Volume surge report
Lists option contracts whose session volume moved at least X % up or down against the previous trading session close (or a start date you choose).
Overview
The Volume surge report finds contracts whose trading volume changed sharply against a baseline. By default the baseline is the same contract's volume at the close of the previous trading session. It lists moves in both directions, so you see contracts that suddenly became busy and contracts that went quiet.
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
- Baseline = previous trading session close volume, or the Start date when you enter a date range.
- A row qualifies when the change is at least the Volume Surge % (default 5 %) up or down.
- The baseline must be at least 10 contracts, so a jump from 1 to 5 contracts does not flood the list.
- Vol Δ % = (volume - previous volume) / previous volume. Sorted by Vol Δ %, largest rise first.
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 of this report is open to every plan.
Steps
- Open Research → Reports, choose the Volume family (or type "Volume surge" in Search reports) and open Volume surge.
- The report runs straight away with its default filters. The as-of time and delayed label are shown above the grid.
- Enter the Volume Surge % you care about (decimals are accepted, for example 2.5). Optionally enter a Start date and End date to measure against the start date instead of the previous session.
- 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 (available on every plan for this report).
Report inputs
| Input | What it does |
|---|---|
| Volume Surge % | Required. The minimum move, up or down, against the baseline. Default 5. |
| Start date / End date | Optional. With a range, the baseline is the Start date instead of the previous session. |
Columns and metrics
| Column | What it means |
|---|---|
| Symbol | The underlying stock or ETF. |
| 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. |
| Volume | Contracts traded so far this session (cumulative, as of the snapshot time). |
| Vol Δ | Volume minus previous session volume, in contracts. |
| Vol Δ % | (volume - previous volume) / previous volume. |
| Previous session volume | Volume at the close of the previous trading session (the baseline). |
| Volume surge ratio | Volume / previous session volume. 1.05 means +5 %. |
| OI | Open contracts as of the prior settlement. |
| 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). |
| ITM/ATM/OTM | In, at or out of the money, worked out from the strike against the stock price. |
| Und. Price | The latest price of the underlying stock. |
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
- Rows at the top rose the most; rows at the bottom (negative Vol Δ %) fell the most.
- Volume surge ratio of 3.0 means three times the previous session's volume.
- Early in the session most contracts show large negative changes simply because the day has just started: volume is cumulative. Compare late in the session, or with the end-of-day data.
- Check OI next to the surge: a surge in a contract with very little open interest may be a one-off trade.
Example
Illustrative only - the symbol and numbers are invented.
The XYZ 95 put closed the previous session with 400 contracts traded. Today it shows Volume 1,400, Vol Δ +1,000, Vol Δ % +250 %, Volume surge ratio 3.5, OI 2,600.
Reading: the put traded three and a half times yesterday's volume. The next step is to see whether open interest rises at tomorrow's settlement.
Using it in your research
- Spot contracts where activity changed sharply and look for the reason - earnings dates, news or a broad market move.
- Run it late in the session (or on the previous session on the Free plan) so cumulative volume is comparable with the baseline.
- Save a variant with a higher threshold (for example 100 %) as a screen and attach an alert.
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
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
A surge report is empty
A surge compares today with the previous trading session close. On the first session after a holiday, or for contracts that are new, there is no baseline, so the contract is left out. Lower the threshold or widen the date range.
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.