdown of side activity up until the trade in question.
When viewing the bars from the flow pop up the bars will display the most up to date information.
The Chain Bid/Ask bars are often confused with Bullish/Bearish bars.
CrossA Cross occurs when a broker executes matched buy and sell orders for the same security across different client accounts and reports them on an exchange. These transactions are typically happening peer-to-peer, and are often the result of one MM offloading a position to another. These trades offer no indication as to directionality. Cross trades are identified using the flag CROSS in the Unusual Whales flow feed. |
A Cross occurs when a broker executes matched buy and sell orders for the same security across different client accounts and reports them on an exchange. These transactions are typically happening peer-to-peer, and are often the result of one MM offloading a position to another. These trades offer no indication as to directionality. Cross trades are identified using the flag CROSS in the Unusual Whales flow feed.
A Cross trade will automatically be assigned the side NONE.
Cross Resources:
A clip from a popular HBO TV show depicting a Cross Trade taking place on Twitter
Dark PoolA dark pool is a privately organized financial forum or exchange for trading securities. Dark pools allow institutional investors to trade without exposure until after the trade has been executed and reported. |
A dark pool is a privately organized financial forum or exchange for trading securities. Dark pools allow institutional investors to trade without exposure until after the trade has been executed and reported.
DividendA Dividend is a payment, usually in the form of cash, derived from a company's profits that is paid out to shareholders. |
A Dividend is a payment, usually in the form of cash, derived from a company's profits that is paid out to shareholders.
Dividends can be scheduled to be paid out monthly, quarterly, biannually, as well as annually. Unannounced dividends are called Special Dividends.
There are 3 key dates to track:
- The ex-dividend date: one business day prior to the record date (see below). All else equal, on a stock's ex-dividend date the share price will drop by the dividend amount.
- The record date: the cut-off date set by a company to determine which shareholders are eligible to receive the dividend. Because of the T + 2 settlement system currently used those who wish to secure a dividend must own the stock by the close of business on the day before the ex-dividend date.
- The payout date: the day the dividend is paid out.
Fictitious company ABC has an ex-dividend date of Friday, August 15. Those wishing to secure a dividend must own the stock by the close of business on Thursday, August 14.
A stock whose ex-dividend date is the following trading session will have a currency emoji to the left of the ticker in the Unusual Whales flow feed.
It is not uncommon to see large amounts of ITM call activity take place on the day prior to the ex-dividend date. This activity is arbitrage and is NOT a directional trade. Click here for an in-depth white paper (PDF) on this activity.
DTEDTE, or Days to Expiration, is used to reference the number of calendar days remaining until a contract's expiration date. |
DTE, or Days to Expiration, is used to reference the number of calendar days remaining until a contract's expiration date.
An option expiring the same day is often referred to as a '0 DTE'.
A contract displaying a negative DTE has expired.
FloorThe Floor of a stock exchange was once the main location for market activity to take place. While ‘Floor trading’ still exists to some extent today the vast majority of market activity now takes place electronically. Those trades that are still taking place on the Floor of an exchange are identified using the flag FLOOR in the Unusual Whales flow feed. |
The Floor of a stock exchange was once the main location for market activity to take place. While ‘Floor trading’ still exists to some extent today the vast majority of market activity now takes place electronically. Those trades that are still taking place on the Floor of an exchange are identified using the flag FLOOR in the Unusual Whales flow feed.
Floor traders and floor brokers both operate from the floor. Floor traders trade exclusively for their own accounts while floor brokers work on the behalf of their clients.
Floor Resources:
Flow Pop Up(For lack of a better term) the Flow Pop Up refers to the 2 x 2 grid view that is accessible by clicking the expiration date of any options contract across the website. The 2 x 2 grid provided by the Flow Pop Up is also accessible via the Chain Explorer . |
(For lack of a better term) the Flow Pop Up refers to the 2 x 2 grid view that is accessible by clicking the expiration date of any options contract across the website. The 2 x 2 grid provided by the Flow Pop Up is also accessible via the Chain Explorer.
Top left: Options Contract Volume Chart
The top left card provides a volume chart for the respective contract. Using the dropdown on the top right of the card you can view historical data (up to 60 days) and change between timeframes.
