This Week in Options (TWiO) Report

This tool provides current intraday and weekly rolling totals (from last trading day of prior week until today’s most recent update).  Information includes changes in each expiration’s at-the-money (ATM) strike, underlying future price, ATM and 25 Delta risk reversal (RR) volatilities, open interest (OI) and volume – including most active strikes, OI and volume (for this week in total) as well as Put/Call ratios for both.

See the next page for a description of each numbered section.

Clicking on the current product group or the arrow next to the current product group will display a dropdown with all the product groups that are currently available in QuikStrike.  After selecting a group, all products for that group will be displayed in the horizontal menu next to the blue product group selector. If a product contains CSOs (calendar spread options), APOs (average price options) and/or product spreads (like WTI/Brent), those products will be listed separately under the CSOs or Exotics section of each menu column.

Expirations for each product are displayed directly underneath the product group and product selection menu.  Click on any of the expiration menu groups to see the list associated with that group name.  Clicking on an individual expiration will display the information accordingly.

Tooltip: Select product group and display product list with corresponding expirations for current product

Clicking the PDF icon will show two options for printing the current page information - Portrait or Landscape.  The recommended print format for this report (greatest resolution, etc.) is Landscape.

The help (question mark) button will show markers on key areas of the report with a short title or description of function or data displayed.

Tooltip: Create PDF of report (best result: Landscape)

Use this menu to change the display characteristics of the TwiO Report in particular whether weekly options (if any available) are displayed and how many years of the option expiration term structure should be displayed on the report.

Tooltip: Change data displayed 

View each option’s expiration date and current (rolling) days to expiration (DTE) with strike and future changes for the week.

Tooltip: Expiration and corresponding underlying future information

Displays changes in ATM volatility and 25 Delta RR values. The 25 Delta RR is generally used as a market gauge for comparing out-of-the-money (OTM) or “wing” call and put volatility values.

Tooltip: Displays ATM and RR volatility information

Lists OI totals and differences (both outright change and percent change) from last week’s close, P/C ratio, most active overall strike (and option type) for the week.  Display Settings provide the option to view most active option overall or most active call or put individually.

Tooltip: Shows volume information by expiration with ratios and most actives

Shows today’s total electronic volume, total volume prior to today, overall total for the week as well as expiration’s percentage of overall volume.  The P/C ratio for the week’s volume and the most active strike (and option type) for the week.  Display Settings provide the option to view most active option overall or most active call or put individually.

Tooltip: Shows volume information by expiration with ratios and most actives

This row displays the totals for the currently selected set of expirations.  Use the Display settings to remove weekly options from the list should you want a more consolidated list (especially in products where weekly products have yet to be traded on regular basis).

Tooltip: Lists summary of report numbers for open interest, volume and P/C ratios