Custom metrics report
A free-form screen over delta, gamma, theta, vega, rho, IV, volume, open interest, strike, DTE, moneyness and spread %, starting from liquid contracts.
Overview
The Custom metrics report is the options screener with every metric available: set a minimum, maximum or range on any combination of Greeks, IV, volume, open interest, strike, days to expiry, moneyness and spread %. It starts from liquid contracts so the first run is useful.
The data delay depends on your plan and is shown on every view: the as-of time and the delayed label sit above the results. On the Free plan reports show the previous session.
How the report is built
- Default filters: volume >= 100 and spread <= 25 % of the mark. Sorted by volume.
- At least one metric filter is required when every symbol is selected.
- Intrinsic and extrinsic value are shown so you can see how much of the premium is time value.
Before you start
Any signed-in plan can open the report from Research → Reports. Your plan decides how fresh the data is and how much history you can read. CSV export needs a plan that includes it.
Steps
- Open Research → Reports, choose the Strategies family (or type "Custom metrics" in Search reports) and open Custom metrics.
- The report runs straight away with its default filters. The as-of time and delayed label are shown above the grid.
- Change any filter (for example pick one symbol) and press Run to refresh the grid.
- Choose Save as screen to keep your variant under Research → Saved Screens, where you can schedule it or turn it into an alert.
- Use Export CSV to download the rows (plans with CSV export).
Columns and metrics
| Column | What it means |
|---|---|
| Symbol | The underlying stock or ETF. |
| Expiration | The contract expiration date. |
| DTE | Calendar days until expiration (0 = expires this session). |
| C/P | Call or put. |
| Strike | The strike price of the contract. |
| Und. Price | The latest price of the underlying stock. |
| ITM/ATM/OTM | In, at or out of the money, worked out from the strike against the stock price. |
| Mark | Bid/ask midpoint, per share. This is the premium the reports use. |
| Premium | Mark x 100: the price of one standard contract in USD. |
| Break-even | Per share: strike + mark for a call, strike - mark for a put. The price the stock must reach at expiry for a buyer to break even. |
| Spread % | (ask - bid) / mark. A low value means a tighter, more liquid quote. |
| Intrinsic value | Per share: call max(stock - strike, 0), put max(strike - stock, 0). |
| Extrinsic value | Per share: mark - intrinsic value (time value), never below 0. |
| Volume | Contracts traded so far this session (cumulative, as of the snapshot time). |
| OI | Open contracts as of the prior settlement. |
| OI Δ | Open interest minus the previous session's open interest, in contracts. |
| OI Δ % | (OI - previous OI) / previous OI. |
| IV | Implied volatility, annualised. Shown as a percentage (0.35 is stored, 35 % is displayed). |
| Delta | How much the option price moves for a $1 move in the stock (calls 0 to 1, puts 0 to -1). |
| Gamma | How fast delta changes for a $1 move in the stock. |
| Theta | Time decay per calendar day, per share. Negative for a long option. |
| Vega | Price change for a 1-point change in implied volatility. |
| Rho | Price change for a 1-point change in interest rates. |
| Extracted | When the snapshot behind the row was captured (US Eastern). |
Percentages are stored as fractions and displayed as percentages (0.05 is shown as 5 %). An unknown value shows as "-", never as 0.
How to read it
- Spread % below 0.05 (5 %) is a tight market; wide spreads make the mark less reliable.
- Extrinsic value is what you pay for time and volatility; it decays to 0 at expiry.
Example
Illustrative only - the symbol and numbers are invented.
Filters: DTE 20-45, |Delta| 0.20-0.30, IV above 40 %. One row: XYZ 20 December 85 put, Delta -0.24, IV 46 %, Mark 1.10, Intrinsic value 0, Extrinsic value 1.10, Spread % 4 %.
Using it in your research
- Write your own repeatable screen, save it, and schedule it.
- Combine a liquidity filter with a Greek band so results are tradable-sized contracts, not stale quotes.
Treat every row as a starting point for your own research, not as a signal. Volume and open interest never say whether a trade was a buy or a sell.
Troubleshooting
"At least 1 custom metric is required"
With every symbol selected, set at least one of delta, gamma, theta, vega, rho, implied volatility, volume or open interest.
The report shows "No Records Found"
The filters may be too narrow for the session, or the session has only just opened. Widen a threshold, clear the symbol, or check the as-of time to see which session you are reading. On the Free plan you read the previous session.