Candles can be hovered over for more information. Clicking a candle will open a new window taking you to the flow feed for the selected period.
Top right: Stock Chart / Options Volume Chart / Net Premium Chart / Averages
The top right card provides 4 different types of charts for the respective equity. Using the dropdown on the top right of the card you can toggle between charts, days displayed, and timeframes. Selecting some charts will provide additional functionality.
Bottom left: Options Contract Historical Volume and OI Table
The bottom left card provides a table displaying historical data for the respective contract. Using the buttons on the top right of the card you can configure the shown columns, as well as make the table longer.
Bottom right: Equity Historical Data
The bottom right card provides a table displaying historical data for the respective equity. Using the buttons on the top right of the card you can configure the shown columns, as well as make the table longer.
Implied MoveThe implied move of a stock represents how much the price is expected to move over a period of time. Unless otherwise specified the time period is generally until the end of the current week. The implied move is most often referenced prior to known binary events, such as an earnings report. |
The implied move of a stock represents how much the price is expected to move over a period of time. Unless otherwise specified the time period is generally until the end of the current week. The implied move is most often referenced prior to known binary events, such as an earnings report.
Implied move formula:
Cost of the front month at the money straddle multiplied by .85
The implied move is referenced by a percentage (+/- 4.27% in the example image) and can be followed by the corresponding dollar amount.
Implied Move Resources:
The implied move for companies reporting earnings can be found on the Earnings Table
You can query implied move data using the Discord Bot
The implied move can be viewed from the flow pop up: How To on Twitter
Implied VolatilityImplied Volatility, commonly referred to as IV, is best described as the options market's expectation of a likely move in a security's price over a period of time. |
Implied Volatility, commonly referred to as IV, is best described as the options market's expectation of a likely move in a security's price over a period of time.
News and rumors alone are enough to effect the IV of a security and its options. Known events, such as an earnings call or an investor day, also have an effect on IV.
IV is a forward looking value and is not based on historical activity.
(All else remaining equal) Higher implied volatility will result in higher options premiums, whereas lower implied volatility will resulted in lower options premiums. Certain equities are more prone to volatility than others.
Index/IndicesAn Index is a basket of stocks that is used to track and measure the performance of a specific market, market sector, asset class, etc. |
An Index is a basket of stocks that is used to track and measure the performance of a specific market, market sector, asset class, etc.
The most popular index is the Standard and Poor's 500, commonly referred to as the S&P 500.
While you can't trade an index (indices plural) directly you can trade a mutual fund or ETF that tracks the index. Popular ETFs that track the S&P 500 are SPY and VOO.
ITMITM, or In the money, is an expression that refers to an option that possesses intrinsic value. |
ITM, or In the money, is an expression that refers to an option that possesses intrinsic value.
A call option is ITM if the strike price is below the price of the equity in question.
Example: With AAPL trading at $182.50 a 180C would be $2.50 ‘in the money.’
A put option is ITM if the strike price is above the price of the equity in question.
Example: With AAPL trading at $182.50 a 185P would be $2.50 ‘in the money.’
An option can also be out of the money (OTM) or at the money (ATM).
IV RankIV Rank, also referred to as the Implied Volatility Rank or IVR, is a measurement of how the current IV level of a given equity compares to the last 52 weeks of historical data. |
IV Rank, also referred to as the Implied Volatility Rank or IVR, is a measurement of how the current IV level of a given equity compares to the last 52 weeks of historical data.
The IV Rank value is provided on a scale between 0 - 100, where a value of 0 would represent the lowest IV value of the year whereas a value of 100 would represent the highest IV value in the previous 52 week period.
For example:
In the last 52 week period ticker ABC's IV ranged from 40% to 80%.
If ticker ABC's IV is currently at 60% it would be an IVR of 50.
IV Rank Resources:
IV Rank for all optionable equities can be found on the Ticker Screener
Market MakerA market maker is a firm or individual that actively participates in financial markets, offering both buy (bid) and sell (ask) quotes for securities. They create liquidity and market depth, ensuring enough buyers and sellers to facilitate trading. Market makers may also earn profits from the spread between bid and ask prices, and may engage in trading for their own accounts, also referred to as principal trades |
A market maker is a firm or individual that actively participates in financial markets, offering both buy (bid) and sell (ask) quotes for securities. They create liquidity and market depth, ensuring enough buyers and sellers to facilitate trading. Market makers may also earn profits from the spread between bid and ask prices, and may engage in trading for their own accounts, also referred to as principal trades
Market Makers are especially important in options. Imagine having to pair off with someone willing to sell what you want to buy, on your own, for each and every transaction. That'd be nightmarish and difficult! Market Makers facilitate that for traders and investors.
