High Options Volume vs Normal - with updates

Matt_ORATS

Matt_ORATS

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Symbols with High Options Volume vs Normal

Explanation
ORATS computes todays total options volume in all tickers with US equity options.
The total options volume for each symbol is compared to its average volume for the past 20 days.
The tickers with the highest ratio of options volume today to the 20 day average are presented below.
Also shown are the 2 highest traded individual options along with implied volatility (IV) and bid-ask prices.
The options delta, days to expiration (DTE), open interest (OI), and prior trading days bid-ask and IV are included.
The change of the 30 day interpolated IV can help determine if the volume was due to buying or selling of options.
The put-call strike slope of the IV can help determine if the trading was in the low strikes versus high strikes.
A slope + change can indicate buying in the low strikes relative to the high strikes (or selling high strikes)
A slope - change can indicate buying in the high strikes relative to the low strikes (or selling low strikes)

MDLZ QCOM CTSH DLTR SWKS VRTX KHC AAPL BMRN and NXPI have unusual options volume today.

Mondelez International Inc. (MDLZ) has the highest options volume/20-day average at 3.3x
24700 options traded vs normal volume 7500. Calls to puts is 6827 to 17878 for a call-put ratio of 0.4
MDLZ is trading $54.07 up 1.08% today. The week change is -0.62% and month is -1.6%.
11775 #1 volume $52.5 strike put delta -0.24 Aug-16 DTE 16 OI 17003 bid-ask $0.28 - 0.33 IV 19% (prior $0.3 - 0.33 IV 17.7%).
1416 #2 volume $55 strike call delta 0.12 Aug-2 DTE 2 OI 2434 bid-ask $0.01 - 0.06 IV 32% (prior $0.04 - 0.06 IV 25.4%).
IV 30-day 16.8% +0.1%. Put-call strike slope 3.2% -0.1%.

Qualcomm Inc. (QCOM) is second highest volume today vs 20 day average at 3.3x
162400 options traded vs normal volume 49800. Calls to puts is 85174 to 77182 for a call-put ratio of 1.1
QCOM is trading $70.66 down -3.42% today. The week change is -6.22% and month is -8.25%.
13614 #1 volume $70 strike put delta -0.22 Aug-2 DTE 2 OI 6120 bid-ask $0.21 - 0.24 IV 50.1% (prior $0.75 - 0.77 IV 96%).
4518 #2 volume $68 strike put delta -0.04 Aug-2 DTE 2 OI 4237 bid-ask $0.03 - 0.07 IV 61.3% (prior $0.4 - 0.41 IV 100%).
IV 30-day 33.6% +2.7%. Put-call strike slope 2.3% +0.3%.

Cognizant Technology Solutions Corporation (CTSH) third highest volume ratio at 3.1x
10600 options traded vs normal volume 3400. Calls to puts is 5441 to 5118 for a call-put ratio of 1.1
CTSH is trading $65.82 up 1.04% today. The week change is 0.06% and month is 2.27%.
1355 #1 volume $67.5 strike call delta 0.14 Aug-2 DTE 2 OI 1380 bid-ask $0 - 0.15 IV 20.1% (prior $1.05 - 1.25 IV 103.2%).
1211 #2 volume $65 strike put delta -0.09 Aug-2 DTE 2 OI 1318 bid-ask $0 - 0.15 IV 24.7% (prior $1.8 - 1.9 IV 105.8%).
IV 30-day 21.4% +0.7%. Put-call strike slope 4.4% +1.1%.

Dollar Tree Inc. (DLTR) is in fouth place for today vs 20-day volume at 2.6x
7800 options traded vs normal volume 3000. Calls to puts is 1921 to 5847 for a call-put ratio of 0.3
DLTR is trading $97.76 down -3.92% today. The week change is -8.25% and month is -10.38%.
2481 #1 volume $85 strike put delta -0.15 Sep-20 DTE 51 OI 192 bid-ask $1.05 - 1.2 IV 39% (prior $0.6 - 0.7 IV 38.8%).
265 #2 volume $98.5 strike put delta -0.66 Aug-2 DTE 2 OI 23 bid-ask $1.25 - 1.4 IV 43.3% (prior $0.05 - 0.15 IV 33.6%).
IV 30-day 40.7% +7.5%. Put-call strike slope 2.6% -0.6%.

