Futures options trading volume

Options and Futures Volume by Exchange — декабря 21, 2017.

Reports are available for up to two (2) years. Batch processing information can be found here.

Futures, Commodity Options and Options on Futures.

This web site discusses exchange-traded options issued by The Options Clearing Corporation. No statement in this web site is to be construed as a recommendation to purchase or sell a security, or to provide investment advice. Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person must receive a copy of Characteristics and Risks of Standardized Options. Copies of this document may be obtained from your broker, from any exchange on which options are traded or by contacting The Options Clearing Corporation, One North Wacker Dr., Suite 500, Chicago, IL 60606 (investorservicestheocc).

© 2017 The Options Clearing Corporation. All rights reserved.

Interpreting Volume For The Futures Market.

Although many traders know how to use volume in their technical analysis of stocks, interpreting volume in the context of the futures market may require more understanding because considerably less research has been conducted on the volume of futures than that of stocks. Here we take a general look at some of the things you should know for looking at volume in the futures market.

The volume of each futures contract (where individual contracts specify standard delivery months) is widely reported along with the total volume of the market, or the aggregate volume of all individual contracts. These volume figures are reported one day after the trading day in question, but estimates are regularly posted throughout the current trading day. For certain contracts, such estimates may be posted as regularly as hourly.

The most basic use of volume on futures markets is to analyze it in relation to liquidity. Futures traders will receive the best execution fills where there is the greatest liquidity, which occurs in the delivery month that is most active by volume. Yet, as contracts move from second month out, traders move their positions to the closest delivery month, causing a natural increase in volume. By contrast, volume declines as the delivery date gets close. Looking at volume of only one delivery month, therefore, garners a one-dimensional picture of market activity.

Looking at Total Volume: Tick Volume.

Since total volume may not be immediately available on the futures market, even as an intraday estimate, tick volume is used as a substitute. Tick volume is the number of changes in price regardless of volume that occur during any given time interval. The reason why tick volume relates to actual volume is that, as markets become more active, prices change back and forth more often.

For example, for a chart of 30-minute volume patterns, the tick volume of each interval (the number of ticks during the 30-minute period) can be compared to the first 30 minutes of the day and recorded as a percentage of the initial tick volume. This establishes a baseline volume for the day to which all subsequent ticks can be related.

The Beginning and End of the Day.

It should be noted that volume is expected to be clustered on both ends of the trading day. In the morning, orders are entered into the market early as traders are reacting to overnight news and events as well as the previous day's data that is calculated and analyzed after the close. The end of the day is active due to traders juggling for position based on today's price movements. Closing price is typically the most dependable value of the day.

The volume of intraday trading displays typical chart patterns, such as a rounded bottom formation demonstrating lowest volume in the late morning when the traders take their breaks. The patterns of individual issues, however, may differ from these patterns. European currencies, for example, show more sustained high volume through late morning due to the prevalence of European traders in the markets at that time. To account for such patterns, compare today's 30-minute volume for a specific time period with the previous average volume for the same period.

Interpreting Volume using Open Interest.

New interest in a market brings new buyers or sellers, which increases the value of open interest. When the open interest increases with a correspondingly quick rise in prices, more traders are likely entering long positions. That said, for every new buyer of a futures contract there must be a new seller, but the seller is likely to be looking to hold a position for a few hours or days, hoping to profit from the ups and downs of price movement. The open interest is attributed to the position trader, but such a trader is willing to hold the long position for a much longer period of time. If the prices keep rising, the longs will have the ability to hold their position for a greater period of time while the shorts are more likely to be forced out of their positions.

Some rules of thumb for interpreting changes in volume and open interest in futures market are as follows:

A rising volume and a rising open interest are confirmation of a trend. A rising volume and a falling open interest suggest position liquidation. A falling volume and a rising open interest point to a period of slow accumulation. A falling volume and a falling open interest depict a congestion phase.

Volume and open interest can be used in a practical sense to guide one's trades as follows:

Open interest increases during a period of an exhibited trend. During the accumulation phase, volume may decline while open interest builds, but volume occasionally spikes. Rising prices and a declining volume or open interest indicate a pending change of direction.

These rules, however, have exceptions, especially on days or at times when volume is expected to differ from the "norm". For example, volume is usually lighter on the first day of the week, on the day before a holiday and during the entire summer period. Also volume may actually be heavier on Fridays and Mondays during a trending market. Liquidation of positions often occurs before the weekend, with positions being re-entered on the first day of the week. Finally, volume is heavier on a triple witching day, when stock-index futures, stock-index options and stock options all expire on the same day.

Volume and open interest are integral measures to guide one's trading decision on the futures markets, but as always, these indicators should be considered in relation to extraneous market events. To get the clearest picture of the market conditions, one must consider as many factors as possible.

What is the difference between open interest and volume?

In the options market, two measurements describe the liquidity and activity of option contracts. Volume is the amount of contracts traded in a given period, and open interest is the number of open option contracts.

[Open interest and volume are two important concepts to understand when trading options. If you're new to trading options, Investopedia's Options for Beginners Course provides a comprehensive overview of options covering everything from risk management to advanced strategies like spreads, strangles, and straddles.]

