Download Options Scanner Manual

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Options Scanner Manual
Introduction
The Options Scanner allows you to search all publicly traded US equities and indexes
options--more than 170,000 options contracts--for trading opportunities that match your
criteria. The Options Scanner can help you uncover:
Naked and covered puts and calls
Any complex option strategy – to find the “missing leg”
Calendar spreads
Search is performed against iVolatility’s Options Database, HyperFeed’s Ticker-Plant
and iVolatility’s Implied Volatility Calculation Engine. The system updates in real-time
against a 20-minute delayed market data feed.
The Options Scanner searches both individual contracts and complex strategies to find
trades that match your stated criteria. Search using either the Basic or Advanced views.
By default, the Options Scanner searches all equities in our database. You can limit this
list by specifying a personalized list of equities, separating ticker symbols with commas.
This filter is available in both Basic and Advanced views.
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Basic View
Use Basic view in the Scanner to search by the following criteria:
ƒ Cost - the relative cost of the option based on theoretical value
ƒ Moneyness – the amount any contract or strategy is in-, out- or at-the money
ƒ Expiry – the amount of time left on the option
ƒ Liquidity – how often a given option trades
ƒ Risk – measured by calculations known as the “Greeks”. The Basic view
measures time decay (for buyers) and a contract’s sensitivity to changes in the
underlying price (for sellers).
Basic view starts you with certain pre-set filters; all filters are adjustable. To narrow the
search universe, you may also specify a stock group (for example, “All USA”, “S&P 500
stocks”, “NASDAQ 100 stocks”, etcetera).
Cost
Investors can measure an option’s cost in many ways – from the “as-is” option price, to
more complex measurements based on specific pricing models. The Basic view utilizes
the most popular cost measure, implied volatility.
The Scanner’s calculation of cost uses implied volatility to find option contracts that may
be expensive or cheap relative to their peers. Because option prices tend to rise with
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higher implied volatility, the Cost field can help you find options with higher premiums
in relation to the underlying securities’ price.
The Options Scanner defines the following Cost levels:
Cheap - Implied volatility below 25 %
Normal - Implied volatility between 25 % and 55 %
Expensive - Implied volatility greater than 55 %
Note: deep out-of-the-money options often have large implied volatility values, even
though their prices per contract can run as low as $0.05. That’s why the Scanner
considers these contracts expensive.
Moneyness
“Moneyness” refers to how near the option strike is to the current underlying price.
You’re probably familiar with these terms already: an option that is “at-the-money”, for
example, has a strike price equal to the current underlying price. On the Options Scanner,
“at-the-money” (ATM) options have a Moneyness value of zero.
If exercised, an “in-the-money” (ITM) option allow the holder to buy or sell the
underlying for a better price than the market one. “In-the-money” options have a positive
Moneyness value.
“Out-of-the-money” (OTM) options offer no reason for the holder to exercise at the
moment, because the market price of the underlying is better than the strike. “Out-of-themoney” options have a negative Moneyness value.
Because Moneyness depends on the underlying price, it fluctuates often over time.
The Options Scanner defines Moneyness as follows:
Deep OTM - Moneyness below -25 %
OTM - Moneyness between -25 % and -10 %
ATM - Moneyness between -10 % and +10 %
ITM - Moneyness between +10 % and +25 %
Deep ITM - Moneyness above +25 %
Moneyness values in the Options Scanner are calculated as follows:
Calls: 100 % x (Underlying Price - Strike Price) / Underlying Price
Puts: 100 % x (Strike Price - Underlying Price) / Underlying Price
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“At-the-money” options actually have Moneyness range of plus- or minus-10%. Exact
matches of strike and underlying prices are rare and usually temporary; this range makes
it easier for you to find options contracts on the cusp of at-the-money.
