How to Filter the Flow Feed Part 1
Let's learn how to filter the data in the Unusual Whales Flow feed to isolate three (3) different types of trades that you might find interesting:
1. PART 1: OTM Call buyers opening trades on single name equities only where the desk spent at least $500K to initiate the position, whether all bought in the same order or spread out across aggregated orders on many exchanges, and the options expire between 2 weeks and 6 months from now (bullish "swing trade" ideas)
2. PART 2: Put sellers opening trades on single name equities or ETFs where the desk collects at least $250K to initiate the position (neutral-to-bullish "premium harvesting" ideas)
3. PART 3: Put buyers opening trades on single name equities only where the desk spent at least $250K to initiate the position and the delta value of the Put is at least 0.40 (bearish "confident delta" ideas)
We will build each of these from scratch then save them when we finish so we can get refresh their results with two (2) clicks going forward.
So without further ado, let's get started!
Filter 1: Bullish "swing trade" ideas
OTM Call buyers opening trades on single name equities only where the desk spent at least $500K to initiate the position, whether all bought in the same order or filled across many orders on many exchanges, and the options expire between 2 weeks and 6 months from now (bullish "swing trade" ideas)
- OTM Call buyers
- Opening trade
- Single name equities only (no ETFs, no indexes)
- Desk spent at least $500K to initiate the position
- All bought in the same order or filled across many orders on many exchanges
- Contracts expire at least 2 weeks but at most 6 months from now
We start at https://unusualwhales.com/ and click the "Flow Data" drop-down from the navigation bar, then click on the "Flow Feed" link.
And with that, we are ready to start filtering! By default the "Filters" menu drawer should be open, but in case it is not, you can click the "Filters" button to open it.
Our first filter criteria is "OTM Call buyer", which actually contains a lot of info! Let's break that into its three (3) component parts:
- OTM ("Out of The Money")
- Call
- Buyer
Let's start with "OTM". Scroll the Filters menu down until you see the field named "% OTM" (you will see a little asterisk explainer there to help clarify decimals vs. percents). We only want to see OTM Calls, so we can type a zero (0) into that field to limit our results to only contracts that are at least 0% OTM, and as soon as we finish typing we will instantly see a change in results where only OTM contracts are showing.
Next, let's only show Calls. Scroll back up the Filters menu until you see the "Option Type" section, and click the "Hide" radio button next to Puts while leaving Calls alone.
Finally, we want to see Call buyers only. This is where things get a little tricky, since we can never TRULY know if a contract was bought or sold. However, it is a reasonable to assume that if a contract traded close to or right on the ask price, that the customer was buying the contract, since the counterparty is almost always a market maker and their business revolves around capturing the bid/ask spread. Going forward in this example, we will assume that contracts traded on or close to the ask price were bought, even though we know that this is technically not universally true.
To see buyers then, we want to remove contracts that traded at the mid price, at or near the bid price, or "no side" contracts (which is a topic for another discussion). Scroll up in the Filters menu until you see the "Side" section and click the "Hide" radio button next to Bid, Mid, and No Side, leaving Ask alone.
We are really picking up momentum now! Our next criteria is "opening trade only", which is an easy on/off switch. Scroll down in the Filters menu until you find the "Others" section then click the button next to "Opening trades".
Next up, we want single name equities only (i.e. no ETFs and no indexes). Thankfully this is another easy set of on/off switches, so scroll up in the Filters menu until you find the "Equity Type" section and click the "Hide" radio buttons next to "ETFs / ETNs" and "Indices".
Now we want to only show trades where the desk spent at least $500K. Scroll down to the field labeled "Premium", which should look familiar after working on the "% OTM" field. The "Premium" field works the same way, so type in 500000 in the left field to set a minimum at half a million dollars paid to open the position.
Our next criteria is "all bought in the same order or filled across many orders on many exchanges". We are already seeing trades that executed all in the same order, but none of the "filled across many orders on many exchanges"-type. Fortunately this is another super-easy switch on/off, so scroll the Filter menu down to the "Others" section and click on the switch next to "Aggregated trades".
The final criteria from our initial statement limits our range of expirations between 2 weeks and 6 months. To achieve this, we convert these timeframes into days: the low value should be 6, so we can see contracts expiring as soon as next week, and the high value should be 183, since there are a maximum of 366 days in a year. Scroll back up and find the "DTE" field, which should be very familiar now, and key in values 6 in the left field and 183 in the right field.
And with that, we have now filtered the Flow feed down to exactly the criteria we set out to find!
At this point, we have one minor consideration left. Let's zoom in on the results shown in Flow feed and quickly review the "multileg" concept:
If you look closely, you will see that every trade from today, which happens to be Sep 26th, 2024, is a multi-leg trade except CRM. Depending on your level of experience with option structure analysis and trade idea process, you may or may not want to see multi-leg trades. If you decide that you are not interested in these complex structures, then you can remove them by scrolling down in the Filters menu until you find "Others" where you can switch on the "Singleleg only" option.
For the purposes of this demo, we will click "Singleleg only" on to further filter our results.
Before we wrap up, let's take a moment to appreciate how much work we actually accomplished here. With "Singleleg only" turned on, we took the entire universe of option trades for today, Sep 26th, 2024, and whittled it down to exactly one interesting trade. Very efficient!
Last step and perhaps the most important; saving our filter criteria! Click the computer disk icon and type a name into the "Filter name" field that quickly describes this filter. I'm going to call it "500K OTM Calls Stock Only".
Now, whenever we want to look at trades that meet these criteria, we can click the folder icon with the plus sign on it then click "500K OTM Calls Stock Only".
From here, if the 950x CRM 300C for Mar25 expiry seems remotely interesting, you can begin the next step of your analysis, whatever that may be:
- Fundamentals?
- Sector sentiment?
- Technicals?
- Etc.
Regardless of what you decide, you have the advantage of knowing that a desk put $1.43mil to work today, Sep 26th 2024, by buying 950x CRM 300Cs for the Mar25 expiry.
You can find a full breakdown of pre-built filters in this article.