Options Scanner Manual
Introduction
The Options Scanner allows you to search all publicly traded US equities and indexes options--more than 170,000 options contracts--for trading opportunities that match your criteria. The Options Scanner can help you uncover:
Naked and covered puts and calls
Any complex option strategy – to find the “missing leg” Calendar spreads
Search is performed against iVolatility’s Options Database, HyperFeed’s Ticker-Plant and iVolatility’s Implied Volatility Calculation Engine. The system updates in real-time against a 20-minute delayed market data feed.
The Options Scanner searches both individual contracts and complex strategies to find trades that match your stated criteria. Search using either the Basic or Advanced views. By default, the Options Scanner searches all equities in our database. You can limit this list by specifying a personalized list of equities, separating ticker symbols with commas. This filter is available in both Basic and Advanced views.
Basic View
Use Basic view in the Scanner to search by the following criteria: Cost - the relative cost of the option based on theoretical value
Moneyness – the amount any contract or strategy is in-, out- or at-the money Expiry – the amount of time left on the option
Liquidity – how often a given option trades
Risk – measured by calculations known as the “Greeks”. The Basic view measures time decay (for buyers) and a contract’s sensitivity to changes in the underlying price (for sellers).
Basic view starts you with certain pre-set filters; all filters are adjustable. To narrow the search universe, you may also specify a stock group (for example, “All USA”, “S&P 500 stocks”, “NASDAQ 100 stocks”, etcetera).
Cost
Investors can measure an option’s cost in many ways – from the “as-is” option price, to more complex measurements based on specific pricing models. The Basic view utilizes the most popular cost measure, implied volatility.
The Scanner’s calculation of cost uses implied volatility to find option contracts that may be expensive or cheap relative to their peers. Because option prices tend to rise with
higher implied volatility, the Cost field can help you find options with higher premiums in relation to the underlying securities’ price.
The Options Scanner defines the following Cost levels: Cheap - Implied volatility below 25 %
Normal - Implied volatility between 25 % and 55 % Expensive - Implied volatility greater than 55 %
Note: deep out-of-the-money options often have large implied volatility values, even though their prices per contract can run as low as $0.05. That’s why the Scanner considers these contracts expensive.
Moneyness
“Moneyness” refers to how near the option strike is to the current underlying price. You’re probably familiar with these terms already: an option that is “at-the-money”, for example, has a strike price equal to the current underlying price. On the Options Scanner, “at-the-money” (ATM) options have a Moneyness value of zero.
If exercised, an “in-the-money” (ITM) option allow the holder to buy or sell the
underlying for a better price than the market one. “In-the-money” options have a positive Moneyness value.
“Out-of-the-money” (OTM) options offer no reason for the holder to exercise at the moment, because the market price of the underlying is better than the strike. “Out-of-the-money” options have a negative Moneyness value.
Because Moneyness depends on the underlying price, it fluctuates often over time. The Options Scanner defines Moneyness as follows:
Deep OTM - Moneyness below -25 %
OTM - Moneyness between -25 % and -10 % ATM - Moneyness between -10 % and +10 % ITM - Moneyness between +10 % and +25 % Deep ITM - Moneyness above +25 %
Moneyness values in the Options Scanner are calculated as follows: Calls: 100 % x (Underlying Price - Strike Price) / Underlying Price Puts: 100 % x (Strike Price - Underlying Price) / Underlying Price
“At-the-money” options actually have Moneyness range of plus- or minus-10%. Exact matches of strike and underlying prices are rare and usually temporary; this range makes it easier for you to find options contracts on the cusp of at-the-money.
Expiry
The Option Scanner defines expiry, or expiration time-frames, as follows: Short Term – two-three nearest months
Mid Term - two-three months to half a year until expiry Long Term – more than half a year until expiry
Liquidity
Liquidity refers to how quickly a trader can buy or sell a contract without causing a significant price movement. A liquid market is one with ready, active buyers and sellers at all times.
Mathematically speaking, liquidity refers to the probability that the next trade is executed at a price equal to the last one.
The Options Scanner defines Liquidity as follows:
Low – end-of-day option contract volume less than 50 contracts
Moderate – end-of-day option contract volume between 50 and 500 contracts High – end-of-day option contract volume above 500 contracts
Risk
Options traders measure risk using a set of calculations known as the “Greeks”, the sensitivities of option prices to different factors. The Basic view of the Options Scanner defines Risk based on what you input for Cost. If you’re searching for cheap options, the Scanner assumes you’re a likely buyer; for expensive options, it assumes you’re a seller. If buying an option - the Risk is Theta, option price decay over time. Risk levels are defined by Theta as follows:
Low - option price loses less than 1 % for a 1 day passed Moderate - option price loses less than 5 % daily
If selling an option - the Risk is Gamma, a contract’s sensitivity to larger changes in the underlying price. Gamma is derived from Delta, perhaps the most well-known Greek. Delta measures a contract’s sensitivity to more minor changes in the underlying price. Low - option price gains less than 0.25 % for a 1 % move in underlying price
Moderate - option price gains less than 5 % for a 1 % move in underlying High - option price gains more than 5 % for a 1 % move in underlying
If you don’t specify a cost - the Risk is Vega, a contract’s sensitivity to implied volatility, in other words, to mis-pricing.
