ScanFields

Company Name

Underlying Symbol

Average Call Delta over last 63 trading days

Average Call Gamma over last 63 trading days

Average Call Open Interest over last 63 trading days

Average Call Premium over last 63 trading days

Average Call Vega over last 63 trading days

Average Call Volume over last 63 trading days

Average Calls Between Bid Ask over last 63 trading days

Average Calls On Ask over last 63 trading days

Average Calls On Bid over last 63 trading days

Average Contracts Per Trade

Average Open Interest over last 63 trading days

Average Options Volume over last 63 trading days

Average Otm Calls On Ask over last 63 trading days

Average Otm Calls On Bid over last 63 trading days

Average Otm Puts On Ask over last 63 trading days

Average Otm Puts On Bid over last 63 trading days

Average Put Delta over last 63 trading days

Average Put Gamma over last 63 trading days

Average Put Open Interest over last 63 trading days

Average Put Premium over last 63 trading days

Average Put Vega over last 63 trading days

Average Put Volume over last 63 trading days

Average Puts Between Bid Ask over last 63 trading days

Average Puts On Ask over last 63 trading days

Average Puts On Bid over last 63 trading days

Cumulative Delta position for calls traded <= bid or >= ask. Call deltas traded on the ask count as positive values

Cumulative Gamma position for calls traded at or below the bid

Number of outstanding open call contracts for a given underlying security.

The open interest of all calls for that underlying security as of the prior trading day.

The change in open interest of all calls for that underlying security between the current and prior trading day

The total dollar value of all calls traded at the ask price

Call Volume / Put Volume

The number of call trades executed. For total number of calls contracts traded

Cumulative Vega position for calls traded at or below the bid

Total calls traded today on the underlying.

The volume of total call contracts for a given underlying security traded on the prior trading day.

Call Volume / Call Open Interest (%)

Measures the number of calls that have traded between the bid and ask prices.

Measures the number of calls that have traded at or above the ask price.

Measures the percentage of calls that have traded at the ask price as compared to all calls that have traded.

Measures the number of calls that have traded at or below the bid price.

Measures the percentage of calls that have traded at the bid price as compared to all calls that have traded.

Total option contracts traded today for the underlying

Option Volume / Option Open Interest (%)

Measures the number of out-of-the-money calls that have traded >= ask price.

Measures the percentage of out-of-the-money calls that have traded at or above the ask price as compared to all out-of-the-money calls that have traded.

Measures the number of out-of-the-money calls that have traded <= bid price.

Measures the percentage of out-of-the-money calls that have traded at the bid price as compared to all out-of-the-money calls that have traded.

Measures the number of out-of-the-money puts that have traded >= ask price.

Measures the percentage of out-of-the-money puts that have traded at or above the ask price as compared to all out-of-the-money puts that have traded.

Measures the number of out-of-the-money puts that have traded <= bid price.

Measures the percentage of out-of-the-money puts that have traded at the bid price as compared to all out-of-the-money puts that have traded.

Average Call Volume up to the current time of day. Calculated based on intraday trading volumes over the past 30 trading days.

Average Option Volume up to the current time of day. Calculated based on intraday trading volumes over the past 30 trading days.

Average Put Volume up to the current time of day. Calculated based on intraday trading volumes over the past 30 trading days.

Average Underlying Volume up to the current time of day. Calculated based on intraday trading volumes over the past 30 trading days.

Option Volume / Average Option Volume (%)

Call Volume / Average Option Volume (%)

Put Volume / Average Option Volume (%)

Call Volume / Partial Day Average Call Volume

Option Volume / Partial Day Average Option Volume

Put Volume / Partial Day Average Put Volume

Underlying Volume / Partial Day Average Underlying Volume

Put Volume / Call Volume

Cumulative Delta position for puts traded <= bid or >= ask. Put deltas traded on the ask count as negative values

Cumulative Gamma position for puts traded at or below the bid

Number of outstanding put contracts for a given underlying security.

The open interest of all puts for that underlying security as of the prior trading day.

Percentage change in put open interest from one day ago to today.