Skyworks Solutions, Inc. (SWKS) is #5 at 2.2x
14800 options traded vs normal volume 6700. Calls to puts is 5826 to 8937 for a call-put ratio of 0.7
SWKS is trading $81.79 down -4.09% today. The week change is -4.52% and month is 1.18%.
5016 #1 volume $86.5 strike put delta -0.95 Aug-2 DTE 2 OI 165 bid-ask $3.6 - 4.1 IV 53.2% (prior $1.35 - 1.5 IV 39.4%).
541 #2 volume $82.5 strike put delta -0.43 Aug-2 DTE 2 OI 86 bid-ask $0.75 - 0.9 IV 63.6% (prior $0.1 - 0.2 IV 43%).
IV 30-day 41.7% +4.7%. Put-call strike slope 2.7% -0.5%.

Vertex Pharmaceuticals Incorporated (VRTX) is #6 at 2.1x
4500 options traded vs normal volume 2100. Calls to puts is 2848 to 1669 for a call-put ratio of 1.7
VRTX is trading $177.21 up 6.36% today. The week change is 4.51% and month is -1.29%.
320 #1 volume $200 strike call delta 0.1 Sep-6 DTE 37 OI 0 bid-ask $0.6 - 0.8 IV 27.7% (prior $0 - 0.45 IV 34.2%).
214 #2 volume $182.5 strike call delta 0.14 Aug-2 DTE 2 OI 93 bid-ask $0.15 - 0.35 IV 46.7% (prior $0.2 - 0.25 IV 73.1%).
IV 30-day 27.7% +0.9%. Put-call strike slope 1.6% +0.1%.

The Kraft Heinz Company (KHC) is #7 at 2.1x
34000 options traded vs normal volume 16100. Calls to puts is 20755 to 13207 for a call-put ratio of 1.6
KHC is trading $32.81 up 2.5% today. The week change is 3.99% and month is 7.5%.
7738 #1 volume $35 strike put delta -0.71 Aug-16 DTE 16 OI 8265 bid-ask $2.8 - 3.2 IV 53.2% (prior $3.4 - 3.6 IV 55%).
2289 #2 volume $32 strike call delta 0.6 Aug-16 DTE 16 OI 843 bid-ask $1.85 - 2.05 IV 60.3% (prior $1.15 - 1.35 IV 47.1%).
IV 30-day 43.6% +7.2%. Put-call strike slope 2.3% -0.2%.

Apple, Inc. (AAPL) is #8 at 1.8x
706700 options traded vs normal volume 389200. Calls to puts is 403002 to 303679 for a call-put ratio of 1.3
AAPL is trading $208.32 down -2.22% today. The week change is 0.63% and month is 2.76%.
38845 #1 volume $217.5 strike call delta 0.01 Aug-2 DTE 2 OI 17131 bid-ask $0.05 - 0.06 IV 47.1% (prior $0.79 - 0.82 IV 29.6%).
38123 #2 volume $215 strike call delta 0.05 Aug-2 DTE 2 OI 14581 bid-ask $0.12 - 0.13 IV 42.9% (prior $1.76 - 1.79 IV 30.4%).
IV 30-day 28% +2.7%. Put-call strike slope 3.6% +0.3%.

BioMarin Pharmaceutical (BMRN) is #9 at 1.7x earnings is 2019-08-01 After the close.
3600 options traded vs normal volume 2100. Calls to puts is 403 to 3191 for a call-put ratio of 0.1
BMRN is trading $81.51 up 2.76% today. The week change is 1.04% and month is -3.02%.
954 #1 volume $70 strike put delta -0.16 Oct-18 DTE 79 OI 2157 bid-ask $1.1 - 1.35 IV 36.2% (prior $1.1 - 1.4 IV 33.4%).
202 #2 volume $95 strike call delta 0.12 Sep-20 DTE 51 OI 513 bid-ask $0.3 - 0.7 IV 32.8% (prior $0.2 - 0.55 IV 32.2%).
IV 30-day 36.2% +3%. Put-call strike slope -0.1% -0.6%.

NXP Semiconductors N.V. (NXPI) is #10 at 1.6x
20100 options traded vs normal volume 12400. Calls to puts is 5598 to 14543 for a call-put ratio of 0.4
NXPI is trading $99.97 down -3.31% today. The week change is -1.77% and month is 1.93%.
1503 #1 volume $99.5 strike put delta -0.42 Aug-2 DTE 2 OI 2147 bid-ask $0.88 - 1.02 IV 62.8% (prior $0.1 - 0.15 IV 39.1%).
129 #2 volume $80 strike put delta 0 Aug-2 DTE 2 OI 693 bid-ask $0 - 0.05 IV 108% (prior $0 - 0.03 IV 146.9%).
IV 30-day 37.4% +1.7%. Put-call strike slope 1.3% -1%.
 
