list of high liquidity Optionable stocks/ETFs

Discussion in 'Options' started by cdcaveman, Feb 15, 2013.

  1. i'm trying to create a list to scan from.. any ideas of how to "define" liquidity.. Obviously every optionable stock doesn't make sense to scan.. i'll let you know my first thoughts..

    idea 1
    constitutients of major indicies... generally these are going to be the larger capitalization wise.. as thats how they end up there..

    sp500..


    i thought about going through these indicies and pulling out the optionables, and then refining from there..

    https://www.djindexes.com/totalstockmarket/

    idea 2
    take the entire list of optionable stocks.. and look at some highest volume by dollar instead of by contract.....
     
  2. what about the the bid/ask spread in implies instead of dollars?

    obviously the simpler the better.. i'm not even sure how i would aggregate the spread in vols across a large set of symbols...
     
  3. do you do all this in excel? or do you write code?
     
  4. very interesting... time between trades/volume ... makes sense as the ability to post a spread is a function of flow and consistancy of flow.. (volume)

    "To summarize, there is a direct price level effect in the dollar bid-ask spread of options, and as
    such if the spread is to be used as a measure of option liquidity, the spread relative to the midprice is a candidate measure of such liquidity. It is, however, very important to note that the
    option price level is but one of a host of factors influencing the dollar bid-ask spread. To the
    extent the non-price factors do not share the same pattern as the option price, scaling the dollar
    spread by the mid-price may not reveal the true pattern of relative liquidity. For example,
    higher contract volume and less time between trades improve option liquidity (negative
    marginal influence on dollar spread), and it is empirically well-known that the lower priced
    options (at the money and out of the money, shorter maturity) are much more liquid according
    to these metrics than the higher priced options (in the money, longer maturity). The price effect
    may still dominate the determination of dollar bid-ask spread and as such remains a viable
    scaling factor. Unfortunately, however, it will yield a liquidity pattern exactly opposite to the one
    based on volume and time between trades. "

    http://people.mcgill.ca/files/mohammed.chaudhury/OptionBidAskSpreadFeb2811.pdf
     
  5. Ya excel probably... but idk.
    Take the list...make a field for trade frequency / volume
    And then sort

    The list and the attributes I'll have to figure out how to come by

    Use EOD data from somewhere....
     
  6. Put call volume
    Open interest

    For your size virtually every option chain is liquid
     
  7. What exactly are you looking for that can't be obtained from the TWS Scanner?

    As noted, for our size everything is liquid enough so I define liquidity as enough activity to gobble up my spreads double quick time. I don't want something relatively inactive where I have to wait an hour for my spread to fill.
     
  8. all else being equal the higher a volume a stock has the higher volume its options will have. generally if you stick to options w/ stocks trading over 1 million shares a day you're fine.

    also there are a lot of stocks w/ penny spreads so that def helps.

    a way to screen for high volume optionable stocks is to use finviz

    http://finviz.com/

    here is a list of the highest volume options for any one day

    http://finance.yahoo.com/options/lists/

    here is a list for a month from the cboe

    http://www.cboe.com/data/AvgDailyVolArchive.aspx
     
  9. regardless of my size i've learned alot researching it.. mostly i agree with you.. but obviously there is some threshold.. round trips get costly in very low liquidity options on stocks... i don't dismiss my interesting in researching it.. i think theres alot of value in some of the things i've found

    i started this question..

    http://quant.stackexchange.com/ques...quidity-in-equity-index-and-etf-options/7298#

    seems like common sense..
    even though this isn't dirty enough for me to get quick rough results and then use the upper end of results..
    meaning i just want a simple metric to sort by then select a range of results on the higher end..

    http://www.optionsclearing.com/market-data/batch-processing.jsp

    query the data straight from OCC to your sheets..

    or use there interface..

    http://www.optionsclearing.com/webapps/volume-query