Expiry
The Option Scanner defines expiry, or expiration time-frames, as follows:
Short Term – two-three nearest months
Mid Term - two-three months to half a year until expiry
Long Term – more than half a year until expiry
Liquidity
Liquidity refers to how quickly a trader can buy or sell a contract without causing a
significant price movement. A liquid market is one with ready, active buyers and sellers
at all times.
Mathematically speaking, liquidity refers to the probability that the next trade is executed
at a price equal to the last one.
The Options Scanner defines Liquidity as follows:
Low – end-of-day option contract volume less than 50 contracts
Moderate – end-of-day option contract volume between 50 and 500 contracts
High – end-of-day option contract volume above 500 contracts
Risk
Options traders measure risk using a set of calculations known as the “Greeks”, the
sensitivities of option prices to different factors. The Basic view of the Options Scanner
defines Risk based on what you input for Cost. If you’re searching for cheap options, the
Scanner assumes you’re a likely buyer; for expensive options, it assumes you’re a seller.
If buying an option - the Risk is Theta, option price decay over time. Risk levels are
defined by Theta as follows:
Low - option price loses less than 1 % for a 1 day passed
Moderate - option price loses less than 5 % daily
High - option price loses more than 5 % daily
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If selling an option - the Risk is Gamma, a contract’s sensitivity to larger changes in the
underlying price. Gamma is derived from Delta, perhaps the most well-known Greek.
Delta measures a contract’s sensitivity to more minor changes in the underlying price.
Low - option price gains less than 0.25 % for a 1 % move in underlying price
Moderate - option price gains less than 5 % for a 1 % move in underlying
High - option price gains more than 5 % for a 1 % move in underlying
If you don’t specify a cost - the Risk is Vega, a contract’s sensitivity to implied
volatility, in other words, to mis-pricing.
Low - option price changes less than 1% for a 1% absolute change in implied volatility
Moderate - option price changes less than 10% for a 1% change in implied volatility
High - option price changes more than 10% for a 1% change in implied volatility
The Risk field measures a main risk factor, but you should also watch Cost and Liquidity
to control your overall risk. Low liquidity heightens your risk, as does high cost (as
measured by high implied volatility).
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Advanced View
The Advanced view gives you total search control in a very simple interface. Not only
can you select many advanced filters, you can also modify each to meet very exact
criteria, if you choose.
You can fine-tune a search begun with the Basic view, simply by checking the box in
Basic labeled “Auto-apply changes to the Advanced View”.
Underlying Filters (Stock)
A full list of stock filters with available modifiers is presented below. Intra-day variables
are marked in bold.
Filter
Underlying Price
EoD Underlying
Volume
Modifier
Formula / comment
Absolute
underlying price, Stock
% from yesterday Stock / Stock(yesterday)
(Stock - Stock(1yr min))/(Stock(1yr max) - Stock(1yr
in 1 year range
min))
Absolute
underlying close volume, V
% of 1 mo. average V / avg(V), last month average
EoD Options Volume Absolute
total close options volume, OV
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EoD Options Open
Interest (OI)
% of 1 mo. avg
OV / avg(OV), last month average
Absolute
total close options open interest, OI
% of 1 mo. avg
OI / avg(OI), last month average
Absolute
total close (calls volume) / (puts volume), CP
% of 1 mo. avg
CP / avg(CP), last month average
Absolute
Total calls volume / Total puts volume
% of 1 mo avg
CP / avg(CP), last month average
Absolute
HV for 20 trading days (1 month), HV
% from yesterday
HV / HV(previous close)
in 1 year range
(HV - HV(1yr min))/(HV(1yr max) - HV(1yr min))
Absolute
Intraday IV Index for term 30 (1 month), IVX
EoD C/P volume ratio
C/P volume ratio
EoD Historical
Volatility
IVX 1mo.
% from yesterday Intraday IVX / IVX(previous close)
in 1 year range
IVX 1mo. / IVX
6mo.
IVX 1mo. - IVX
6mo.
