Volume surge (fixed 5 %) report
The fixed-threshold twin of Volume surge: liquid contracts whose volume moved at least 5 % against the previous session close, in either direction.
Overview
The Volume surge (calendar, fixed 5 %) report is the original "Cal" version of the volume surge page. The threshold is fixed at 5 % and only liquid contracts are considered, which makes it a quick, no-input check of where volume changed since the previous session.
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.
- Only liquid contracts: (OI >= 100 or volume >= 10) and bid > 0.
- Both directions: Vol Δ % of at least +5 % or at most -5 %.
- 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 (calendar, fixed 5 %)" in Search reports) and open Volume surge (calendar, fixed 5 %).
- 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 (available on every plan for this report).
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
- Because 5 % is a low bar, the list is long. Sort or filter by Vol Δ (contracts) to focus on large absolute changes.
- The liquidity rule removes stale quotes and abandoned strikes that would otherwise show huge percentages.
- Use Volume surge when you want to choose your own threshold or date range.
Example
Illustrative only - the symbol and numbers are invented.
The XYZ 110 call traded 2,000 contracts in the previous session and 2,300 so far today: Vol Δ +300, Vol Δ % +15 %, Volume surge ratio 1.15. It qualifies because 15 % is above the fixed 5 %.
Using it in your research
- Use it as a daily first pass, then move to Volume surge with a higher threshold for a shorter list.
- Combine with OI Δ in Open interest to see whether the extra volume opened new positions.
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
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.