Options Volume for four instruments

K

keroppi

I wanted to ask if someone has the data for the options volume traded in the past week for the following options:

SPX

SPY

QQQ

CL

GC

(It is actually 5 instruments but I can't change the title of this post.)

Also, with CL and GC, which expiry dates are typically the most traded? Is it the weekly expiry or monthly expiry or another expiry?

I just want to compare options volume. Thanks a lot
 
keroppi said:
I wanted to ask if someone has the data for the options volume traded in the past week for the following options:

SPX
SPY
QQQ
CL
GC

(It is actually 5 instruments but I can't change the title of this post.)

Also, with CL and GC, which expiry dates are typically the most traded? Is it the weekly expiry or monthly expiry or another expiry?

I just want to compare options volume. Thanks a lot
More...
XSP (mini SPX) is similar to SPY: both are about 1/10 of SPX.
For XSP I can provide you the data as I collect it every trading day (even having 15 minute snapshot data of the options chain for the next 8 expiration dates. (FYI: XSP has Daily expiration, much like SPX and SPY)).
Are you interested only in daily totals of Call volume and Put volume, or also in the Open Interest numbers?
PM me if interested.

For the other tickers, maybe you could contact @Matt_ORATS here (see also the sponsors at the page bottom), as his commercial firm ORATS surely offers these data.
 
We have US equity options information but no futures options.
We have data for each strike so you can add up the expirations if you wish.
Just added: A time and sales break down.
Here's QQQ, opened up and saw a bunch of short deltas from options this morning:
bceaaac88e3c894a8bf46722b728db1e.png

https://gyazo.com/bceaaac88e3c894a8bf46722b728db1e
 
Late reply. I only had time to review this now

@Matt_ORATS @Quanto I had a question for you guys.

Generally speaking, would you have an idea how much more open interest/volume there is for a QQQ/SPX/SPY weekly option expiry (Friday's expiry) compared to the standard Monday-Thursday expiry given the same strike price?
 
keroppi said:
Late reply. I only had time to review this now

@Matt_ORATS @Quanto I had a question for you guys.

Generally speaking, would you have an idea how much more open interest/volume there is for a QQQ/SPX/SPY weekly option expiry (Friday's expiry) compared to the standard Monday-Thursday expiry given the same strike price?
More...
I don't know, but its easy to find out: you can calculate it yourself by analysing the daily numbers.
The question is of course: is it worth the work?
When time permits, I'll try to find out for the ticker XSP (ie. the mini SPX), and post here soon.

I'm trading stock options, not index options. And of ETFs I trade only those that meet some criteria, QQQ and SPY are not among them. And since I plan to keep the options till expiration (ie. "let it expire"), then Volume and Open Interest are not really relevant for my trade decisions.

Of course when closing the options before their expiration, then these numbers could indeed matter, but the said tickers usually have big volume (though depends on how far your strike of interest is from ATM)...

Here you can find current and past Volume and OI data: https://www.theocc.com/market-data/market-data-reports/volume-and-open-interest/volume-query
 
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Thanks Quanto. Would be interested to know the difference in volume for weekly XSP versus Mon-Thurs expiries if time permits

Quanto said:
I don't know, but its easy to find out: you can calculate it yourself by analysing the daily numbers.
The question is of course: is it worth the work?
When time permits, I'll try to find out for the ticker XSP (ie. the mini SPX), and post here soon.

I'm trading stock options, not index options. And of ETFs I trade only those that meet some criteria, QQQ and SPY are not among them. And since I plan to keep the options till expiration (ie. "let it expire"), then Volume and Open Interest are not really relevant for my trade decisions.

Of course when closing the options before their expiration, then these numbers could indeed matter, but the said tickers usually have big volume (though depends on how far your strike of interest is from ATM)...

Here you can find current and past Volume and OI data: https://www.theocc.com/market-data/market-data-reports/volume-and-open-interest/volume-query
More...
 
keroppi said:
Thanks Quanto. Would be interested to know the difference in volume for weekly XSP versus Mon-Thurs expiries if time permits
More...
I have in my archive daily historic data collected for the next 8 days only (ie. the nearest 8 expiration dates (tenors)).
Which strikes or how far (in %) from ATM are you interested in?
Which of Call or Put, or both?

Btw, check also this data vendor: 1 year 30-min data seems to cost only $3 or so:
https://www.optionsdx.com/shop/
EOD seems even free of cost! I have no experience with them yet.
 
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We can just do the 3-5 most popular strikes say 4950, 4940, 4930.

An aggregate of call and put would be great
Quanto said:
I have in my archive daily historic data collected for the next 8 days only (ie. the nearest 8 expiration dates (tenors)).
Which strikes or how far (in %) from ATM are you interested in?
Which of Call or Put, or both?
More...
 
keroppi said:
We can just do the 3-5 most popular strikes say 4950, 4940, 4930.

An aggregate of call and put would be great
More...
@keroppi, doing this analysis would take here some hours (I guess 3+ hrs, incl. programming),
Unfortunately I've got some other much more important tasks to do, so please don't wait for me; either solve it yourself, or maybe someone else can help you.

Still, if I find time I'll look at it, but I make no promises. And: as said, I've data of XSP only, not SPX; their Volumes and OIs are of course different and independent of each other. It's this one; https://finance.yahoo.com/quote/^XSP/options?p=^XSP

I think you can do the caulculations even yourself by using the data at the above/below link.
It of course shows only the still active ExpDates, not the expired ones.
Here's SPX: https://finance.yahoo.com/quote/^SPX/options

Or as said you can get past data also from this company:
Quanto said:
Btw, check also this data vendor: 1 year 30-min data seems to cost only $3 or so:
https://www.optionsdx.com/shop/
EOD seems even free of cost! I have no experience with them yet.
More...
 
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