Home Module

Stock Scanner

The flow module serves as a live stock scanner, ranker, and database - with over 100+ options-derived parameters.

options-based-stock-scanner-and-ranker

ConvexValue receives a live feed of virtually every single option trade on all publicly traded Stocks/ETFs/Indexes. This amounts to ~5k tickers, and nearly 2M option contracts.

We then process, categorize, and generate statistics of all these trades on-the-fly. This allows you to filter and scan for them, and live-stream of your selection.

Some of the metrics generated are simple: for example call volume. Some are more advanced - for example the net amount of call volume bought divided by the net amount of put volume bought. Some calculate live greeks - live aggregate delta traded. And finally we have a set of proprietary indicators.

This allows you to generate searches of the following form: what are the top 20 stocks with the highest bullish volume relative to bearish volume that have traded more than 10M in premium during the session?

It is an incredibly powerful tool to understand what is "hot". When a stock is "hot" - meaning it is currently running or about to run - it is usually reflected in options. This feature allows you to find those stocks.

As most ConvexValue modules - it has a basic easy-to-use setup and also permits vast customization to allow more advanced searches.

I monitor this module every single day throughout the day. I use it in the most basic setup which is to rank all stocks by amount of premium traded. This lets me know what tickers are "hot" and helps me sense market sentiment. For example - if TLT and VIX are among the most actively traded tickers - it means there are macro considerations in play. It also tells me what investors are currently interested in: for example when the top stocks are largely semi-conductors, or electric car makers, or oil and gas companies. This usage is to understand market sentiment.

A second usage I give it nearly every day is to research tickers with unusual options activity.

The way I do this is to rank by ratios of bullish/bearish, call buying / put buying, and others. Then filter by amount of premium traded to reduce noise. Then - with a shortlist of 50-100 stocks - I will inspect Open Interest, Volume, and Volatility via some of the other ConvexValue modules.

In addition to letting you scan, rank, and filter for stocks - you can select what columns you want to monitor. You can monitor as little as a couple of columns, and as many as your screen-size permits you.

This way - if you want to do deep research and investigate many parameters for many stocks, you can. And if you want to keep the module light and only monitor one or two important things - you can do so as well.

Some examples of how to get started with using the flow module as a stock ranker and scanner:

Default View

Command: flow

If you use the flow command without any additional parameters - it will display the "default" configuration. The default configuration displays column for "value" (sum of options premium traded), price (stock price) and change in price. The ranking is by "value", meaning the stocks with most options premium traded are at the top.

This configuration is the one I use everyday at all times. As you can imagine, tickers like SPX and SPY are always near the top. And whatever the "big" stocks are at the time will be at the top.

There is a significant signal in seeing what stocks occupy these top places. In the current period (2024) NVDA is always in the top 10. However, NKE or XOM aren't. So when I see stocks like NKE or XOM on top of the rankings - it tells me something is up.

This configuration also gives me a good idea of what stocks have very high options activity and likely very high implied volatilities. If I want to place an options strategy like a spread, Iron Condor, Straddle, Strangle - I will usually do so from a stock from this list.

Top Call Buying Volume

Command: flow cols=value,price,change,volm_call_buy,volm_put_buy orderby=volm_call_buy limit=20

This variation adds a couple of columns. In addition to the default columns we are also looking at volume of call buys and volume of put buys. We are also ranking by volume of call buys as opposed to value.

This list is often a proxy for a ranking for bullish volume. It isn't precisely so because tickers like SPY will show up near the top regardless of whether volume is bullish or bearish. However, unlike ranking by value, ranking by call buying volume will reveal stocks with unusual out-of-the-money call buying.

I use this view everyday in one of my dashboards but I do not monitor it at all times. Instead - I glance at it every now and then to see if there is an unusual ticker ranking high.

Unusual Bullish Ratios

Command: flow cols=value,price,change,vflowratio orderby=vflowratio filters=value>1000000

This configuration adds a proprietary parameter: vflowratio. vFlowRatio conceptually is the sum of bullish volume (call buying plus put selling) divided by bearish volume (call selling plus put buying).

We are also ranking by vflowratio which you can see by the orderby=vflowratio parameter, meaning that the stocks with highest bullish to bearish volume will come out on top.

The issue we encounter with this ranking is that there is a lot of noise from illiquid stocks. For example: if a stock just 100 calls bought and 1 put sold - the vflowratio would be very high, but it might also have sub-par liquidity. To address this we add a filter: filters=value>1000000.

This filter gives us the same ranking but filtering for stocks with more than $1M in options premium traded. This helps us weed out illiquid stocks while still letting us scan for potential gems.

This scan has helped me uncover great lotto trades especially in the biotech sector.

I recommend to play around with these variations to see what you find.