Understanding filters on Unusual Whales and IVRank

As part of our free weekly educational series

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Hey all,

This is the Unusual Whales Team, and we are going to spend every Wednesday walking you through some trades of the week for free to help your trading!

In today’s issue, we’re going to feature a couple of updates on Unusual Whales that we think you’re going to love. First, two new filter settings in the Chain OI page. Then, a breakdown of our new dynamic search bar update, and a primer on a new data point in our API!

First, on the chain OI changes page, which updates around 6:30 to 6:35 AM Eastern Time, there are two new filters named "consecutive increases."

One of these filters pertains to the days of OI increases, while the other relates to the days with a volume greater than OI. But what does that mean? Let’s dive in. We can set the value temporarily to five days of OI increases to gain a clearer understanding. This value is also reflected in the table, which contains two columns: "days of OI increase" and "days of volume greater OI." 

Essentially, the "days of OI increases" indicates the number of consecutive days that the open interest has risen for this contract. If the open interest decreases or remains unchanged on any given day, the counter resets.

For example, let's consider the SPY contract with a strike price of 385.

This contract has experienced eight consecutive days of OI increases. If we open the contract pop-up, we can observe that for eight days straight, the OI has gone up.

Looking back nine days, we can see that there was no increase in the OI. So, for those eight consecutive days, the OI has been consistently rising for that contract.

This could be significant for anyone trying to identify contracts where a trader may be accumulating a position over several days. However, it’s important to note that a consecutive increase in open interest does not necessarily imply that only one trader is building up a position; it could involve multiple traders. 

Nonetheless, these filters can help you detect if someone might be discreetly amassing a position in anticipation of earnings, news events, or other significant occurrences.

The second filter available is the "consecutive days of volume greater than OI," which means exactly what it sounds like; days in a row where volume transacted was greater than open interest. You can combine these two filters to search for contracts where the volume has consistently exceeded open interest. For this example, we’ll set it to 2 days of volume > OI, alongside daily OI increases for 5 days straight.

Here, we can see several contracts. However, we’ll need to refine our search further to identify some interesting options. For instance, we might want to limit the multi-leg percentage to a maximum of 10%. We could also focus on contracts set to expire within the next 90 days.

Next, let’s exclude ETFs and indices from our results, and limit the results to companies with less than $50 billion in market cap. Additionally, let’s focus solely on out-of-the-money contracts, and set the value to 0.1 to represent 10%.

Now we have a concise list of contracts worth exploring further to see if any stand out. Of course, not every contract will be of interest, but this refined list allows for more in-depth analysis of potentially significant trades. You can find the exact filter described by clicking here.

Moving on to our second feature, we've revamped the search bar on our website. For instance, if we pull up a list of option contracts and are particularly interested in Coinbase, we can easily filter for "coin."

This yields two examples. If we wish to delve deeper into Coinbase, simply typing "coin" in the search bar will provide us with all relevant information. We can see that Coinbase is up 25% year-to-date and that it’s expected to report earnings at the end of the month, with the market pricing in a move of 12.5%. This figure will likely fluctuate as we approach the earnings date. So far this year, insiders have sold approximately 3 million shares. Historically, Coinbase has closed positively 66% of the time in October.

We can navigate through all the relevant pages and find that Coinbase has an IV rank of 63. We can even filter for out-of-the-money options contracts and they’ll be organized directly below.

Notably, one of these contracts was shared in our Discord by Snorlax on October 1st at 8:47 AM. And that’s something you can filter directly for, as well; by typing “flow-discussion” in the search bar, you’ll be met with a chronologically ordered list of contracts that were discussed in the Unusual Whales Discord.

This contract was shared 13 days ago, indicating there may have been some noteworthy trading activity. 

If you want to narrow down the contracts further using the search, for example, if you're interested only in those with at least a 70% skew, you can simply type "0.7 skew," and you'll see all contracts skewed to either the bid or ask side by that percentage. This gives you a quick overview of the available options.

Next, we can select any contract we want to analyze further. By clicking on it, we are directed to the contract page, where we can examine graphs that display volume trends, historical data, and additional contract details.

We can see this all in our search results, directly from the search bar, without ever leaving the current page.

Before we break down the API update, have you ever wanted to take the options data into your own hands? The official Unusual Whales API gives you convenient methods for accessing our data at any level from Market Tide all the way down to individual contracts. We have endpoints for just about everything from open interest to greeks, available as either EOD final values or intraday snapshots.

One API client built the above bar graph visualization for daily option volume, by strike, across all expirations to find interesting activity at-a-glance in their watchlist equities ($OXY in this particular example). The client eventually enhanced this view to include side attribution to specifically look for outsize Put sellers.

From options flow data to congressional and insider trades, our API lets you create what you need. Reach out at https://unusualwhales.com/public-api or email dan@unusualwhales.com for more information!

And finally, we've made some enhancements to our API, introducing institutional endpoints. Through our API, you can now access data on institutional holdings and activities, as well as their sector exposure. With this data, you can essentially recreate the institutional page we have, as seen on our market data institutions section.

For example, you can filter for institutions investing in the biotech sector. Alternatively, if you're interested in specific institutions, you can search for "Buffett" to view Berkshire Hathaway, and see this same data, as well as buying and selling averages, sector exposure, performance versus $SPY, and so much more.

All of this information can be accessed through the Unusual Whales API. If you have any questions about the API, don’t hesitate to reach out via support email or on our Discord. If you're hesitant to purchase an API subscription right away, there’s a trial available. Otherwise, if you have any suggestions, feel free to email us at Unusual Whales. We look forward to hearing from you soon!

Thank you as always for reading! Unusual Whales hosts an educational stream, LIVE, on YouTube EVERY TUESDAY, so be sure to check that out for live, on-screen education for options trading!

NOTE: This post is not financial advice. The stock market is risky, and any trade or investment is expected to have some, or total, loss. Please do research before any trade. Do not use this information for investment decisions. Check terms on site for full terms. Agree to terms before considering this information.