Low - option price changes less than 1% for a 1% absolute change in implied volatility Moderate - option price changes less than 10% for a 1% change in implied volatility High - option price changes more than 10% for a 1% change in implied volatility
The Risk field measures a main risk factor, but you should also watch Cost and Liquidity to control your overall risk. Low liquidity heightens your risk, as does high cost (as measured by high implied volatility).
Advanced View
The Advanced view gives you total search control in a very simple interface. Not only can you select many advanced filters, you can also modify each to meet very exact criteria, if you choose.
You can fine-tune a search begun with the Basic view, simply by checking the box in Basic labeled “Auto-apply changes to the Advanced View”.
Underlying Filters (Stock)
A full list of stock filters with available modifiers is presented below. Intra-day variables are marked in bold.
Filter Modifier Formula / comment
Absolute underlying price, Stock % from yesterday Stock / Stock(yesterday) Underlying Price
in 1 year range (Stock - Stock(1yr min))/(Stock(1yr max) - Stock(1yr min))
Absolute underlying close volume, V EoD Underlying
Volume
% of 1 mo. average V / avg(V), last month average EoD Options Volume Absolute total close options volume, OV
% of 1 mo. avg OV / avg(OV), last month average Absolute total close options open interest, OI EoD Options Open
Interest (OI)
% of 1 mo. avg OI / avg(OI), last month average
Absolute total close (calls volume) / (puts volume), CP EoD C/P volume ratio
% of 1 mo. avg CP / avg(CP), last month average
Absolute Total calls volume / Total puts volume C/P volume ratio
% of 1 mo avg CP / avg(CP), last month average Absolute HV for 20 trading days (1 month), HV % from yesterday HV / HV(previous close)
EoD Historical Volatility
in 1 year range (HV - HV(1yr min))/(HV(1yr max) - HV(1yr min)) Absolute Intraday IV Index for term 30 (1 month), IVX % from yesterday Intraday IVX / IVX(previous close)
IVX 1mo.
in 1 year range (Intraday IVX - IVX(1yr min))/(IVX(1yr max) - IVX(1yr min))
IVX 1mo. / IVX
6mo. Ratio of intraday 1mo. IVX to 6mo. IVX
IVX 1mo. - IVX
6mo. Difference of intraday 1mo. IVX and 6mo. IVX
Call / Put IVX 1mo.
ratio Ratio of intraday IVX 1mo. Call to IVX 1mo. Put
Absolute IV Index for term 30 (1 month), IVX % from yesterday IVX / IVX(previous close)
EoD IV Index
in 1 year range (IVX - IVX(1yr min))/(IVX(1yr max) - IVX(1yr min)) EoD Relative
Volatility Absolute IVX / HV
Examples:
1) Stock price advances more than 5 % from end-of-day value: set Stock price modifier to “% from yesterday”, “From” field to 105.
2) Stock close volume larger than monthly average by 20 %: set EoD Stock volume modifier to “% of 1 m avg”, “From” field to 120.
3) EoD IV Index less than 25%: set EoD IV Index modifier to “Absolute”, “To” field to 25.
4) 1 month IV Index is at least 10% more than 6 month IV index (when looking for Calendar Spread): set IVX 1m - IVX 6m “From” field to 10.
Option filters
A full list of options filters with available modifiers is presented below. Intra-day variables are marked in bold.
Filter Modifier Formula / comment
Type Call / Put
Expiry Absolute expiration month and year
Moneyness, % Absolute 1 - K / S for Calls, K / S - 1 for Puts (K = strike) Absolute mean of the option contract bid/ask, C
% from yesterday C / C(yesterday) Price
Absolute option contract implied vola, IV % from yesterday IV / IV(yesterday)
Implied volatility
in IVX 1 year
range (IV - IVX(1yr min))/(IVX(1yr max) - IVX(1yr min)) Absolute option contract absolute value of Delta; non-negative
input is expected for both Calls and Puts Delta
% of price Delta * S / (100*C)
Absolute option contract gamma, Gamma % of price Gamma * S2 / (10000*C)
Gamma
% of delta Gamma * S / (100* Delta)
Absolute option contract premium decay, Theta; non-negative input is expected
% of price Theta / C Theta
% of delta Theta * 100 / (S* Delta)
Absolute this option contract vega, Vega % of price Vega / C
Vega
% of delta Vega * 100 / (S* Delta)
Absolute Gamma / Theta; non-negative input is expected Alpha
Normalized Gamma * S2 / (10000* Theta) Absolute option contract volume Volume
EoD Absolute option contract EoD volume
Bid Size Intraday best bid size (liquidity indicator) Ask Size Intraday best ask size (liquidity indicator)
Examples:
1) Option premium is at least 10 % of the underlying: set Price modifier to “% of stock”, Level low Boundary (“From” field) to 10.
