Big spikes in options volume

[cuttlefish]

Do big spikes in options volume provide any useful indicators about anything?

(e.g. thousands of contracts in a series changing hands when normal daily volume is in the 10's or 100's).

 

[Trembling Hand]

Come on give us the companies so we can jump on too

 

[cutz]

Do big spikes in options volume provide any useful indicators about anything?

(e.g. thousands of contracts in a series changing hands when normal daily volume is in the 10's or 100's).

The company may have a price sensitive announcement in the pipeline, just a theory. As TH hinted, give us the codes so we can check it out.

 

[sails]

Hi Cuttlefish - I have been tracking volume & OI on options for a couple of years and sometimes find those large volumes can come before a large move - but not always.

Problem is, it doesn't help with direction. We don't know who is short or who is long - or it could be part of a synthetic position.

So, it doesn't always help a lot - but worth putting it on the watchlist to see if there are any other clues - now if you let us know which one we might be able to help!

 

[cutz]

Hi sails,

Do you use additional gear to track OI and Volume other than webiress.

I am also curious to see if the particular series is also experiencing peaking IV, would make a good case study.

 

[sails]

Hi sails,

Do you use additional gear to track OI and Volume other than webiress.

I am also curious to see if the particular series is also experiencing peaking IV, would make a good case study.

Cutz, no I don't have any fancy software to do that in the Oz market. Now TOS for the US - that's another matter. They have a "sizzle index" which shows any options that are showing more than normal volume for that day - and it's free

For the Oz market, I just use an excel spreadsheet and import EOD info from the ASX website and use that to keep the data so I can track OI changes, etc. But only current month and next month. It's a lot of work as each time they add new strikes, it has to be altered manually. As I only watch the most liquid, higher priced optionable shares, I don't have a whole lot to look after. I'm still not convinced how useful it is, but just sometimes something interesting goes on plus there is other confirmation on the charts - and probably a bit of intuition

Sometimes, I check the options monitor on Iress after 3pm to see if there is anything interesting going on on the shares I track. It's pretty quick to check 2-3 months of any shares of interest.

Actually, while typing this I remembered there is a site for the Oz market if you want info on a larger range of optionable shares: http://www.impliedvolatility.com.au/index.htm. It believe it needs a subscription, but it might be what you are looking for...

 

[cutz]

Hi Sails,

Do you have a link for the EOD options trading data on the ASX site, I had a look last night but I couldn’t find the area.

Thanks in advance.

 

[cuttlefish]

Hi Cuttlefish - I have been tracking volume & OI on options for a couple of years and sometimes find those large volumes can come before a large move - but not always.

Problem is, it doesn't help with direction. We don't know who is short or who is long - or it could be part of a synthetic position.

So, it doesn't always help a lot - but worth putting it on the watchlist to see if there are any other clues - now if you let us know which one we might be able to help!

Cheers sails - interesting that you've been tracking volumes. The options orders didn't have any special codes next to it to indicate that it was a tailor made or had an equity component, and I couldn't see any corresponding volume spikes in other series or the stock itself. I guess I'll just watch and see if anything interesting happens.

 

[sails]

Hi Sails,

Do you have a link for the EOD options trading data on the ASX site, I had a look last night but I couldn’t find the area.

Thanks in advance.

Hi Cutz - just the normal place where one finds option data on the ASX. Type the code and month in here: http://www.asx.com.au/asx/markets/searchOptionPrices.do

Say we type BHP Dec08 options - it takes us to here: http://www.asx.com.au/asx/markets/s...e=BHP&selectedYearMonth=Dec+2008&optionType=B.

It's pretty basic stuff - nothing fancy

 

[sails]

Cheers sails - interesting that you've been tracking volumes. The options orders didn't have any special codes next to it to indicate that it was a tailor made or had an equity component, and I couldn't see any corresponding volume spikes in other series or the stock itself. I guess I'll just watch and see if anything interesting happens.