Market TideMarket Tide is a proprietary tool that can be viewed from the Market Overview page. The Market Tide chart provides real time data based on a proprietary formula that examines market wide options activity and attempts to filter out ‘noise’ as it sees fit. To visualize options activity for an individual ticker see Net Flow . Using this data you can get a feel for how the options market is being traded. |
Market Tide is a proprietary tool that can be viewed from the Market Overview page. The Market Tide chart provides real time data based on a proprietary formula that examines market wide options activity and attempts to filter out ‘noise’ as it sees fit. To visualize options activity for an individual ticker see Net Flow. Using this data you can get a feel for how the options market is being traded.
Market wide call and put activity is aggregated and the ‘net value’ is displayed using green (call) and red (put). The underlying price of SPY [SPDR S & P 500 ETF] (yellow) is overlaid against the net call and put values.
For example:
- $15,000 in calls transacted at the ask has the effect of increasing the daily net call premium by $15,000.
- $10,000 in calls transacted at the bid has the effect of decreasing the daily net call premium by $10,000.
The resulting net premium from both of these trades would be $5000 (+ $15,000 - $10,000).
Transactions taking place at the mid are not accounted for.
In theory:
The sentiment in the options market becomes increasingly bullish if:
1. The aggregated CALL PREMIUM is increasing at a faster rate.
2. The aggregated PUT PREMIUM is decreasing at a faster rate.
The sentiment in the options market becomes increasingly bearish if:
1. The aggregated CALL PREMIUM is decreasing at a faster rate.
2. The aggregated PUT PREMIUM is increasing at a faster rate.
Please reference the yellow tooltip on the Market Overview page for more information.
Note: each transaction has a |$2m| max contribution to the net premium.
Market Tide Resources:
The Market Tide charts are available on the website, but also as a command using both the Discord bot and Twitter bot. Use command `/market_tide`.
Twitter Video on the Net Flow Concept
Multi-LegGeneral |
General
A Multi-Leg trade is one that consists of two or more legs. A multi-leg trade can consist of options trades as well as stock.
Buying a call would be a single leg trade. Opening a call debit spread (buy one call, sell one call of a higher strike) would be a multi-leg options trade with two legs.
Another example of a 2-legged options trade would be a straddle, which involves both a call and put option.
An example of a 3-legged options trade would be a long call butterfly, which involves 3 call options of varying strike prices.
An example of a 4-legged options trade would be a short iron condor, which involves 2 call options of varying strike prices as well as 2 put options of varying strike prices.
By definition a Roll is also a multi-leg options trade.
A multi-leg stock trade is a trade that consists of one option leg and one stock leg. An example of this would be a call-write (buy 100 shares, write 1 call).
Multi-Leg Trades and Unusual Whales
Check out this Youtube video: Spotting and Understanding Multileg Options Trades on Unusual Whales!
When a multi-leg trade is executed that trade is given a specific ‘Trade Code’ which identifies as being a multi-leg trade (usually prefix ML). These codes also differentiate between multi-leg options and multi-leg stock trades.
Single Leg trades will be identified by SL in the feed. Multi-leg options trades will be labeled ML-O. Multi-leg stock trades will be labeled ML-S.
Nothing explicitly states that a trade is connected to another. However, the Unusual Whales flow feed attempts to group linked trades. You can also often figure out which trades are linked based on the trade execution time as well as the sizing of the trades.
You can view other trades that may be multi-legged with the one in your feed by clicking ML-O or ML-S, or the respective icon in the flow feed.
For ML-S trades the stock leg will only be shown if it has taken place on a NASDAQ exchange.
The % of a contract's volume that was from multi-leg trades is a data point available in the contract historical volume/OI data.
You can learn more about spotting multi-leg trades in the Flow Feed by watching the YouTube video on shortcut links.