Total dollar value of all puts traded at the ask

The number of put trades executed. For total number of put contracts traded

Cumulative Vega position for puts traded at or below the bid

Total puts traded today on the underlying.

Total put volume for the prior trading day.

Put Volume / Put Open Interest (%)

Measures the number of puts that have traded between the bid and ask price.

Measures the number of puts that have traded at or above the ask price.

Measures the percentage of puts that have traded at the ask price as compared to all puts that have traded.

Measures the number of puts that have traded at the bid price.

Measures the percentage of puts that have traded at the bid price as compared to all puts that have traded.

Total call volume over the past three trading days.

Total call volume over the past five trading days.

Sum Call Volume Last 2D

Sum Call Volume Last 4D

Total put volume over the past three trading days.

Total put volume over the past five trading days.

Sum Put Volume Last 2D

Sum Put Volume Last 4D

The total number of outstanding open option contracts for a given underlying security.

The change in open interest of all options for that underlying security between the current and prior trading day

Total Option Trades On The Day

52 Week High

52 Week Low

(Last Price - 52 Week Low) / (52 Week High - 52 Week Low).

Close Price

High Price Today.

(Implied Midpoint - Close Price) / Close Price (%)

Underlying ask implied from the underlying's option prices

Implied underlying ask size

Underlying bid implied from the underlying's option prices

Implied underlying bid size

Underlying mid implied from the underlying's option prices

Last Price.

Last Price - Close Price.

Low Price Today.

Open Price.

(Last Price - Close Price)/Close Price (%).

(Last Price - Open Price)/Open Price (%)

Last Price - Open Price.

Last Price relative rank compared to 1 yr of daily observations.

(Last Price - Close Price)/(One Day Standard Deviation*Close Price / 100).

Average Historical Earnings Move

Average Implied Earnings Move

Days After Earnings

Days Until Next Dividend Date

Days To Next Earnings Date

Post-earnings volatility implied from expiry1_volatility and expiry2_volatility

Stock price move implied from expiry1_volatility and expiry2_volatility

Last Earnings Date

Last Earnings Time Of Day

Next Dividend Amount

Next Dividend Date

Next Earnings Date

Next Earnings Status

Next Earnings Time

The average volume of the underlying security over the last 63 trading days (approximately 3 months).

Underlying Volume / Average Underlying Volume(%)

Underlying Volume

Volume-weighted average price is the ratio of the dollar value traded to the total volume traded for an underlying security over one day.

Average IV30 over the last 63 trading days

HV10 is the historical volatility of the underlying security over the last 10 trading days.

HV180 is the historical volatility of the underlying security over the last 180 trading days.

HV20 is the historical volatility of the underlying security over the last 20 trading days.

HV30 is the historical volatility of the underlying security over the last 30 trading days.

The 30-day historical volatility of an underlying security at the close of the prior trading day.

The 30-day historical volatility of an underlying security at the close of trading three trading days earlier.

The 30-day historical volatility of an underlying security at the close of trading five trading days earlier.

(HV30 - HV30 52 Week Low) / (HV30 52 Week High - HV30 52 Week Low)

HV30 relative rank compared to 1 yr of daily observations.

HV30 1 week ago.

HV360 is the historical volatility of the underlying security over the last 360 trading days.

HV60 is the historical volatility of the underlying security over the last 60 trading days.

The 60-day historical volatility of an underlying security at the close of the prior trading day.

The 60-day historical volatility of an underlying security at the close of trading three trading days earlier.

The 60-day historical volatility of an underlying security at the close of trading five trading days earlier.

HV90 is the historical volatility of the underlying security over the last 90 trading days.

The 90-day historical volatility of an underlying security at the close of the prior trading day.

The 90-day historical volatility of an underlying security at the close of trading three trading days earlier.

The 90-day historical volatility of an underlying security at the close of trading five trading days earlier.

Volatility of the hypothetical 180-calendar-day option. It's a weighted average of surrounding two expiries and 2 strikes surrounding ATM.

IV180 One Day Close

Volatility of the hypothetical 30-calendar-day option. Weighted average of the two surrounding monthly expiries

The 30-day implied volatility of an underlying security at the close of the prior trading day.

