Daily volume report
Ranks option contracts by session volume, with open interest change, premium, break-even, Greeks and moneyness for each contract.
Overview
The Daily volume report answers one question: which option contracts traded the most this session? It ranks every contract that traded by cumulative session volume and puts the open interest change, premium, break-even, Greeks and moneyness on the same row, so you can see at a glance where activity concentrated.
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
- Only contracts with volume greater than 0 are listed.
- Sorted by volume (highest first), then open interest, then strike.
- With every symbol selected the report keeps the top 5 contracts per symbol; pick one symbol to list all of its contracts.
- OI change compares with the previous trading session close, never a calendar day.
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 Volume family (or type "Daily volume" in Search reports) and open Daily volume.
- 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. |
| 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. |
| Volume | Contracts traded so far this session (cumulative, as of the snapshot time). |
| IV | Implied volatility, annualised. Shown as a percentage (0.35 is stored, 35 % is displayed). |
| Expiration | The contract expiration date. |
| Strike | The strike price of the contract. |
| C/P | Call or put. |
| 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. |
| Und. Price | The latest price of the underlying stock. |
| 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). |
| ITM/ATM/OTM | In, at or out of the money, worked out from the strike against the stock price. |
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
- Volume is cumulative for the session as of the snapshot time. Mid-session it is not the final total.
- Volume well above OI means today's trading is large relative to the positions that already existed - a sign of fresh interest in that strike.
- A positive OI Δ means more contracts are open than at the previous close: positions were added. A negative value means positions were closed.
- ITM/ATM/OTM shows where the strike sits against the stock price; heavy far out-of-the-money volume is often short-dated speculation or hedging.
Example
Illustrative only - the symbol and numbers are invented.
XYZ trades at $100. The top row is the XYZ 105 call expiring in two weeks: Volume 12,000, OI 8,000, OI Δ +3,000 (+60 %), Mark 1.50, Premium $150, Break-even 106.50, ITM/ATM/OTM OTM.
Reading: more contracts traded than were open, and open interest rose by 3,000, so new positions were opened at the 105 strike. The stock would have to be above $106.50 at expiry for a buyer of the call to break even.
Using it in your research
- Find the strikes and expirations that drew the most attention today, then open the symbol in the Options screener for the full chain.
- Compare volume with OI: high volume with a rising OI suggests new positioning; high volume with falling OI suggests positions being closed.
- Add the busiest contracts to a watchlist and check tomorrow whether the open interest held.
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.
FAQs
Why do I see only five contracts per symbol?
With every symbol selected the report keeps the top 5 contracts of each symbol so one busy chain does not fill the page. Pick a single symbol to list every contract of that symbol.
Does a big change mean someone bought?
No. Volume and open interest count contracts; they never say which side started the trade. A rise in open interest means new positions were opened, by buyers and sellers together.
Troubleshooting
Volume looks lower than another site shows
Volume is cumulative and delayed. The figure is the total as of the snapshot time on the badge, not the final session total.
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.