Trading volume is the number of option contracts being exchanged between buyers and sellers, and it measures the activity of options contracts. For example, assume the trading volume in call option ABC with a strike price of $55 and an expiration date in three weeks did not trade any contracts for a specified day. Therefore, the trading volume is 0. However, the next day, an investor buys 15 call option contracts and a market maker sells 15 call option contracts. The trading volume for that particular day is 15.

Open Interest.

Open interest is the number of option contracts that are still open and held by traders and investors. These options have not been closed out, expired or exercised.

An option's open interest decreases when holders and writers of options close out their positions. To close out their positions, they must take offsetting positions or exercise their options. An option's open interest increases when investors and traders open new long option positions and writers take on short positions. When new contracts are created, the open interest increases.

For example, assume the open interest of call option ABC is 0. However, the next day an investor buys 10 option contracts and another investor sells 10 option contracts. The open interest of this particular call option is 10.

An option's trading volume could only increase, whereas an option's open interest could either increase or decrease. Unlike an option's trading volume, which indicates the amount of option contracts that have been bought or sold, the open interest shows the amount of contracts that are held.

Options Volume Leaders.

Stocks: 15 minute delay (Bats is real-time), ET. Volume reflects consolidated markets. Futures and Forex: 10 or 15 minute delay, CT.

Barchart Inc. © 2017.

Stocks: 15 minute delay (Bats is real-time), ET. Volume reflects consolidated markets. Futures and Forex: 10 or 15 minute delay, CT.

This page shows equity options with the highest daily volume, with options broken down between stocks and ETFs. Volume is the total number of option contracts bought and sold for the day, for that particular strike price. Trading volume on an option is relative to the volume of the underlying stock. Traders should compare high options volume to the stock's average daily volume for clues to its origin.

When an option has high volume activity, it usually indicates one of three things.

It may indicate that a major event is about to take place. Traders are looking to cash in on an anticipated jump in the stock's price (one way or the other) and buy options as a result. In this case, you should look to compare the option's volume to the underlying stock's average daily volume. If the underlying stock has a large percent change in price AND a larger than normal volume, that is typically a strong market signal in the same direction as the change. Other times, high volume on an options contract may indicate that put buyers are hedging a potential downside risk for a stock whose technicals indicate a sell-off. Many times, these hedges are from a hedge fund or a large institutional trader. If you see high volume on an OTM option, this is usually driven by a hedge. And finally, high volume is sometimes generated by inexperienced options traders, traders who buy cheap OTM options with no specific reason and strategy.

High daily volume on an options contract warrants further analysis to try and identify where the trades are coming from. Once you understand which of the above three conditions are driving the activity, you can more effectively use that information to formulate your own strategy.

The page is initially sorted in descending daily Volume sequence. You can re-sort the page by clicking on any of the column headings.

In order to be included, an option needs to have volume of greater than 500 and open interest greater than 100.

Options information is delayed a minimum of 30 minutes, and is updated once an hour, with the first update at 10:30am ET .

Data Updates.

For pages showing Intraday views, we use the current session's data, with new price data appear on the page as indicated by a "flash". Stocks: 15 minute delay (Bats data for U. S. equities is real-time), ET. Volume reflects consolidated markets. Futures and Forex: 10 or 15 minute delay, CT.

The list of symbols included on the page is updated every 10 minutes throughout the trading day . However, new stocks are not automatically added to or re-ranked on the page until the site performs its 10-minute update.

Pages are initially sorted in a specific order (depending on the data presented). You can re-sort the page by clicking on any of the column headings in the table.

Most data tables can be analyzed using "Views." A View simply presents the symbols on the page with a different set of columns. Site members can also display the page using Custom Views . (Simply create a free account, log in, then create and save Custom Views to be used on any data table.)

Each View has a "Links" column on the far right to access a symbol's Quote Overview, Chart, Options Quotes (when available), Barchart Opinion, and Technical Analysis page. Standard Views found throughout the site include:

Main View : Symbol, Name, Last Price, Change, Percent Change, High, Low, Volume, and Time of Last Trade.

Data Table Expand.

Unique to Barchart, data tables contain an "expand" option. Click the "+" icon in the first column (on the left) to "expand" the table for the selected symbol. Scroll through widgets of the different content available for the symbol. Click on any of the widgets to go to the full page.

Horizontal Scroll on Wide Tables.

Especially when using a custom view, you may find that the number of columns chosen exceeds the available space to show all the data. In this case, the table must be horizontally scrolled (left to right) to view all of the information. To do this, you can either scroll to the bottom of the table and use the table's scrollbar, or you can scroll the table using your browser's built-in scroll:

Left-click with your mouse anywhere on the table. Use your keyboard's left and right arrows to scroll the table. Repeat this anywhere as you move through the table to enable horizontal scrolling.

FlipCharts.

Also unique to Barchart, FlipCharts allow you to scroll through all the symbols on the table in a chart view. While viewing FlipCharts, you can apply a custom Chart Template, further customizing the way you can analyze the symbols. FlipCharts are a free tool available to Site Members.

Download is a free tool available to Site Members. This tool will download a. csv file for the View being displayed. For dynamically-generated tables (such as a Stock or ETF Screener) where you see more than 1000 rows of data, the download will be limited to only the first 1000 records on the table. For other static pages (such as the Russell 3000 Components list) all rows will be downloaded.

Free members are limited to 10 downloads per day, while Barchart Premier Members may download up to 100.csv files per day.