Multi-Leg Resources
Net FlowNet Flow is a proprietary tool that can be viewed from the Net Flow page. The Net Flow chart provides real time data based on options activity for any individual equity, as opposed to Market Tide which tracks the market as a whole. Using this data you can get a feel for how the options market is being traded. |
Net Flow is a proprietary tool that can be viewed from the Net Flow page. The Net Flow chart provides real time data based on options activity for any individual equity, as opposed to Market Tide which tracks the market as a whole. Using this data you can get a feel for how the options market is being traded.
Ticker wide call and put activity is aggregated and the ‘net value’ is displayed using green (call) and red (put). The underlying price of the selected equity (yellow) is overlaid against the net call and put values.
For example:
- $15,000 in calls transacted at the ask has the effect of increasing the daily net call premium by $15,000.
- $10,000 in calls transacted at the bid has the effect of decreasing the daily net call premium by $10,000.
The resulting net premium from both of these trades would be $5000 (+ $15,000 - $10,000).
Transactions taking place at the mid are not accounted for.
In theory:
The sentiment for the selected equity becomes increasingly bullish if:
1. The aggregated CALL PREMIUM is increasing at a faster rate.
2. The aggregated PUT PREMIUM is decreasing at a faster rate.
The sentiment for the selected equity becomes increasingly bearish if:
1. The aggregated CALL PREMIUM is decreasing at a faster rate.
2. The aggregated PUT PREMIUM is increasing at a faster rate.
Note: each transaction has a |$2m| max contribution to the net premium.
Net Flow Resources:
The Net Flow charts are available on the website, the mobile application, and also as a command using both the Discord bot and Twitter bot. Use command `/netflow TICKER`.
Net Flow charts are also available via the Flow Popup.
Twitter Video on the Net Flow Concept
Open InterestOpen interest , or OI for short, refers to the total number of outstanding contracts. You can refer to the open interest of a specific option contracts, or the open interest for an equity as a whole. |
Open interest, or OI for short, refers to the total number of outstanding contracts. You can refer to the open interest of a specific option contracts, or the open interest for an equity as a whole.
Open interest values DO NOT update intraday.
The open interest value DOES NOT differentiate between bought or sold options: ANY open contract will be counted towards OI.
New open interest values will be disseminated market wide during the premarket of any given trading session. These updates will generally be completely by around 730 AM EST, at which point open interest values for all contracts will be available to view.
Incorrect open interest values can be sent out market wide. These incorrect values will correct themselves the follow session. Click here for more information.
Open Interest Resources:
The contracts with the highest changes in open interest can be viewed using the Open Interest Change Feed
The Contract Look Up page displays historical volume and open interest data
An analogy for Volume and Open Interest on Twitter
Tracking whales using Volume and Open Interest on Youtube
Opening FlowThe phrase Opening Flow is used to describe options activity in which contracts are being opened, hence the name opening flow. |
The phrase Opening Flow is used to describe options activity in which contracts are being opened, hence the name opening flow.
The goal of options flow trading is based on the premise of identifying smart money entering, or opening, trades and following suit.
The difficulty lies in the fact that options flow data is limited and does not inform us whether or not the trade(s) in question are being opened or closed (or longed or shorted, for that matter).
There are instances in which we can use data points like volume and open interest in order to help us determine if contracts are being opened. For example: If a contract currently has 100 daily volume and 50 open interest and then a trade for 250 contracts hits the tape we know for certain that this 250 sized trade is ‘opening' by the virtue of there not being enough existing contracts. When a trade can 100% be identified as an opening trade it will be labeled as such in the flow.
NOTE: A trade NOT having this icon doesn't mean it wasn't an opening trade. Many trades won't have large round numbers that can be used to distinctively identify them as an opening trade.
It gets much trickier to identify opening positions when the numbers don't line up that cleanly. We can sometimes recruit other data points to help us. A high volume to open interest ratio, as well as a skew to either the bid or the ask, are both great data points. For example: a contract has 0 volume and 1000 open interest. Trades varying in size from 1 contract - 100 contracts start hitting the tape. There's now 7500 volume (and still 1000 open interest.) All 7500 volume took place at or closer to the ask. While we can't exactly pinpoint how much of the activity was ‘opening flow’ it's clear that opening flow has taken place.
