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OpScan™ Your personal trade search engine for scanning the options universe OpScan is designed to scan the universe of listed
options for potential trading opportunities. By regularly using OpScan,
you can start every trading day armed with a list of opportunities created
for your personal strategies and trading style. Then continue scanning
for trading opportunities throughout the day. Locating opportunities that match your needs and trading style can be accomplished in a matter of seconds. And, because you get unlimited OpScan with your subscription, you can search the trading universe as often as you like.
Once you click Connect, OpScan will access the OptionVue NetVue service through the Internet and submit the selected formula to the OpScan host computer. A typical scan takes only a few seconds. When it is finished, the OpScan service sends its official report back to your browser for viewing. The top section shows the report title and the date and time it was run. It also shows the complete formula that was run, and a disclaimer pointing out that the report is based on delayed prices and not to forget the importance of doing additional research before making any trading decisions. The bottom portion lists the results of the scan with all the information requested. Now that you have your results, you’ll want to add the assets that look interesting to your Quotes Display for further study. IMPORTANT NOTE: OpScan Reports are strictly for the private use of OptionVue 5 owners. Please do not give copies of your reports to others, or in any way re-distribute the information you receive from the OpScan Service.
Following is a brief explanation of each element displayed in the OpScan results window. The Title line is title for the scanning formula you just ran, plus the date and time the scan was performed. The Picked by line describes what assets or options you are looking for. Only items that pass this test will be included in the report. The Sorted by line specifies how you the report was sorted (in what order the qualified items are listed). The Showing line indicates what parameters are displayed in the report. The Including line indicates the type(s) of assets
considered in the scan. Understanding OpScan Formulas Download and print the OpScan Parameter Guide by clicking here (Adobe® Acrobat file). This file details all of the various OpScan parameters and their values. A Pick formula consists of one or more relational expressions. A relational expression is an expression with two parameters separated by one of these relational operators: = equal to An example of a relational expression is VOL>500. This indicates that the volume today in this one option must be greater than 500 contracts. Pick formulas typically have more than one relational expression, connected by the logical operators AND or OR. For example, the formula LAST>1.5 AND VOL>100 will only return options with a last trade price greater than $1.50 and a volume greater than 100 contracts today. A comma is understood to be the same as AND. The following two formulas are exactly the same: LAST>1.5 AND VOL>100 Pick formulas may also include numbers and arithmetic operators (+, -, *, /). For example, the expression LASTU>1.05 * LASTU(1) means the last price of the underlying is greater than 1.05 times the last price of the underlying one day ago. In other words, the price has jumped more than 5% since yesterday. Each of the individual relational expressions in a Pick formula returns a true or false result. These results are then combined using the logical operators AND or OR. This means a properly constructed Pick formula returns an overall true or false result. Any formula in the sort box will return a numerical result. For example, LASTU returns the last price of the underlying, a number. If LASTU is in the sort formula, then the assets returned will be listed in order from highest priced on down. OpScan can also use a mathematical expression as your sort formula. To see an example of this, the built-in formula Breakouts to the Upside uses as the sort formula LASTU / HIGHU(10), meaning last price of the underlying divided by the highest price of the underlying for the past 10 trading days. This causes the assets with the biggest jump over their previous 10 day high to be listed at the top, with progressively smaller increases as you go down. OpScan can also simply sort a report alphabetically with ALPHA entered in the sort field, or no sort formula at all since the default sort is alphabetic. Some OpScan parameters are what we call “underlying specific”; they pertain to individual assets. Examples would be LASTU, VOLU and IV. The rest of the OpScan parameters are option specific — that is, they only pertain to individual options, such as LAST, VOL, and MIV. The tables outlined in the OpScan Parameter Guide are designed to make it clear which parameters are asset specific and which ones are option specific. It is important to remember that if the Pick formula consists only of asset specific parameters, then the result of the scan will be a list of assets. However, if the Pick formula contains at least one option specific parameter, then the result of the scan will be a list of individual options. Below are additional symbols and their values: c = expiration cycle number (1-4). i.e.: EXP(1) selects options of the nearby expiration cycle. m = month number (1-12) representing January through December n = any number of days from 1 through 20 p = any number of days from 1 through 5 q = any number of days from 1 through 800 x = 0 through 100 representing percentage difference between option strike and the price of the underlying.
Since OpScan is calculating the theoreticals for each asset’s options from a single volatility number, you’ll find that these theoreticals may not match up with the real market prices for far out-of-the-money and deep in-the-money options for most indexes, currencies, commodities, and bonds. Options on these types of assets exhibit considerable volatility skewing. Therefore, OpScan’s theoretical prices are useful with stocks, but not very helpful with other types of assets. The “high of prev n days” and “low of prev n days” parameters, such as HIGHU and LOWU, are based on closing values. For example, HIGHU(10) is the underlying’s highest closing price of the previous 10 days, not the highest daily high of the previous 10 days. Only the front 4 months of listed options are considered, and only strikes within 40% of the price of the underlying. LEAPS are not included in the OpScan database. If your purpose is to search for short term under- and over-valued options, you can use the approach illustrated in the following built-in formulas: Undervalued Options Based on Each
Option’s
Own Recent MIV In both of these formulas, each option is evaluated based on its own recent volatility level.