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Reactions: ETJ
ensemble said:
LiveVol returns significantly different volumes than above.
More...
Thanks for the feedback. We will check our volumes against another source and figure out the discrepancies. Note that we take a snapshot of the entire market of options 14-minutes before the close, so the closing volumes will be different.
 
Symbols with High Options Volume vs Normal

Explanation
ORATS computes todays total options volume in all tickers with US equity options.
The total options volume for each symbol is compared to its average volume for the past 20 days.
The tickers with the highest ratio of options volume today to the 20 day average are presented below.
Also shown are the 2 highest traded individual options along with implied volatility (IV) and bid-ask prices.
The options delta, days to expiration (DTE), open interest (OI), and prior trading days bid-ask and IV are included.
The change of the 30 day interpolated IV can help determine if the volume was due to buying or selling of options.
The put-call strike slope of the IV can help determine if the trading was in the low strikes versus high strikes.
A slope + change can indicate buying in the low strikes relative to the high strikes (or selling high strikes)
A slope - change can indicate buying in the high strikes relative to the low strikes (or selling low strikes)

AGN NKTR DBX YELP VIAB UBER STZ AMRN TTD have unusual options volume today.

Allergan plc (AGN) has the highest options volume/20-day average at 14.4x earnings was 2019-08-06 Before
97600 options traded vs normal volume 6800. Calls to puts is 86000 to 11647 for a call-put ratio of 7.4
AGN is trading $158.64 down -0.76% today. The week change is -1.48% and month is -4.84%.
32000 #1 volume $130 strike call delta 1 Aug-16 DTE 8 OI 4218 bid-ask $28.6 - 31.9 IV 75.5% (prior $28.4 - 31.6 IV 128%).
9200 #2 volume $125 strike call delta 1 Aug-16 DTE 8 OI 1401 bid-ask $33.55 - 36.85 IV 84.8% (prior $33.4 - 36.75 IV 148.7%).
IV 30-day 14.4% -1.6%. Put-call strike slope 6.3% +0.7%.

Nektar Therapeutics (NKTR) is second highest volume today/20 day at 5.2x earnings was 2019-08-08 After
14100 options traded vs normal volume 2700. Calls to puts is 11224 to 2843 for a call-put ratio of 3.9
NKTR is trading $19.43 down -34.29% today. The week change is -37.5% and month is -44.15%.
3029 #1 volume $20 strike call delta 0.66 Aug-16 DTE 8 OI 1 bid-ask $1.25 - 1.65 IV 82.6% (prior $7.3 - 11.7 IV 393.6%).
236 #2 volume $19 strike call delta 0.78 Aug-16 DTE 8 OI 0 bid-ask $1.45 - 2.55 IV 64% (prior $8.3 - 12.8 IV 0%).
IV 30-day 63.7% -5.7%. Put-call strike slope 1.6% +0.2%.

Dropbox, Inc. (DBX) third highest volume ratio at 4.1x earnings was 2019-08-08 After
48700 options traded vs normal volume 12000. Calls to puts is 28334 to 20371 for a call-put ratio of 1.4
DBX is trading $18.6 down -13.33% today. The week change is -19.2% and month is -27.09%.
4820 #1 volume $21 strike put delta -1 Aug-9 DTE 1 OI 8061 bid-ask $2.35 - 2.45 IV 0% (priorIV 247.7%). 7237 OI+ on 8/8/2019
1209 #2 volume $20 strike put delta -1 Aug-9 DTE 1 OI 1066 bid-ask $1.3 - 1.5 IV 0% (prior $0.45 - 0.5 IV 247.6%).
IV 30-day 48.3% +2.7%. Put-call strike slope 0.9% -0.2%.

Yelp Inc. (YELP) is in fourth place for today vs 20-day volume at 4x earnings was 2019-08-08 After
25000 options traded vs normal volume 6300. Calls to puts is 16542 to 8422 for a call-put ratio of 2
YELP is trading $37.08 up 6.09% today. The week change is 4.92% and month is 4.57%.
5765 #1 volume $38 strike call delta 0.42 Sep-20 DTE 43 OI 62 bid-ask $1.2 - 1.3 IV 34.8% (prior $1.83 - 1.96 IV 59.7%).
1247 #2 volume $32 strike put delta -0.03 Aug-16 DTE 8 OI 5323 bid-ask $0.03 - 0.1 IV 62.2% (priorIV 127.2%). 939 OI+ on 7/31/2019
IV 30-day 38.8% -0.9%. Put-call strike slope 3% +1.4%.

