Message

ScreenerOptionFlowState

Option-trade aggregates for the parent state date. Volumes are option contracts and premiums are US dollars. A new trading-date state can carry option-flow availability from the previous state before current-date flow arrives. In that case, current non-optional aggregates remain zero. Stored null values for non-optional aggregates also become zero, so zero does not always mean that no contracts traded. Historical averages remain absent while stored history is younger than the corresponding calendar-day threshold. Other Decimal fields are absent when their source value or a required calculation input is unavailable.

fields31 used byStockScreenerState

▶Proto definition.proto

message ScreenerOptionFlowState {
  int64 call_volume = 1;
  int64 put_volume = 2;
  Decimal call_premium = 3;
  Decimal put_premium = 4;
  Decimal bearish_premium = 5;
  Decimal bullish_premium = 6;
  Decimal avg_3_day_call_volume = 7;
  Decimal avg_3_day_put_volume = 8;
  Decimal avg_7_day_call_volume = 9;
  Decimal avg_7_day_put_volume = 10;
  Decimal avg_30_day_call_volume = 11;
  Decimal avg_30_day_put_volume = 12;
  int64 call_volume_ask_side = 13;
  int64 call_volume_bid_side = 14;
  int64 put_volume_ask_side = 15;
  int64 put_volume_bid_side = 16;
  int64 call_volume_mid_side = 17;
  int64 put_volume_mid_side = 18;
  Decimal call_premium_mid_side = 19;
  Decimal put_premium_mid_side = 20;
  sint64 cum_dir_gamma = 21;
  sint64 cum_dir_vega = 22;
  sint64 cum_dir_delta = 23;
  Decimal net_call_premium = 25;
  Decimal net_put_premium = 26;
  Decimal call_premium_bid_side = 28;
  Decimal put_premium_bid_side = 29;
  Decimal call_premium_ask_side = 30;
  Decimal put_premium_ask_side = 31;
  optional int64 prev_call_volume = 32;
  optional int64 prev_put_volume = 33;
}

Fields

call_volume int64 1

Call option contracts traded on the parent state date.

put_volume int64 2

Put option contracts traded on the parent state date.

call_premium Decimal 3

Total call option premium in US dollars on the parent state date.

put_premium Decimal 4

Total put option premium in US dollars on the parent state date.

bearish_premium Decimal 5

Bearish premium in US dollars. This is call bid-side premium plus put ask-side premium. Mid-side and unclassified trades are excluded.

bullish_premium Decimal 6

Bullish premium in US dollars. This is call ask-side premium plus put bid-side premium. Mid-side and unclassified trades are excluded.

avg_3_day_call_volume Decimal 7

Arithmetic mean call contract volume over up to the three most recent earlier stored state dates. The parent state date is excluded.

avg_3_day_put_volume Decimal 8

Arithmetic mean put contract volume over up to the three most recent earlier stored state dates. The parent state date is excluded.

avg_7_day_call_volume Decimal 9

Arithmetic mean call contract volume over up to the seven most recent earlier stored state dates. The parent state date is excluded.

avg_7_day_put_volume Decimal 10

Arithmetic mean put contract volume over up to the seven most recent earlier stored state dates. The parent state date is excluded.

avg_30_day_call_volume Decimal 11

Arithmetic mean call contract volume over up to the 30 most recent earlier stored state dates. The parent state date is excluded.

avg_30_day_put_volume Decimal 12

Arithmetic mean put contract volume over up to the 30 most recent earlier stored state dates. The parent state date is excluded.

call_volume_ask_side int64 13

Call option contracts classified on the ask side.

call_volume_bid_side int64 14

Call option contracts classified on the bid side.

put_volume_ask_side int64 15

Put option contracts classified on the ask side.

put_volume_bid_side int64 16

Put option contracts classified on the bid side.

call_volume_mid_side int64 17

Call option contracts classified between the bid and ask.

put_volume_mid_side int64 18

Put option contracts classified between the bid and ask.

call_premium_mid_side Decimal 19

Call premium in US dollars classified between the bid and ask.

put_premium_mid_side Decimal 20

Put premium in US dollars classified between the bid and ask.

cum_dir_gamma sint64 21

Sum of floor(sign * abs(gamma * contracts * 100)) by trade. Ask-side trades are positive, bid-side trades are negative, and other trades contribute zero.

cum_dir_vega sint64 22

Sum of floor(sign * abs(vega * contracts * 100)) by trade. Ask-side trades are positive, bid-side trades are negative, and other trades contribute zero.

cum_dir_delta sint64 23

Sum of floor(sign * abs(delta * contracts * 100)) by trade. Call ask and put bid trades are positive. Call bid and put ask trades are negative. Other trades contribute zero.

net_call_premium Decimal 25

Net call premium in US dollars. Each contributing trade is capped at 2000000 dollars before ask-side premium is added and bid-side premium is subtracted.

net_put_premium Decimal 26

Net put premium in US dollars. Each contributing trade is capped at 2000000 dollars before ask-side premium is added and bid-side premium is subtracted.

call_premium_bid_side Decimal 28

Call premium in US dollars classified on the bid side.

put_premium_bid_side Decimal 29

Put premium in US dollars classified on the bid side.

call_premium_ask_side Decimal 30

Call premium in US dollars classified on the ask side.

put_premium_ask_side Decimal 31

Put premium in US dollars classified on the ask side.

prev_call_volume int64 optional 32

Call contract volume from the prior available screener state. Absent when no prior option-flow state is available.

prev_put_volume int64 optional 33

Put contract volume from the prior available screener state. Absent when no prior option-flow state is available.