Bear Put Spread
Candidates Breakouts to Downside
(and Upside) Both formulas have the same beginning statement in the pick field: HIGHU(10)/LOWU(10) < 1.05 This statement divides the highest closing price
by the lowest closing price over the last 10 trading days, and makes sure
the result is less than 1.05. For the Breakouts to the upside formula, the next pick statement then looks for assets whose Last price was at least 2% greater than the highest closing price during the last 10 trading days (LASTU > HIGHU(10)*1.02). For the Breakouts to the downside formula, the next pick statement then looks for assets whose Last price was at least 2% lower than the lowest closing price during the last 10 trading days (LASTU < LOWU(10)*0.98). The final statement in the pick field of both formulas (LASTU(10)>0) simply checks that the data is good by making sure the Last price it is using to find qualified candidates is greater than zero. The reports then use a mathematical expression in the sort field so that the assets with the greatest percentage price move are at the top of the report. Bull Call Spread
Candidates Exceptional Put/Call
Volume Ratio The first part of the pick statement, PVOL$ / CVOL$ > 2.5, means only those assets where the put dollar volume is at least 2.5 times the call dollar volume will show up on the report. The second part of the pick statement, ATVOL(5)>200, screens out assets that have an average daily volume over the last five days of less than 200 options contracts. We use dollar volume rather than contract volume to calculate the ratio in this formula. This prevents trades involving a large number of contracts in way out-of-the-money options (at a very small dollar cost) from having too large an effect. Using dollar volume gives a better reading as to what most traders are really doing. To use an old saying, they are “putting their money where their mouth is”. The report then uses PVOL$ / CVOL$ in the sort
field, meaning those assets with the highest put to call ratio will appear
at the top of the report. Fat Call (and Put)
Premium on Quiet Stocks Both formulas mention quiet stocks in the title.
The first statement in both pick fields is SV < 30, meaning the SV
of the stock is less than 30%. This is very low for a stock, and should
reduce the risk that you would get assigned when selling out-of-the-money
options. The report is sorted by IV-SV, meaning the stocks with the most
expensive options (relative to the SV) will appear at the top of the report. Futures Markets
in Order of Current Volatility Good Stocks for
Calendar Debit Spreads High Yield Naked
Put Writes Largest % Increase in Call Open Interest
Today's Most Active Stock Options Historically High or Low Volatility The purpose of the IV(400)>0 term in the Pick formula is to make sure your scan includes only assets with at least 400 days worth of accumulated history. This kind of term is important to have, because it excludes new assets that do not have much accumulated volatility history. Overvalued
(and Undervalued) Options Based on Each Option’s Own Recent
MIV The pick line for these formulas may seem long but most of it is devoted to screening out unsuitable candidates and bad data. Both formulas screen out assets that have a daily average number of contracts traded less than 200. They then only choose candidates with a market price of $.50 or greater (MKTPR>=.5). Finally, they make sure we are using good data by checking that the MIV for the two previous days is greater than zero (MIV(2)>0, MIV(3)>0). Since at least one of the parameters are option-specific, this report returns a list of individual options. They are then sorted so that the most overvalued (undervalued) options appear at the top of the report. Overvalued (and Undervalued)
Stock Options Within Matrix Both these formulas also screen out assets that have a daily average number of contracts traded less than 200. Since at least one of the parameters is option-specific, this report returns a list of individual options. They are then sorted so that the most overvalued (undervalued) options appear at the top of the report. Unusual Call Activity Rather than simply looking at the volume in a stock’s options, a couple of refinements have been incorporated. For example, IV>1.1*AIV(20) was added to the pick statement. Without this statement, the report will be filled with situations characterized by heavy trades (block trades) in just one or two of the options — indicating a large position being taken by possibly only one trader or firm. This is not what we want, as it would seem more likely that takeover announcements would be preceded by heavy activity in almost ALL of the stock’s call options. This formula really has two goals: 1) To catch every major takeover, and 2) To exclude, as much as possible, items that are not representative of true pre-takeover activity, thus minimizing the daily follow-up work. This formula, whose purpose is to screen for assets approaching historical highs or lows in option volatility, is an example of combining two objectives into one.
You can check the OpScan website at www.opscan.com, for help using OpScan and any new developments in our OpScan service. Finally, we may from time to time offer special educational resources such as videos or CD’s designed to further your knowledge of OpScan. Check with your product consultant for news on the latest products available. If you have questions or a problem with OpScan,
technical help is available at (847) 816-6610 from 8:00 a.m. to 5:00 p.m.
CST at a reasonable cost. The nice thing about this approach is that it gives
us time to study the report and do the necessary research before getting
on the phone with you. |