Part 11: Index Options Who's in the game?

SISCO'sOption World: Specific statistics and details for each individual contract month

The Option Clearing Corporation (OCC) releases a daily summary of the previous day's volume. This summary provides investors with information regarding who's trading options. The OCC divides all trades into one of three groups: Customers, Market Makers, and Firms. The Customers group represent all of the retail investors while the Market Makers represent the exchange members. The last group, Firms, represent large brokerhouses and large individual traders. 

The graphs shown below were created so that you can see who's trading and how much they are trading. The manner in which these characteristics are presented is the same for all 5 index options. Each symbol has seven graphs that attempts to identify who's in the game?

Z Indicator

Before you view the charts, an explanation of our Z-score indicator is needed. A quick summary of how this indicator is constructed is as follows. 1. The moving quarterly average of the daily total volume is computed. 2. The moving quarterly average standard deviation is also computed. 3. The daily difference between the day's total volume and the moving quarterly average is determined. 4. The daily z-score is computed by dividing the daily difference with the moving quarterly average of the standard deviation. 5. A six or 21 day simple moving average of the z-scores is used as the oscillator. For more details regarding these computations please click on the following link: NYSE TICK.

Legend

Graph 1	Price and raw daily total option volume.
Graph 2	The Z-score indicator for total daily volume. This shows you how extreme the daily total volume was relative to the underlying index. Large peaks indicator above average volume and low values indicator decreased trading activity.
Graph 3	Shows the raw volume grouping data in percentages. Each group's daily trading volume is converted into a percentage of the total trading volume. So the total of the three percentages equals 100%. From this you can see the relationship of each of the three groups to each other and you can look for correlations between the level of activity and the underlying index.
Graph 4	An oscillator is created using the daily volumes of each of the three groups. The same information that is used in graph 2 is used here except that it is smoothed by a six day moving sum of each groups daily total volume. Each groups six day total volume is computed and is converted into a percentage of the six day moving sum total volume. This graph eliminates the wild daily gyrations in volume and shows you the trends in trading activity.
Graph 5	The 6 day z-score indicator of the customers daily volume. Now you can see when the retail option investors are interested in trading options. Large peaks indicate above average activity and low levels indicate below average trading interest. This graph also includes a Market Maker (MM) to Customer volume ratio. Peaks indicate more MM trading and low values indicate more Customer trading.
Graph 6	The 6 day z-score indicator of the Market Makers (MM) daily volume. Now you can see when the exchange members are heavily trading options. Large peaks indicate above average activity and low levels indicate below average volume. This graph so includes a Firm to Market Maker (MM) volume ratio. Peaks indicate more Firm trading and low values indicate more MM trading.
Graph 7	The 6 day z-score indicator of the Firms daily volume. Now you can see when the large brokerhouses are interested in trading options. Large peaks indicate above average activity and low levels indicate below average volume. This graph also includes a Firm to Customer volume ratio. Peaks indicate more Firm trading and low values indicate more Customer trading.

Graph #	SPX	OEX	DJX	NDX	XAU
Graph 1
Graph 2
Graph 3
Graph 4
Graph 5
Graph 6
Graph 7

created 10/3/03, ©2003 The Small Investors Software Co. All rights Reserved.