Of the 4 ways to trade options (BTO, BTC, STO, STC) opening flow, by definition, can only be BTO and STO orders.
Opening Flow Resources:
Identifying opening positions on Youtube
Simple filter to help identify opening positions on Twitter
Flow chart on Twitter
Opening Flow checklist on Twitter
OTMOTM, or Out of the money, is an expression that refers to an option that only contains extrinsic value. |
OTM, or Out of the money, is an expression that refers to an option that only contains extrinsic value.
A call option is OTM if the strike price is above the price of the equity in question.
Example: With AAPL trading at $182.50 a 190C would be ‘out of the money.’
A put option is OTM if the strike price is below the price of the equity in question.
Example: With AAPL trading at $182.50 a 175p would be ‘out of the money.’
An option can also be in the money (ITM) or at the money (ATM).
P/C RatioThe Put/Call Ratio compares the total number of puts and calls traded. The put-call ratio is calculated by dividing the number of traded put options by the number of traded call options. |
The Put/Call Ratio compares the total number of puts and calls traded. The put-call ratio is calculated by dividing the number of traded put options by the number of traded call options.
PremiumPremium, as it pertains to the Unusual Whales platform, may be used in several different contexts. |
Premium, as it pertains to the Unusual Whales platform, may be used in several different contexts.
Premium is found as a column header in the flow feed. It represents the total dollar value of the respective options transaction. The premium value is derived from multiplying the spot price of the respective contract by the total size of the trade.
A ticker's overall trading activity can be broken up into call and put premium, as well as bullish and bearish premium.
A ticker's call premium is the total value of all call activity.
A ticker's put premium is the total value of all put activity.
A ticker's bullish premium is the total value of ask-side call and bid-side put activity.
A ticker's bearish premium is the total value of ask-side put and bid-side call activity.
A ticker's neutral premium is the total value of trades occurring at the mid as well as: cross trades, trades that have been modified/cancelled, or reported late.
Net Premium is a concept derived from the Market Tide and Net Flow feature.
Net Call Premium is the premium value derived from the daily call activity using the following example:
- $15,000 in calls transacted at the ask has the effect of increasing the daily net call premium by $15,000.
- $10,000 in calls transacted at the bid has the effect of decreasing the daily net call premium by $10,000.
The resulting net premium from both of these trades would be $5000 (+ $15,000 - $10,000).
Transactions taking place at the mid are not accounted for.
Net Put Premium is the premium value derived from the daily put activity using the same example as above.
SideSide is a term that you'll see as a column header on the Unusual Whales flow feed. It is most often used to reference where along the Bid-Ask spread a trade took place. |
Side is a term that you'll see as a column header on the Unusual Whales flow feed. It is most often used to reference where along the Bid-Ask spread a trade took place.
Every trade will have be tagged with a side. There are four possible sides:
Ask - A transaction that took place at or closer to the ask will have the side ASK.
Bid - A transaction that took place at or closer to the bid will have the side BID.
Mid - A transaction that took place exactly between the bid and the ask will have the side MID.
None - The previous 3 labels made reference to where along the Bid-Ask spread a trade took place. The NONE tag is used in situations where the Bid-Ask spread may be irrelevant. Cross trades, trades that are out of sequence or late, or trades which have been modified or cancelled will be tagged NONE.
SpotThe Spot price of a transaction is the price at which the transaction occurred. |
The Spot price of a transaction is the price at which the transaction occurred.
Options traders will generally use the Bid-Ask Spread and the spot price of a trade in order to help them determine the sentiment.
Spot Resources:
Using a variety of data points (including the spot price) to analyze options on Youtube
SpreadA spread is a type of options strategy in which the trader simultaneously buys and writes different options of the same type (call or put) on the same underlying asset, but with different strike prices and/or expiration dates. Not to be confused with the bid ask spread . |
A spread is a type of options strategy in which the trader simultaneously buys and writes different options of the same type (call or put) on the same underlying asset, but with different strike prices and/or expiration dates. Not to be confused with the bid ask spread.
The term spread by itself is quite vague. A spread can be opened via a credit or a debit. In other words: some spreads require a debit to open (a debit spread), whereas other spreads may provide the trader with a credit (a credit spread).
