Options Flow Scanner

For free: Yahoo Finance shows some volume data. Barchart, Unusual Whales (limited free). For paid: Bloomberg, Trade Alert, FlowAlgo, Cheddar Flow, Market Chameleon. For Canadian: Montreal Exchange data, or US exchanges for dual-listed stocks.

No. Most unusual activity has innocent explanations (hedging, closing, spreads). Focus on: large size, aggressive execution (at ask), opening positions, and flow that makes sense with the story. Confirm with other analysis.

Sometimes, but not always. Options flow is a leading indicator - informed traders may position ahead of moves. However, many unusual trades are hedges or wrong guesses. Use flow as one input, not a crystal ball.

Trading at the ask means the buyer paid the higher price - they were willing to pay up to get filled. This aggression suggests urgency and conviction. Passive buyers wait for mid or bid; aggressive buyers hit the ask.

Compare volume to open interest (OI). If volume is high but OI increases, positions are being opened (new conviction). If OI decreases, positions are being closed (profit/loss taking). Opening positions are more meaningful signals.

Hedging clues: near-the-money options, size proportional to stock position, around earnings/events, put buying in already-owned stock. Directional clues: OTM options, aggressive execution, no obvious stock position to hedge, concentrated expiry.

Premium = Contracts × 100 × Option Price. Example: 1,000 contracts at $2.50 = 1,000 × 100 × 2.50 = $250,000. Premium shows dollar conviction - a $1M bet is more meaningful than $10K regardless of contract count.

Look for: large premium (real conviction), sweep orders (urgency), multiple similar trades (pattern), opening positions (new conviction), logical thesis (why would they bet this?), and confirming technicals/fundamentals.

Many Canadian stocks (SHOP, TD, RY, ENB, etc.) are dual-listed on NYSE/NASDAQ with liquid US options. Trade US options for better liquidity and tighter spreads. Consider USD exposure and different trading hours.

Consider the option's expiration - if someone buys 30-day calls, they expect a move within 30 days. Short-dated = imminent catalyst view. Long-dated = structural view. Match your hold time to the flow signal's implied timeframe.

Architecture: streaming data feed (exchange or vendor) → parsing layer (extract trade fields) → enrichment (add avg volume, OI, quotes) → classification (sweep, block) → scoring (flow score) → alerting (push significant flow). Use Python/Kafka/Redis for speed.

GEX = Σ(Gamma × OI × 100 × Stock Price) for calls, subtract puts (dealers are opposite customer). Positive GEX = stabilizing (MMs sell rallies). Negative GEX = amplifying (MMs buy rallies). Track GEX levels to predict volatility.

Walk-forward backtesting: train on historical flow, test forward returns, roll window. Metrics: hit rate, average return by signal quintile, information coefficient. Compare to baseline (random). Test across market regimes.

Combine: net premium flow (direction), gamma exposure (expected volatility), delta exposure (directional positioning), vanna (IV sensitivity). High bullish flow + negative gamma + rising IV = potential explosive move up.

Dealers hedge their option positions with stock. Long gamma = sell rallies, buy dips (dampen moves). Short gamma = buy rallies, sell dips (amplify moves). Large OI at strikes creates 'pinning' as dealers hedge. Expiration approaches intensify effects.