2) Option premium decays less than 2 % daily: set Theta modifier to “% of price”, Level high boundary (“To” field) to 2.
3) Risk of option price decay due to Gamma is not greater than that due to Delta: set Gamma modifier to “% of Delta”, Level low boundary (“To” field) to 100.
For the Greeks (Delta, Gamma, Theta, Vega, Alpha), in addition to “Absolute” Level modifier, we introduced “% of price” and “% of delta” modifiers. These normalized criteria help you understand percentage change in option price, and to compare the change magnitude with sensitivity to underlying price (Delta). The following increments are implied when using normalized Greeks:
Delta, Gamma - 1 % of underlying price Theta - 1 day
Vega - 1 % (absolute, like change from 20 % to 21 % in implied vola) Alpha - 1 day for Theta and 1% of underlying for Gamma
Keep in mind that all the Greeks can be entered in absolute values. For example, to find puts with delta between -0.75 and -0.5, simply set Level boundaries range to (50, 75).
Scanner usage tips
Monitors and Profiles
There are two tabs you will see when you initially pull up the scanner, Search Profile and Monitor List. Profiles are collections of search criteria; monitors are simply lists of options contracts. In the Search Profile tabs you will see the icon and in the Monitor List tabs you will see the icon. You can create new search profile tabs by either selecting “File” / “New Search” or by simply clicking the icon in the upper left hand corner. New Monitor List tabs can also be created by selecting “File” / “New Monitor” or by clicking on the icon.
You can edit both monitors and profiles during a single session. You can also re-name and save either for future edits or re-runs.
To save a monitor for later use: use the button, or select “File” / “Save List”. You can then choose the monitored list’s name and where to save the file in your hard drive. Both the list of options and the column headers selected to display your results will be saved automatically.
To edit the name of any monitor file on the fly: select the screen you wish to rename, then select “Edit” / ”Rename”.
To update quote data for a monitored list you have saved: use the button, or select “File” / “Load List”. Note this does not re-run your original search; it simply refreshes quote data for the list of contracts you saved from an earlier search.
To save a profile search for later use: use the button, or select “File” / “Save Profile”. You can then choose where to save the file in your hard drive.
To run a saved profile for new search results: use the button, or select “File” / “Load Profile”.
You can view up to 10 monitors simultaneously. Each monitor can display up to 1200 options contracts, for a simultaneous total across all monitors of 3000 different option contracts.
To start or stop automatic search update: use the stop/play buttons ( / ), or select “Run” / “Stop” or “Play”. Otherwise the Scanner updates the data in search results periodically.
View your monitors in a separate window: use the button, or select “View” / “In Separated Window”.
To see all your monitors in one screen: use the button, or select “View” / “Back to Main Window”.
Searching tips
To fine-tune a search begun with the Basic view: check the box in Basic labeled “Auto-apply changes to the Advanced View”. Your Basic criteria will be automatically loaded in the Advanced view.
To exclude inactive contracts from searches: either check “Ignore zero bid options” at bottom of Advanced view, or enter a value to exclude stale quotes. The Scanner runs on 20-minute delayed data, so the freshest possible quote will be at least 20 minutes old.
To edit columns in search results:
Drag-and-drop a column name into a new location in the big right-hand panel Check or uncheck a column name. Checked columns are displayed at right,
Keep in mind: column names in bold are updated in real-time.
To check a quote’s freshness: use the Quote Time Indicator column. Green means the quote is less than 40 minutes old, yellow indicates quotes from the last 40-80 minutes. All older quotes are marked as red.
To delete a contract from results: use the Delete column, or select “Edit” / “Delete”. To save a list of results for later use: use the button, or select “File” / “Save List”. (Lists are also known as Monitors.) You can then choose where to save the file in your hard drive.
To re-load a previously saved list: use the buttons, or select “File” / “Load List”. To add contracts to an existing list: check stock or option symbol in the Monitor tab, then click the add button.
While implied volatility represents the consensus of the marketplace as to the future level of stock price volatility, there is no guarantee that this forecast will be correct.
IMPORTANT: The projections or other information generated by TradeKing’s tools regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results.
The above calculations do not take into consideration all costs, such as commissions and margin interest which may impact the results shown. It is the user’s sole responsibility to select the criteria to enter in the TradeKing’s tools, or to choose among the pre-defined screens, and to evaluate the merits and risks associated with the use of the tools before making any investment decisions. TradeKing is not responsible for any losses that occur from such investment decisions.
All information is provided on an "as is," "as available" basis without warranty of any kind, and neither TradeKing nor its Service and Information Providers make any representations as to the suitability of the information for any purpose, nor to its accuracy, timeliness, completeness or usefulness. Use of the service is at the user’s own risk. TradeKing reserves the right, in its sole discretion and without any obligation, to modify, improve, discontinue or correct any errors or omissions in any portion of the site at any times. Your continued use of this service indicates your acceptance of the terms of our disclosures.
Please note - this is sample data provided for demonstration purposes only. Stock or options symbols are for illustrative purposes only and do not imply a recommendation to buy or sell the security. TradeKing does not provide investment recommendations or financial advice.