Call / Put IVX 1mo.
ratio
EoD IV Index
EoD Relative
Volatility
(Intraday IVX - IVX(1yr min))/(IVX(1yr max) IVX(1yr min))
Ratio of intraday 1mo. IVX to 6mo. IVX
Difference of intraday 1mo. IVX and 6mo. IVX
Ratio of intraday IVX 1mo. Call to IVX 1mo. Put
Absolute
IV Index for term 30 (1 month), IVX
% from yesterday
IVX / IVX(previous close)
in 1 year range
(IVX - IVX(1yr min))/(IVX(1yr max) - IVX(1yr min))
Absolute
IVX / HV
Examples:
1) Stock price advances more than 5 % from end-of-day value: set Stock price modifier
to “% from yesterday”, “From” field to 105.
2) Stock close volume larger than monthly average by 20 %: set EoD Stock volume
modifier to “% of 1 m avg”, “From” field to 120.
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3) EoD IV Index less than 25%: set EoD IV Index modifier to “Absolute”, “To” field to
25.
4) 1 month IV Index is at least 10% more than 6 month IV index (when looking for
Calendar Spread): set IVX 1m - IVX 6m “From” field to 10.
Option filters
A full list of options filters with available modifiers is presented below. Intra-day
variables are marked in bold.
Filter
Modifier
Type
Formula / comment
Call / Put
Expiry
Absolute
expiration month and year
Moneyness, %
Absolute
1 - K / S for Calls, K / S - 1 for Puts (K = strike)
Absolute
mean of the option contract bid/ask, C
% from yesterday
C / C(yesterday)
% of stock
C / S, S - intraday stock price
Price
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Implied volatility
Delta
Gamma
Theta
Vega
Alpha
Absolute
option contract implied vola, IV
% from yesterday IV / IV(yesterday)
in IVX 1 year
(IV - IVX(1yr min))/(IVX(1yr max) - IVX(1yr min))
range
option contract absolute value of Delta; non-negative
Absolute
input is expected for both Calls and Puts
% of price
Delta * S / (100*C)
Absolute
option contract gamma, Gamma
% of price
Gamma * S2 / (10000*C)
% of delta
Gamma * S / (100* Delta)
Absolute
option contract premium decay, Theta; non-negative
input is expected
% of price
Theta / C
% of delta
Theta * 100 / (S* Delta)
Absolute
this option contract vega, Vega
% of price
Vega / C
% of delta
Vega * 100 / (S* Delta)
Absolute
Gamma / Theta; non-negative input is expected
Normalized
Gamma * S2 / (10000* Theta)
Absolute
option contract volume
EoD Absolute
option contract EoD volume
Volume
Bid Size
Intraday best bid size (liquidity indicator)
Ask Size
Intraday best ask size (liquidity indicator)
Examples:
1) Option premium is at least 10 % of the underlying: set Price modifier to “% of stock”,
Level low Boundary (“From” field) to 10.
2) Option premium decays less than 2 % daily: set Theta modifier to “% of price”, Level
high boundary (“To” field) to 2.
3) Risk of option price decay due to Gamma is not greater than that due to Delta: set
Gamma modifier to “% of Delta”, Level low boundary (“To” field) to 100.
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For the Greeks (Delta, Gamma, Theta, Vega, Alpha), in addition to “Absolute” Level
modifier, we introduced “% of price” and “% of delta” modifiers. These normalized
criteria help you understand percentage change in option price, and to compare the
change magnitude with sensitivity to underlying price (Delta). The following increments
are implied when using normalized Greeks:
ƒ
ƒ
ƒ
ƒ
Delta, Gamma - 1 % of underlying price
Theta - 1 day
Vega - 1 % (absolute, like change from 20 % to 21 % in implied vola)
Alpha - 1 day for Theta and 1% of underlying for Gamma
Keep in mind that all the Greeks can be entered in absolute values. For example, to find
puts with delta between -0.75 and -0.5, simply set Level boundaries range to (50, 75).