Viacom Inc. CL B (VIAB) is #5 at 3.6x earnings was 2019-08-08 Before
15000 options traded vs normal volume 4200. Calls to puts is 13876 to 1170 for a call-put ratio of 11.9
VIAB is trading $30.05 down -2.37% today. The week change is 0.91% and month is -3.93%.
7887 #1 volume $30 strike call delta 0.54 Dec-20 DTE 134 OI 8227 bid-ask $2.1 - 2.25 IV 30.3% (prior $2.35 - 2.6 IV 29.5%).
899 #2 volume $32.5 strike call delta 0.19 Sep-20 DTE 43 OI 6424 bid-ask $0.3 - 0.4 IV 28.2% (prior $0.4 - 0.5 IV 26.5%).
IV 30-day 29.5% 0%. Put-call strike slope 2.1% +0.2%.

Uber Technologies, Inc. (UBER) is #6 at 3.4x earnings was 2019-08-08 After
154000 options traded vs normal volume 44900. Calls to puts is 59991 to 93998 for a call-put ratio of 0.6
UBER is trading $40.2 down -6.45% today. The week change is -0.5% and month is -8.01%.
12205 #1 volume $42.5 strike put delta -0.99 Aug-9 DTE 1 OI 13823 bid-ask $2.25 - 2.4 IV 0% (prior $1.8 - 1.85 IV 213.9%).
5647 #2 volume $39 strike put delta -0.12 Aug-9 DTE 1 OI 3103 bid-ask $0.05 - 0.1 IV 183.7% (prior $0.55 - 0.6 IV 217.8%).
IV 30-day 42% +0.1%. Put-call strike slope 1.9% -0.4%.

Constellation Brands Inc. CL A (STZ) is #7 at 2.9x
16700 options traded vs normal volume 5700. Calls to puts is 7977 to 8674 for a call-put ratio of 0.9
STZ is trading $194.13 up 0.45% today. The week change is 0.72% and month is -3.32%.
2900 #1 volume $185 strike put delta -0.24 Aug-30 DTE 22 OI 56 bid-ask $1.85 - 2.05 IV 28.5% (prior $2 - 2.15 IV 26.9%).
566 #2 volume $190 strike put delta -0.32 Aug-16 DTE 8 OI 566 bid-ask $1.55 - 1.75 IV 29.1% (prior $1.85 - 2 IV 26.3%).
IV 30-day 23.7% -1.9%. Put-call strike slope 3.8% +0.1%.

Amarin Corp PLC (AMRN) is #8 at 2.8x
100700 options traded vs normal volume 35700. Calls to puts is 73435 to 27277 for a call-put ratio of 2.7
AMRN is trading $14.77 down -17.07% today. The week change is -14.38% and month is -32.8%.
9757 #1 volume $35 strike call delta 0.1 Jan-17 DTE 162 OI 37971 bid-ask $0.23 - 0.3 IV 79.2% (prior $0.46 - 0.5 IV 73.9%).
6915 #2 volume $16 strike call delta 0.45 Oct-18 DTE 71 OI 755 bid-ask $1.04 - 1.3 IV 62.2% (prior $3.45 - 3.6 IV 84.7%).
IV 30-day 62% +3.4%. Put-call strike slope 0.5% -0.2%.

The Trade Desk, Inc. (TTD) is #9 at 2.5x earnings was 2019-08-08 After
44300 options traded vs normal volume 17400. Calls to puts is 28326 to 15975 for a call-put ratio of 1.8
TTD is trading $279.62 up 2.17% today. The week change is 7.14% and month is 16.79%.
2149 #1 volume $290 strike call delta 0.08 Aug-9 DTE 1 OI 762 bid-ask $0.25 - 0.3 IV 349.5% (prior $7.4 - 8.1 IV 262.5%).
1243 #2 volume $270 strike put delta -0.1 Aug-9 DTE 1 OI 676 bid-ask $0.35 - 0.5 IV 181.3% (prior $15.2 - 15.6 IV 279.7%).
IV 30-day 51.8% -0.6%. Put-call strike slope 1.9% +0.1%.
 
