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tas: option time and sales

tas is the ConvexValue Terminal app that lists single option trades: the time and sales log. Each row is one trade, with its contract, price, the bid and ask at that moment, size, premium, the aggressor side and the greeks.

How to use tas

tas [param=value ...]
tas

tas takes no symbol: it lists the trades of the whole market, or of the underlyings you name with roots=. Type the command in the command bar of a pane, or set the same parameters in the control panel (the ⚙️ at the right of the bar). In a browser, the app opens at convexvalue.com/go/tas/.

The tas app with its default columns, the newest trade on top

Parameters

Parameter Values Default What it does
cols Time and sale parameters, separated by commas time,symbol,bid_price,ask_price,price,theo,size,value,exchange_sale_conditions,aggressor_side,spot,delta,gamma,vega,theta,volatility The columns of the table.
orderby One time and sale parameter time The column that orders the trades.
limit A whole number 100 How many trades to show.
asc t or f f asc puts the smallest value first. Without it the largest (or the newest) is first.
roots Underlying symbols, separated by commas none Keeps the trades of those underlyings.
symbols Contract symbols, separated by commas none Keeps the trades of those contracts.
like Text, or several separated by commas none Keeps the contracts whose symbol contains the text.
side buy or sell none Keeps the trades of one aggressor side.
filters Conditions, separated by commas: column>number, column<number, column=number none Keeps the trades that meet every condition.
day A whole number 0 0 is the current session. 1 is one day back, 2 two days back.

The columns are the Time and Sale Parameters of the Data Parameters page. The control panel lists them too.

Examples

tas

The default: the latest 100 trades, the newest on top.

tas orderby=value

The largest trades by premium.

tas orderby=value roots=nvda,aapl

The largest trades of two underlyings.

tas orderby=value roots=nvda,aapl filters=delta<0.1,delta>0,size>100

Among them, the trades of more than 100 contracts with a delta between 0 and 0.1.

The tas app filtered by delta and size for NVDA and AAPL
tas roots=spy side=buy orderby=value limit=50

The 50 largest SPY trades where the buyer was the aggressor.

tas cols=time,symbol,price,value,size

Five columns only, for a narrow pane of a dashboard.

How to read it

  • price is the trade. bid_price and ask_price are the quote at the moment of the trade, and theo the theoretical price.
  • size is the number of contracts. value is the premium: price x size x multiplier.
  • agg_side (the aggressor_side column) says who crossed the spread: BUY in green, SELL in red. esc is the exchange_sale_conditions column, the sale conditions of the data feed.
  • spot is the price of the underlying at the moment of the trade. delta, gamma, vega, theta and volatility are the contract's at that moment.
  • The symbol of a call and the symbol of a put have different colours.
  • A row has a red background when a put traded at or above the ask, and a green one when a call traded at or below the bid.
  • flow: the trades added up, stock by stock.
  • opt: the trades added up, contract by contract.
  • flowchart: buying and selling of one symbol through the session.