Discover what's included in Intrinio's unusual options activity, Greeks, and implied volatility and why these metrics are valuable to investors.
Intrinio's real-time and delayed options data features unusual options activity, Greeks, and implied volatility in addition to pricing data. Here's a brief explanation of each metric and why it's valuable to options investors.
Unusual Options Activity
Unusual options activity is anything that happens on the options market that seems out of the ordinary, such as large volume orders. You can request the latest unusual activity by ticker or across the entire OPRA universe.
Unusual options activity data can be very helpful in determining the direction of the market for a particular company or sector. On May 21, Zack's Equity Research reported unusual options activity on AMC Entertainment Holdings (AMC). By June 2, the stock price had risen by more than 417%. Similarly, Market Rebellion reported unusual activity on GameStop Corp (GME) on December 23, 2020. Over the next month and change, the underlying stock price went from around $20 to around $326 (an increase of about 1,589%).
- Total value
- Total size
- Average price
- Contract ID
- Type: sweep or block
Option block orders are large, privately negotiated orders executed off the public option exchanges. Such orders allow large institutions to fill a significant order without moving the underlying price in an unfavorable direction.
These orders are flagged by Intrinio by the inherently immense notional value of the corresponding premiums paid, or collected, and significant order size.
An options sweep is a market order split across all exchanges to take advantage of the best prices for a given option contract on each individual exchange. Essentially all sweep orders suggest that the acting party is anticipating a significant move, in one direction or the other, in the underlying stock in the near future.
Intrinio has a threshold for sweeps and will only display trades of $3,000 or more. Since sweeps usually encompass multiple trades, the timestamp for sweeps will represent the time of the first trade in the series.
Implied volatility represents the market's demand or expectations for an option. If the market’s expectations increase and/or demand for a particular option increases, the implied volatility will rise – the opposite is true for decreasing demands or expectations. As a result, when implied volatility increases, the option’s premium increases, and when it decreases, the option’s premium decreases.
Technically speaking, implied volatility is expressed as the percentage of the stock price that indicates a one standard deviation range of where the underlying security’s stock price can end up in a year.
For example, if ACME is trading at $100 and the implied volatility of a particular contract is 25%, then the market is estimating there is a 68% chance of ACME’s stock price falling between $75 and $125 by the expiration date – 68% chance because that is one standard deviation from the mean.
Delta is an estimate of how much an option’s premium may change given a $1 increase/decrease in the underlying equity’s price. For call options, Delta fluctuates between 0 and 1 and for put options, Delta fluctuates between 0 and –1.
For example, if you paid $2 for a call option for ACME (currently trading at $20 a share) with a strike price of $20 and delta of .5 (50%) and ACME’s price went from $20 to $21 (an increase of $1) then your call option should theoretically increase by 50% of the underlying’s move, or in this case by $0.50 and your call option is now worth $2.50.
Represents the rate of change of Delta relative to the change of the underlying security’s price and will be a number between 0 and 1.
The following example should demonstrate how Gamma affects Delta after the change in an underlying security stock price.
ACME call option has a Delta of .5 and a Gamma of .05. If ACME’s underlying price increases by $1 the premium will increase by $0.50, and the Delta will increase by the Gamma amount and now be .55. Meaning, if ACME’s underlying price were to increase by another dollar, then the new premium increase would be $0.55 and then once again the Delta would increase by whatever the current Gamma is. This would work the exact same given a decrease of $1 in the underlying price and you would subtract the Gamma amount from the current Delta.
Represents the rate of time decay for an option. It is typical for Theta’s decaying effects on the Option Premium to be smaller at first (when the Option is far from expiration) and then exponentially increase as the Option approaches expiration.
For example, if ACME were trading at $20, and you owned a $20 strike call trading at $1 with a Theta of .01, you would expect that the premium of your option would decrease by $.01 a day – holding all effects of other Greeks on the option premium’s price constant.
Represents an option’s sensitivity to implied volatility and measures the amount of increase or decrease in an option’s premium based on a 1% change in the implied volatility.
For example, ACME is trading at $100, and you purchased an Option Contract with a market value of $5, an implied volatility of 50% and a vega of .1, then a 5% increase in implied volatility would increase the option contract market value by $0.50 – holding all effects of other Greeks on the option premium’s price constant.
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