Screening options
A stock screener finds stocks; an options screener finds contracts. Across a whole list of symbols it asks which single calls and puts match a description, a month or more out, well out of the money, bought in size, and ranks what it finds by the money behind them.
The fields that matter
- Right and days to expiry (
right=c,dte>30): calls or puts, and how far out. Short-dated contracts are where speculation lives; long-dated ones are more often positioning. - Moneyness and delta (
otm>5,delta<0.30): how far from the stock price, in percent or by delta. Far out-of-the-money contracts bought in size are a bet on a large move. - Volume and open interest (
vol>=500,vol/oi>=3): how much traded, and whether it exceeds what was open, the sign of new positions (see unusual activity). - Premium (
prem>=500k): the dollars traded, the best single measure of size. - Implied volatility (
iv<=30): how dear the contract is. The same trade means more in a stock whose options are cheap. - Side and lean (
side=ask,lean=bull): whether the last trade printed at the ask or the bid, and with the right, whether that leans bullish or bearish (see options flow).
Combining them
Each field alone finds too much. A screen is a few of them together, each cutting away a kind of noise: a premium floor removes the small trades, a volume-over-open-interest floor the closing trades, a days-to-expiry floor the contracts expiring today. Sorting by premium puts the largest trades first.
right=c side=ask prem>=500k dte>=30 otm>=5 → calls bought in size, a month or more out, well out of the money
Screens worth keeping
- Unusually bullish / bearish:
lean=bull vol/oi>=3 vol>=500 prem>=100k dte>1, new positions in size leaning one way. - Deep conviction calls / puts:
right=c side=ask,>mid prem>=500k dte>=30 otm>=5, half a million or more paid for out-of-the-money options with time to work. - Long-term calls:
right=c dte>=180 vol>=200 prem>=100k, positioning six months or more out. - Put sells:
right=p side=bid,<mid prem>=250k dte>1, large put sales, a bullish trade of someone happy to own the stock lower. - Credit trades:
right=p side=bid,<mid otm>=2 dte>=7 dte<=60 prem>=50k, out-of-the-money puts sold a week to two months out, the short leg of a bull put spread (calls for the bearish side).
Reading the results
A screener shows a contract's day so far, not its whole story. Check the stock's chart and news, the contract's open interest the next morning (did the volume open positions?), and whether another strike traded the same size, since the contract may be one leg of a spread. A screen finds questions to look into, not trades to copy.
In Options Meerkat
The options screener (U on the dashboard) reads the most traded contracts of every symbol on the list, ranked by premium. Tab steps through the presets above and a few more (the hottest contracts, unusual volume at two IV ranges, cheap calls), / takes a filter line of field op value terms as written here, and s sorts by premium, volume, volume over open interest, IV, or days to expiry. Ask Meerkat, the chat, for a screen in words and it writes the filter line and opens the screener on it; optchain screen runs the same over the stored snapshots.