A spread that is built using only calls is referred to as a call spread. Similarly a spread that is constructed using puts is referred to as a put spread.
We previously mentioned that the term spread by itself is vague. We can further describe a spread as being a call credit spread, or a put debit spread. A call credit spread, which is a directionally bearish trade, is often referred to as a bear call spread. A call debit spread, a directionally bullish trade, is referred to as a bull call spread.
As a spread requires two different contracts to execute it can be classified as a multi-leg trade.
Spread Resources:
Unusual Whales Options Strategies Breakdown
SSIASSIA , or Short Stock Interest Arbitrage for short, is an extremely advanced arbitrage strategy only available to market makers that has made noise in the last few years. Click here for an in-depth white paper (PDF) on this activity. |
SSIA, or Short Stock Interest Arbitrage for short, is an extremely advanced arbitrage strategy only available to market makers that has made noise in the last few years. Click here for an in-depth white paper (PDF) on this activity.
A few excerpts from the PDF to provide some more understandable context:
“A deep ITM put has no time value remaining and is priced at its floor value. Upon exercise, the put option holder receives the exercise price in cash. Each day the put option holder defers exercising the deep ITM put, he forgoes the interest income that can be earned on the cash proceeds, but retains an option to exercise the put on the following day. The difference between forgone interest income and the value of future exercise opportunities determines whether the put should be exercised early or not.”
“The failure of long put option holders to exercise early has given rise to a trading game. Since the interest income being forfeit by long put option holders is being earned by short put option holders, the game involves capturing short open interest. The game, dubbed “short stock interest arbitrage,” involves simultaneously buying and selling a large (relative to existing open interest), but equal, number of deep ITM puts and then immediately exercising the long puts. Since exercises are randomly assigned to open short positions, the arbitragers systematically capture the dominant share of the total short open interest and thereby earn the dominant share of the forfeit interest.”
Many traders have noticed vast amounts of deep ITM put activity coming across their feeds. We attempt to identify this activity and identify if with the emoji shown below.
A tell-tale sign that you are witnessing SSIA taking place is to examine the contract's historical volume and open interest. If you don't see any significant changes taking place after sessions with high volume then you can confirm that the activity is from traders undertaking the SSIA strategy. Take the TSLA 450p Jan 2024 contract: we can see thousands of contracts being traded on a near daily basis with almost no change in OI.
Similarly to the ITM call activity you see prior to a ticker's ex dividend date SSIA activity is arbitrage and NOT a directional trade.
SweepA Sweep, more formally known as an Intermarket Sweep Order, is a market order in which a (typically) larger size trade ‘sweeps’ different exchanges (hence intermarket sweep) with the goal of filling their order at the best prices currently offered on the market. Sweeps are identified using the flag SWEEP in the Unusual Whales flow feed. |
A Sweep, more formally known as an Intermarket Sweep Order, is a market order in which a (typically) larger size trade ‘sweeps’ different exchanges (hence intermarket sweep) with the goal of filling their order at the best prices currently offered on the market. Sweeps are identified using the flag SWEEP in the Unusual Whales flow feed.
In order for this to be accomplished a large order would be broken up into smaller orders that fill across different exchanges.
Sweeps are able to take advantage of liquidity that is outside of the posted best bid and offer.
Sweep Resources:
Trade CodeA Trade Code is a designator that is attached to every options transaction. The trade code provides additional information about the respective trade. The Trade Code for each trade is provided as a value in the flow feed. |
A Trade Code is a designator that is attached to every options transaction. The trade code provides additional information about the respective trade. The Trade Code for each trade is provided as a value in the flow feed.
Trade Code Resources:
CBOE Stock/Options Condition Codes (CSV)
VolumeVolume refers to the total number of shares/contracts that have traded hands over the course of the day. |
Volume refers to the total number of shares/contracts that have traded hands over the course of the day.
Volume values update LIVE intraday.
The volume value DOES NOT differentiate between bought or sold options; ANY traded contract will count as 1 volume.
Volume Resources:
The Hottest Contracts feed can be configured to display the contracts with the highest volume
The Contract Look Up page displays historical volume and open interest data
An analogy for Volume and Open Interest on Twitter
Tracking whales using Volume and Open Interest on Youtube