Reports explained
Every report family from the original Options Screener, described in plain English with the formulas behind each column.
Overview
The Reports page contains presets that reproduce the reports of the original Options Screener. Each preset is a saved screen with a name, so you can open it, change a filter and save your own variant. This article explains what each family measures and how the derived columns are calculated.
Every report uses the same snapshot data and shows the same freshness badge. "Previous" always means the previous ingested snapshot unless a report lets you pick a date range.
Open interest reports
Open Interest report ranks contracts by open interest – the number of contracts that exist and have not been closed. Large open interest at a strike tells you where positions are concentrated.
- Open interest change % = (OI today - OI previous) / OI previous x 100.
- Open Interest Surge lists contracts whose open interest rose by at least X % between two dates you choose.
- Open Interest Surge (cumulative) groups the same comparison by symbol, expiration and strike so you can see calls and puts side by side.
Volume reports
Daily Volume report ranks contracts by session volume. Volume Surge and Volume Surge (cumulative) compare volume between two snapshots using the same surge % formula: (new - old) / old x 100.
Volume is cumulative for the trading session as the provider reports it. Because the data is delayed, the figure you see is the total as of the "as of" time on the badge, not the final session total.
Implied volatility reports
Implied Volatility report ranks contracts by implied volatility (IV) – the volatility the option price implies. High IV means the market expects a large move or is paying up for protection.
IV Surge and IV Surge (cumulative) find contracts whose IV rose by at least X % between two dates.
Implied Volatility Difference is the calendar-spread screener. For a symbol it takes a front-month and a back-month expiration, finds matching strikes above and below the stock price, and reports:
- IV difference = IV(front) - IV(back).
- Net premium = premium(back) - premium(front).
- Only rows where both legs have volume or open interest greater than zero are shown, and the Total IV % filter hides rows below your threshold.
Strikes are chosen by rounding the price range up for the call side and down for the put side to the nearest strike that exists in each expiration – the behaviour the original specification asked for.
Greeks and custom metrics
Greeks report ranks contracts by delta, gamma, theta, vega or rho. Custom Metrics lets you combine any numeric column with a minimum and maximum – effectively the options screener with every column enabled.
Money flow
Money flow is a proprietary approximation of the dollars traded through a symbol's options. It is not a count of executed trades.
- Premium per strike = average(break-even - strike) for calls, average(strike - break-even) for puts, over rows with volume greater than zero.
- Traded amount = premium x volume at the last extract x 100.
- Strikes with zero volume contribute zero.
Money Flow by stock sums traded amount per symbol and shows total, call and put volume, the stock price and the top transactions by traded amount. Money Flow by strike breaks the same figure down per expiration and strike. Money Flow history shows one row per day for a date range, with a chart.
Spreads
Credit / Debit Spreads finds two-leg vertical spreads near the strike with the highest open interest (or highest volume) for each expiration. The four spread types and their net premium:
| Spread | Legs | Net premium |
|---|---|---|
| Bull call debit | Buy lower call, sell higher call | Buy premium - sell premium |
| Bull put credit | Sell higher put, buy lower put | Sell premium - buy premium |
| Bear call credit | Sell lower call, buy higher call | Sell premium - buy premium |
| Bear put debit | Buy higher put, sell lower put | Buy premium - sell premium |
Inputs: number of legs to consider, strike spread width, IV difference and net premium thresholds. Debit spreads sort ascending by net debit, credit spreads descending by net credit. Moneyness is reported per leg: calls are ITM below the stock price, puts are ITM above it.
Straddle lists, for every expiration and strike, the cost of buying the call and the put at the same strike (net premium x 100 per contract). Strangle uses an upward and a downward percentage from the stock price, rounds the call strike up and the put strike down to real strikes, and reports the combined cost.
Charts
Open Interest, Volume, Premium & Stock Price (OIVSP) charts a contract or a whole expiration over a date range: open interest and volume on one axis, stock price on another, and premium when a specific strike is chosen. Points are plotted in strict date order.
Gap up and gap down
Described in the Stock screener article: an opening gap of at least X % that the price has held.
End-of-day summary
Subscribers on a paid plan can receive a daily email with the top rows of the reports they select. The email carries the same freshness information as the web pages.
Troubleshooting
A surge report is empty
Surge reports compare two snapshots. Right after the open, or on the first session after a holiday, there may be only one snapshot to compare; widen the date range or lower the X % threshold.
Money flow differs from another site
Money flow here is an approximation from delayed snapshot volume and premium, not a sum of executed trades, so totals from other sources will differ.