Quote:
I have not looked at these signals for stocks. I would find large single block trades interesting (someone buying 100,000 shares or similar), but whether these are people buying in, getting out of shorts, or playing them as part of a synthetic trade with options, who knows. It's a little more clear cut with options--with the added knowledge of the open interest, I have a much better sense of whether the volume is people getting in or out.

One other thought--trades may be parts of a pair or a hedge, so be careful there too. An option example from yesterday--someone bought a HUUUGE number of out of the money QQQQ calls for .05 each. I believe someone was playing MSFT earnings positively, but didn't want to buy MSFT stock or calls.

I keep editing this message. :-) One FINAL thought--very large trades will likely be hidden over the course of a day. A few months ago when someone dumped a couple million shares of XOM in one lump, it was due to a brokerage liquidation, not someone actually being bearish on the stock. There are tons of vendors out there who will slowly "leak" huge trades into the market to prevent unfavorable price movements. So, I'd be surprised if the big guys really are that visible.
Edited by FullyArticulate on Apr 28, 2006 at 03:55 PM
--- Original message by FullyArticulate on Apr 28, 2006 03:45 PM

Quote: It's my own program built on top of IQFeed (IQfeed provides the data, I chart, track portfolio, etc and use IB for trading). Eventually, I'd like to offer it commercially, but it needs some more polishing first. :-)

At the moment, I'm generating 5 stats (which I've made up):
Bull % = What percent of trades went off at > (bid+ask)/2
Bull Pwr = Bullishness * contracts traded (Bullishness is % between bid & ask the trade went)
Volume Pwr = Volume Today / Open Interest
Bear %
Bear Pwr

You can find some extremely unusual options activity with these stats. For example, you'll see cases where 20x the open interest trades in a single day, and 95%+ were traded at the ask. *Thats* interesting. :-)

There may be more useful stats. For example, I was thinking Bullishness should be -1 if the trade went off at the bid, and +1 if it wen't off at the ask (rather then 0 to +1 now). I need more experimenting.
Edited by FullyArticulate on Apr 28, 2006 at 03:06 PM
--- Original message by FullyArticulate on Apr 28, 2006 03:05 PM

Quote: I just added this capability to my program. By retrieving the day's worth of tick data (or continually monitoring it by watching the symbol), you can keep a tally of this.

I'm using it with options to measure whether there was buying or selling pressure at a particular strike. Ocasionally, you'll see a bizarre strike get lots of volume--by looking at whether the bid or ask was hit you can gain some insight into what the "big guys" are doing.
Edited by FullyArticulate on Apr 27, 2006 at 08:01 PM
--- Original message by FullyArticulate on Apr 27, 2006 08:00 PM

Quote: There are several macro utilities available via the internet if you do a search, many have free demos for you to try them out and see if they meet your needs.
--- Original message by DTN_Tim Walter on Apr 25, 2006 12:42 PM