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Duration: 4:07

Level: Intermediate

Many traders like to watch for changes in implied volatility, option volume or open interest to gauge prospects for stock prices.

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Study Notes:

There are many option-related data points in IB’s Trader Workstation or TWS, which is a really helpful feature when it comes to monitoring option activity. Many traders like to watch for changes in implied volatility, option volume or open interest to gauge prospects for stock prices.

In Mosaic use the monitor panel to build a new scanner. Click on the double arrowhead and choose Mosaic Market Scanner. Before we build a new scan, let’s look at a few samples saved here in my Library.

For example: this one displays option volume for stocks in the utility sector. This scanner sorts the universe by percentage change on the day and lists implied volatility. The ranking also allows the user to compare daily option volume against a reading of average option volume over time.

And this one was created to look for option volume among the residential and commercial building industry across several US exchanges. The universe is ranked by Option Open Interest – the number of open positions in the name – while displaying the ratio of put-to-call open interest, option volume and the latest implied volatility reading. Notice also that this scan incorporates a graphical display of current session option volume and implied volatility. This may make it easier to spot heavy volume or stand out levels of volatility.

Mosaic also offers several predefined scanners – for example, High Option Volume …or relatively high implied volatility (IV) versus historical volatility (HV).

To create a market scanner of your own, click on the double arrowhead and again choose Mosaic Market Scanner. Under My Scanners select Create new custom scan and give it a unique name. To build an option scan, select Stock. I will use US and narrow the list of exchanges to just the NYSE for this example. I will use All Sectors, but do note that you may use the Filter by Industry to include or exclude relevant data.

Next, click on the Fields & Filters button to determine what the scanner will display per company. To get to relevant options information, click on the Add field dropdown menu and locate options and click the expand menu. Use the scroll to the right to review the menu items.

Review and select from the list of available items and you will note there are two notations – F for filter and S for sort. These denote how the information may be displayed or ranked in your scanner. Hover over a field to learn more.

Click Done when you have made your selections. Next, determine which column to sort by. Here I will use Option Volume and rank from High to Low. Note that if you use the Filter to the right, you will be able to determine thresholds for minimum and maximum option volume – or alternative filters if you choose.

Notice how the default view in the Display column reads Values. If I select IV Last, for example, and select Line from the list, see how the information is now graphically displayed rather than simply its reading. Selecting Values & Line will keep the reading for IV displayed on screen. Select Value and Bar for options volume to add this view to the display. For Put/Call volume, try Value and Gradient – hover over any button in the ranking to find the ratio of put-to-call option volume.

You can create and save as many custom scanners as you wish and figure out exactly what display method is most appealing to meet your needs.

Mosaic Market Scanners


Disclosure: Interactive Brokers

The analysis in this material is provided for information only and is not and should not be construed as an offer to sell or the solicitation of an offer to buy any security. To the extent that this material discusses general market activity, industry or sector trends or other broad-based economic or political conditions, it should not be construed as research or investment advice. To the extent that it includes references to specific securities, commodities, currencies, or other instruments, those references do not constitute a recommendation by IBKR to buy, sell or hold such investments. This material does not and is not intended to take into account the particular financial conditions, investment objectives or requirements of individual customers. Before acting on this material, you should consider whether it is suitable for your particular circumstances and, as necessary, seek professional advice.

Supporting documentation for any claims and statistical information will be provided upon request.

Any stock, options or futures symbols displayed are for illustrative purposes only and are not intended to portray recommendations.

Disclosure: Stock Symbols

Any stock, options or futures symbols displayed are for illustrative purposes only and are not intended to portray recommendations.

Disclosure: Options Trading

Options involve risk and are not suitable for all investors. For more information read the “Characteristics and Risks of Standardized Options” also known as the options disclosure document (ODD). To receive a copy of the ODD call 312-542-6901 or click here. Multiple leg strategies, including spreads, will incur multiple commission charges.

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