Was thinking more of the actual option code/s you have spotted. If you prefer to keep it to yourself for now - perhaps let us know what happened (if anything) when they have expired ...

If it's really FOTM, it doesn't always seem to mean a lot. I have sometimes seen large orders on CBA for 1-2c entered quite close to expiry with a corresponding increase in OI - but the market doesn't usually go there.

 

[anise]

I keep track of at par IV and HV(R&S) for a few favourite stocks. While IV highs seem to be able to be chalked up to large increases in options volume, I've always found significantly increased volume during times of low IV when compared to HV (30 day). This is especially the case with puts at the moment. While the relationship is a more complex than simply concluding that low IV represents value, there is definitely a strong relationship between low vega and volume.

 

[jackson8]

have noticed over the last few days that the mms have not been quoting over mqg series even though mqg is listed as having mm obligations
any comments on this from any experienced options traders.
thanks
Gary

 

[sails]

have noticed over the last few days that the mms have not been quoting over mqg series even though mqg is listed as having mm obligations
any comments on this from any experienced options traders.
thanks
Gary

Hi Jackson,

I don't trade MQG options, so not sure of it's option MM obligations. I had a look on the asx website and find they no longer put out the monthly PDF of MM obligations. Here is a link to the last one in June 2008 and on page 3 they give a link to where the info will be displayed on their website, but that link just goes straight to the asx home page. http://www.asx.com.au/products/pdf/notices/2008/Clm08908.pdf

How did you find out what MQG MM obligations were? The link above shows a couple of MM firms for continuous quotes on MQG back in June 2008 - but now that up-to-date info is not available, anything could have changed.

Cheers

 

[cutz]

have noticed over the last few days that the mms have not been quoting over mqg series even though mqg is listed as having mm obligations
any comments on this from any experienced options traders.
thanks
Gary

Hi gary,

Yeah, i put on a few contracts last week , there weren't any continuous quotes showing, but they did come on after the broker request.

 

[jackson8]

Hi Jackson,

I don't trade MQG options, so not sure of it's option MM obligations. I had a look on the asx website and find they no longer put out the monthly PDF of MM obligations. Here is a link to the last one in June 2008 and on page 3 they give a link to where the info will be displayed on their website, but that link just goes straight to the asx home page. http://www.asx.com.au/products/pdf/notices/2008/Clm08908.pdf

How did you find out what MQG MM obligations were? The link above shows a couple of MM firms for continuous quotes on MQG back in June 2008 - but now that up-to-date info is not available, anything could have changed.

Cheers

hi sails
the latest info i have is from october 08 and am now trying to find on asx site where i got it from ( should have bookmarked it )
i did not realise mm obligations changed for each eto from month to month

hi cutz
last week there were a few wotm far month out puts up for grabs
but no quotes around sp trading strikes
noticed the bid prices on these were very low until placed an order far above and then they rose to more realistic value

 

[sails]

While digging around on the ASX site trying to find current information on MM obligations, I stumbled across this consultation paper. http://www.asx.com.au/about/pdf/20081020_eto_consultation_paper.pdf

Haven't read it throughly, but it looks like they are planning to phase in a range of changes. One at the end is to change the shares per contract to 100 instead of 1000. Hopefully they will they divide the fees by 10 too - or wishful thinking

 

[cutz]

While digging around on the ASX site trying to find current information on MM obligations, I stumbled across this consultation paper. http://www.asx.com.au/about/pdf/20081020_eto_consultation_paper.pdf

Haven't read it throughly, but it looks like they are planning to phase in a range of changes. One at the end is to change the shares per contract to 100 instead of 1000. Hopefully they will they divide the fees by 10 too - or wishful thinking

Should be interesting to see how it plays out, although I’m kind of used to dealing in small lots and now its dirt cheap with IB, times that by 10 and comsec may become competitive again with their flat rate brokerage. But I guess if real volumes pick up it couldn’t be a bad thing, time will tell.