![]() ![]() ![]() ![]() Multiplying by 1000 is just to make the output more user friendly to display in the columns. All of these metrics are multiplied together to get a value where the farther you are from zero the more "unusual" the activity. Higher values are more unusual as it means option contract spend is a higher proportion of the total liquidity. DvolumeRatio shows the amount of money spent on the option contract relative to the whole of the underlying. Volume to open interest ratio shows money being put where it wasn't previously. Higher values equate to more risk (and therefore more conviction) by naturally prioritizing out of the money high risk plays. The unitless metric VALR which measures how many dollars worth of the underlying you are controlling per dollar spent on a contract on a volitility adjusted basis. This ratio is how we account for differing levels of liquidity across instruments.ĭef WhaleScore: Our final unusual options activity metric, we get it by multiplying three ratios. Relative to the liquidity of SPY and AAPL the activity is actually not that unusual. A problem I've noticed with other unusual options scanners is tickers like SPY and AAPL always showing lots of "unusual activity" due to massive dollar volumes traded at given strikes. Higher values show that contract has more impact on the underlying by representing a higher proportion of liquidity. Represents underlyings capacity to absorb options activity. Keeping to the theme of normalizing to dollars so we can better compare instruments.ĭef DvolumeRatio: Ratio of money spent on the option contract to the whole of the underlying. Keeping to the theme of normalizing to dollars so we can better compare instruments.ĭef DvolumeUnd: Dollar volume traded in the underlying, just multiplying underlying price by underlying volume. This is the classic metric considered when hunting for unusual options and is very important.ĭef DvolumeOpt: Dollar volume traded in the option contract, just multiplying option price by volume. This metric is still unitless.ĭef volOI: volume to open interest ratio. So now all instruments dollar leverage per contract should be on an even playing field. This is done to normalize the value because low implied volitility instruments naturally allow for more leverage in their options contracts than high ones. This alone could be a useful metric.ĭef VALR: We multiply the LeverageRatio by the implied volitility (IVol) of the underlying instrument. This gives us a unitless ratio that is how many dollars worth of the underlying you are controlling per dollar spent on the contract. Using the amount of dollars controlled per contract normalizes the measurement so it can be compared between instruments.ĭef LeverageRatio: We divide the dollar volume controlled per contract by the dollar amount of that contract. Here is the logic behind the calculations:ĭef Leverage: We begin by multiplying the Delta of a contract by the price of the underlying to get how many dollars worth of the underlying one contract controls. #Multiply by 1000 so output better displays in the columnsĭef WhaleScore = VALR * volOI * DvolumeRatio * 1000 #Volume to open interest ratio (if statement pervents divide by zero errors)ĭef OpenInterest = if open_interest(period = AggregationPeriod.DAY) = 0 then 1 else open_interest(period = AggregationPeriod.DAY) ĭef DvolumeUnd = UnderlyingPrice * UnderlyingVolume ĭef DvolumeRatio = DvolumeOpt / DvolumeUnd #V.A.L.R - Volitility Adjusted Leverage Ratioĭef Leverage = (Delta * UnderlyingPrice) ĭef LeverageRatio = Leverage / OptionMarkPrice Def Ivol = imp_volatility(GetUnderlyingSymbol()) ĭef UnderlyingPrice = close(getUnderlyingSymbol()) ĭef UnderlyingVolume = volume(getUnderlyingSymbol())
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