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Scanner usage tips
Monitors and Profiles
There are two tabs you will see when you initially pull up the scanner, Search Profile and
Monitor List. Profiles are collections of search criteria; monitors are simply lists of
options contracts. In the Search Profile tabs you will see the
icon and in the Monitor
List tabs you will see the icon. You can create new search profile tabs by either
icon in the upper left hand
selecting “File” / “New Search” or by simply clicking the
corner. New Monitor List tabs can also be created by selecting “File” / “New Monitor” or
by clicking on the icon.
You can edit both monitors and profiles during a single session. You can also re-name
and save either for future edits or re-runs.
To save a monitor for later use: use the
button, or select “File” / “Save List”. You
can then choose the monitored list’s name and where to save the file in your hard drive.
Both the list of options and the column headers selected to display your results will be
saved automatically.
To edit the name of any monitor file on the fly: select the screen you wish to rename,
then select “Edit” / ”Rename”.
button, or select
To update quote data for a monitored list you have saved: use the
“File” / “Load List”. Note this does not re-run your original search; it simply refreshes
quote data for the list of contracts you saved from an earlier search.
button, or select “File” / “Save
To save a profile search for later use: use the
Profile”. You can then choose where to save the file in your hard drive.
To run a saved profile for new search results: use the
“Load Profile”.
Managing Saved Monitors
button, or select “File” /
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You can view up to 10 monitors simultaneously. Each monitor can display up to 1200
options contracts, for a simultaneous total across all monitors of 3000 different option
contracts.
To start or stop automatic search update: use the stop/play buttons ( / ), or select
“Run” / “Stop” or “Play”. Otherwise the Scanner updates the data in search results
periodically.
View your monitors in a separate window: use the
Separated Window”.
To see all your monitors in one screen: use the
Main Window”.
button, or select “View” / “In
button, or select “View” / “Back to
Searching tips
To fine-tune a search begun with the Basic view: check the box in Basic labeled
“Auto-apply changes to the Advanced View”. Your Basic criteria will be automatically
loaded in the Advanced view.
To exclude inactive contracts from searches: either check “Ignore zero bid options” at
bottom of Advanced view, or enter a value to exclude stale quotes. The Scanner runs on
20-minute delayed data, so the freshest possible quote will be at least 20 minutes old.
To edit columns in search results:
ƒ Drag-and-drop a column name into a new location in the big right-hand panel
ƒ Check or uncheck a column name. Checked columns are displayed at right,
unchecked are not.
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Keep in mind: column names in bold are updated in real-time.
To check a quote’s freshness: use the Quote Time Indicator column. Green means the
quote is less than 40 minutes old, yellow indicates quotes from the last 40-80 minutes.
All older quotes are marked as red.
To delete a contract from results: use the Delete column, or select “Edit” / “Delete”.
To save a list of results for later use: use the button, or select “File” / “Save List”.
(Lists are also known as Monitors.) You can then choose where to save the file in your
hard drive.
To re-load a previously saved list: use the
buttons, or select “File” / “Load List”.
To add contracts to an existing list: check stock or option symbol in the Monitor tab,
then click the add button.
While implied volatility represents the consensus of the marketplace as to the future level of stock price
volatility, there is no guarantee that this forecast will be correct.
IMPORTANT: The projections or other information generated by TradeKing’s tools regarding the
likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment
results and are not guarantees of future results.
The above calculations do not take into consideration all costs, such as commissions and margin interest
which may impact the results shown. It is the user’s sole responsibility to select the criteria to enter in the
TradeKing’s tools, or to choose among the pre-defined screens, and to evaluate the merits and risks
associated with the use of the tools before making any investment decisions. TradeKing is not responsible
for any losses that occur from such investment decisions.
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Your continued use of this service indicates your acceptance of the terms of our disclosures.
Please note - this is sample data provided for demonstration purposes only. Stock or options symbols are
for illustrative purposes only and do not imply a recommendation to buy or sell the security. TradeKing
does not provide investment recommendations or financial advice.