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Total Posts: 93
Joined: Sep 2007
Posted: 2019-01-21 13:06
Good morning,

Just playing with option liquidity, I've looked into the average volume and open interest in the US Equity markets.
Index: {SPX, SPY, ES}, {NDX, QQQ and NQ}
Single names: OEX and SPX Constituents

Looking at the volumes does not change much, the SPX group is 82% (NDX 3%) and single names represents 15%.

Now what surprised me the most is the following:

Techs numbers are massive with top 3 : Amazon: 5.2%, Apple@ 1.3% and Netflix 1.1%. Those three represents 50% of volume on single names. (note that TSLA is 4th is despite being smaller cap). Two first non-tech names are Boeing 10th and BofA 11th.

This seems disproportionate. Anybody knows why?


Total Posts: 1509
Joined: Jun 2004
Posted: 2019-01-21 16:50
First, what are you measuring it in - contracts, dollars of notional, dollars of vega/rtvega etc? Then, what period are you looking at?

PS. Also, are you ignoring the rest, such as EEM, EFA or IWM?

I don't interest myself in 'why?'. I think more often in terms of 'when?'...sometimes 'where?'. And always how much?'


Total Posts: 93
Joined: Sep 2007
Posted: 2019-01-22 13:07
I used the 20 day average volume (today) x mult. x spot and as an alternative the open interest x mult. x spot (so that's across all striked / expiry) => basically $ notional

My focus was on single stocks but I checked SPX and co. to have an order of magnitude. I also checked the NDX give all those high volume names are on Nasdaq.

Just surprise that AMZN represents 36% of the notional traded in single stocks over the last the 20 days. It is not something new (therefore has nothing to with earning)

Was just curious to understand what are the flows in single stock US (always possible I've done somthing stupid in my calculation
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