Filters & Data
Finding options based on liquidity
Some trading strategies take into account the company's or option's liquidity. Option Samurai has several simple ways to screen results based on these criteria.
Total Options Volume or Total Open interest
Add filter "Total Options Volume" or "Total Open interest". These filters check the volume or OI across the entire chain. We set the value to greater than 10,000 to ensure enough liquidity.
Add the filter "open interest" which checks the OI on a specific option. If you use 'total options volume/OI' then you can set this on greater than 10/50 (or above 100 for added liquidity)
Add the filter "bid and ask spread" (which measures the spread between the bid and ask during live trading). We usually use under 50 or 25 cents.
This filter allows you to filter our options that don't have enough intraday volume.
Stock liquidity - Average volume
Add the filter "Average volume" filter (measure the average volume over the last month) and adjust the criteria as necessary.
Option Volume power
This is a liquidity measure designed to find unusual volume options during the trading session. It is calculated as the intraday volume divided by the open interest. So if the OI is 100 and there are 1000 options trading till now, the options volume power will be 10.
Stock Volume power
This is a liquidity measure designed to find unusual stock volume during the trading session. It is calculated as the intraday stock volume divided by the stock average volume.