8/12/19 Symbols with High Options Volume vs Normal Nasdaq-100 Stocks

Explanation
ORATS computes todays total options volume in all tickers with US equity options.
The total options volume for each symbol is compared to its average volume for the past 20 days.
The tickers with the highest ratio of options volume today to the 20 day average are presented below.
Also shown are the 2 highest traded individual options along with implied volatility (IV) and bid-ask prices.
The options delta, days to expiration (DTE), open interest (OI), and prior trading days bid-ask and IV are included.
The change of the 30 day interpolated IV can help determine if the volume was due to buying or selling of options.
The put-call strike slope of the IV can help determine if the trading was in the low strikes versus high strikes.
A slope + change can indicate buying in the low strikes relative to the high strikes (or selling high strikes)
A slope - change can indicate buying in the high strikes relative to the low strikes (or selling low strikes)

EXEL GGAL YPF SYY AMGN MAT MELI DVA ARWR and GOOS have unusual options volume today.

Exelixis, Inc. (EXEL) has the highest options volume/20-day average at 15x
42100 options traded vs normal volume 2800. Calls to puts is 40201 to 1858 for a call-put ratio of 21.6
EXEL is trading $20.2 down -2.13% today. The week change is 2.18% and month is -5.7%.
20036 #1 volume $19 strike call delta 0.65 Feb-21 DTE 194 OI 94 bid-ask $3.2 - 3.6 IV 46.9% (prior $3.5 - 3.8 IV 43.8%).
19938 #2 volume $18 strike call delta 0.99 Aug-16 DTE 5 OI 20221 bid-ask $2.1 - 2.3 IV 47.4% (prior $2.7 - 2.95 IV 95.2%).
IV 30-day 40.5% +0.1%. Put-call strike slope 0.4% -0.8%.

Grupo Financiero Galicia S.A. (GGAL) is second highest volume today/20 day at 4.4x earnings is 2019-08-15 Before
25300 options traded vs normal volume 5700. Calls to puts is 14071 to 11183 for a call-put ratio of 1.3
GGAL is trading $17.39 down -54.44% today. The week change is -48.97% and month is -51.52%.
3842 #1 volume $30 strike put delta -0.99 Aug-16 DTE 5 OI 5886 bid-ask $12.5 - 12.9 IV 186.6% (prior $0.35 - 0.4 IV 146.1%).
1640 #2 volume $25 strike put delta -0.95 Aug-16 DTE 5 OI 4499 bid-ask $7.5 - 7.9 IV 140.6% (prior $0.15 - 0.2 IV 189.5%).
IV 30-day 131.6% +26.5%. Put-call strike slope 1% -1%.

YPF Sociedad Anonima (YPF) third highest volume ratio at 3.3x
13200 options traded vs normal volume 4000. Calls to puts is 6554 to 6646 for a call-put ratio of 1
YPF is trading $11.64 down -30.22% today. The week change is -24.81% and month is -35.66%.
2575 #1 volume $13 strike call delta 0.49 Jan-17 DTE 159 OI 237 bid-ask $1.35 - 1.75 IV 65.9% (prior $4.4 - 4.9 IV 58%).
1242 #2 volume $10 strike put delta -0.08 Aug-16 DTE 5 OI 0 bid-ask $0.05 - 0.2 IV 139.9% (prior $0 - 4.3 IV 0%).
IV 30-day 63.4% +0.9%. Put-call strike slope 0.9% -3%.

Sysco Corporation (SYY) is in fourth place for today vs 20-day volume at 2.9x earnings was 2019-08-12 Before
6400 options traded vs normal volume 2200. Calls to puts is 2909 to 3540 for a call-put ratio of 0.8
SYY is trading $73.19 up 4.57% today. The week change is 9.01% and month is 0.48%.
1954 #1 volume $70.5 strike put delta -0.14 Aug-16 DTE 5 OI 2035 bid-ask $0.1 - 0.2 IV 27.4% (priorIV 41.3%). 2020 OI+ on 8/9/2019
296 #2 volume $70 strike put delta -0.09 Aug-16 DTE 5 OI 1630 bid-ask $0.05 - 0.15 IV 27.9% (priorIV 41.9%). 149 OI+ on 8/9/2019
IV 30-day 18.7% -0.7%. Put-call strike slope 3.1% +0.6%.
 
Exelixis, Inc. (EXEL) large options volume at 15 times normal looks like a long call was rolled into a later month.
The long call that looks like it was sold was the:
$18 strike call delta 0.99 Aug-16 DTE 5 OI 20221 bid-ask $2.1 - 2.3 IV 47.4% (prior $2.7 - 2.95 IV 95.2% (the IV dropped indicating a sell)
To buy the:
$19 strike call delta 0.65 Feb-21 DTE 194 OI 94 bid-ask $3.2 - 3.6 IV 46.9% (prior $3.5 - 3.8 IV 43.8%) (the IV rose indicating a buy).
 
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