How to analyze options Time & Sales in thinkorswim

[Gary186]

Anybody knows how to analyze these information about vix options.
I want to know if somebody buy a huge call spread of vix or just a call
but it's not easy to find that.

I don't know "spead" means what ? Is it just call spread or put spread?
or "spread" include "buy call and buy put" ?

 

[Robert Morse]

Looks like someone did a 20c/20p spread. Without calling the floor it is hard to tell if it was Buy/Buy, Sell/Sell, Sell/Buy or Buy/Sell from the client.

 

[beerntrading]

I looked at ToS for about the same reason. I concluded it was worth it to pay for a subscription (to LiveVol from CBOE).

While I disagree with Bob about determining the condition (in this case, it appears to be a synthetic short--buy the put and sell the call), the VIX is very noisy; in this case, it would take a hell of a lot of digging to confirm this was specifically an opening order vs. closing. And perhaps more relevant, you'll have a difficult time assigning significance...both because of the noise and because you're very likely to see hedging activity on the VIX, positions are often wrong-way signals (I.e. the player placing the order believes the market will do the opposite of what you infer from their VIX position).

As far as distilling data from ToS, you're looking at line-by-line reading, or spreadsheets (can you export in ToS?). There are off-the-shelf offerings that allow you to scan for our filter significant orders.

 

[Robert Morse]

While I disagree with Bob about determining the condition (in this case, it appears to be a synthetic short--buy the put and sell the call),

I said I did not know. How do you know? And if you did know, how do you know if the client was buying or selling the put? How can you tell if it was paired with aVX future?

Even if you did know for sure, not sure what value it has to a trader after the fact. We have no idea what else the client did. I know of a case when the client only bought VX futures in size each month. I also know that they had a billion $ long portfolio. They hope to lose on the futures. These trades have little value for other traders IMO and it creates a distraction.

 

[beerntrading]

I said I did not know. How do you know? And if you did know, how do you know if the client was buying or selling the put?

The marketable order (for the 20k Dec $20 combo) was to buy the put (ask + .05) and sell the call (bid - .05). So, not direct knowledge, per se, but a very reasonable inference predicated on the counter party's self interest to the tune of $400k inside the spread.

How can you tell if it was paired with a VX future?

Even if you did know for sure, not sure what value it has to a trader after the fact. We have no idea what else the client did. I know of a case when the client only bought VX futures in size each month. I also know that they had a billion $ long portfolio. They hope to lose on the futures. These trades have little value for other traders IMO and it creates a distraction.

This part I agree with entirely and was what I was getting at with the noisy VIX and hedging activity being difficult to spot. A google search for "Trader 50 cent" will show great examples of what you describe. I wouldn't infer any motive in OP's case at all beyond the 20k p/c were a single ticket marketable order and it was buy/sell as noted above. More relevant to inferring motive would be whether open / close order, or if it was a more complex order with different instruments (or even different symbols).

 

[jeffalvinson]

Looks like someone did a 20c/20p spread. Without calling the floor it is hard to tell if it was Buy/Buy, Sell/Sell, Sell/Buy or Buy/Sell from the client.

Hi Bob, this Time and Sales Report is incomplete, its useless.
Interactive Broker's Trader Work Station provides free live T & S reports every 1 second, that also include the Bid Price and Ask Price when options are bought or sold.
Example:
If you see a Time: 11:11:54, "20,000 calls at 2.00," on the same 1 second data line you will "either see"
(1) the Bid=2.00 and Ask=2.10 (which indicates 20,000 sold at 2.00) ;
"or you will see"
(2) the Bid=1.90 and Ask-2.00 (which indicates 20,000 bought 20,000).

Important:
Here is the "Big Wild Card" that very few traders ever think about:
1: Lets say you looked at the the more complete I.B. Time and Sales and determine its a
20c/20p spread.
2: The fact is, it isn't really anything yet until you can "Prove it."
(A) You must record the Open Interest on the day of the 20c/20p spread options and
(B) the next morning when the Prior Day's Volume "Moves into or is Subtracted from
the new day's volume as Open Interest, gets Re-set to the new values.
"In other words, does your 20c/20p call and put have an increase or decrease of 20,000 contracts in Open Interest after the overnight Re-set of Open Interest?"
(C) If there isn't the Open Interest change that you would expect after a 20,000 /20c/20p
spread the prior day, then Negate the proposed trade.
(Its just some kind of skimming off the top game that took place from some big players.)