IV30 Three Day Change

The 30-day implied volatility of an underlying security at the close of trading three trading days earlier.

The highest value of IV30 over the past 52 weeks.

The lowest value of IV30 over the past 52 weeks.

The change in the 30-day implied volatility of an option since the close of trading five days earlier.

The 30-day implied volatility at the close of trading five trading days earlier.

The change in the 30-day implied volatility of an option since the prior days close.

IV30 1-Month Close

The IV30 value at the start of the current day's trading.

Change in the IV30 measured as a percentage of the prior IV30 close.

(IV30 - IV30 52 Week Low) / (IV30 52 Week High - IV30 52 Week Low)

IV30 relative rank compared to 1 yr of daily observations.

IV30 1-Week Close

IV360 is a measure of the volatility of the hypothetical 360-day (calendar days) option. It's a weighted average of two months and several strikes used to compute a volatility index for each stock

IV360 One Day Close

IV60 is a measure of the volatility of the hypothetical 60-day (calendar days) option. It's a weighted average of two months and several strikes used to compute a volatility index for each stock

The 60-day implied volatility of an underlying security at the close of the prior trading day.

The 60-day implied volatility of an underlying security at the close of trading three trading days earlier.

The change in the 60-day implied volatility of an option since the close five trading days earlier.

The 60-day implied volatility of an underlying security at the close of trading five trading days earlier.

The change in the IV60 since the prior close.

Change in the IV60 measured as a percentage of the prior IV60 close.

Compares the current implied 60-day volatility (IV60) for the underlying security to the IV60 high and low points over the past year. The higher the number

IV60 relative rank compared to 1 yr of daily observations.

IV90 is a measure of the volatility of the hypothetical 90-day (calendar days) option. It's a weighted average of two months and several strikes used to compute a volatility index for each stock

The 90-day implied volatility of an underlying security at the close of the prior trading day.

The 90-day implied volatility of an underlying security at the close of trading three trading days earlier.

The change in the IV90 since the close five trading days earlier.

The 90-day implied volatility of an underlying security at the close of trading five trading days earlier.

The change in the IV90 since the prior close.

Change in the IV90 measured as a percentage of the prior IV90 close.

Compares the current implied 90-day volatility (IV90) for the underlying security to the IV90 high and low points over the past year. The higher the number

IV90 relative rank compared to 1 yr of daily observations.

IV30 / sqrt(365)

IV30 / Average IV30 (%)

The implied volatility of a weighted basket of the contracts in the first month of expiration.

The change in the implied volatility of a weighted basket of contracts in the first month expiration.

Expiry1 IV 1-Day Close

The percentage change in implied volatility of a weighted basket of contracts in the first month of expiration.

Expiry1 IV 1-Week Close

The implied volatility of a weighted basket of the contracts in the second month of expiration.

The change in the implied volatility of a weighted basket of contracts in the second month expiration.

Expiry2 IV 1-Day Close

The percentage change in implied volatility of a weighted basket of contracts in the second month of expiration.

Expiry2 IV 1-Week Close

The implied volatility of a weighted basket of the contracts in the third month of expiration.

The change in the implied volatility of a weighted basket of contracts in the third month expiration.

The percentage change in implied volatility of a weighted basket of contracts in the third month of expiration.

The implied volatility of a weighted basket of the contracts in the fourth month of expiration.

The implied volatility of a weighted basket of the contracts in the fifth month of expiration.

The implied volatility of a weighted basket of the contracts in the sixth month of expiration.

The implied volatility of a weighted basket of the contracts in the seventh month of expiration.

The implied volatility of a weighted basket of the contracts in the eighth month of expiration.

hv180 - iv30

hv180 - iv60

IV30 HV30 Ratio

iv30 - hv10

iv30 - hv20

iv30 - hv30

iv30 - iv60

iv30 - iv90

iv360 - hv360

IV60 HV60 Ratio

iv60 - hv10

iv60 - hv20

iv60 - hv30

iv60 - hv60

iv60 - iv90

iv90 - hv10

iv90 - hv20

iv90 - hv30

iv90 - hv90

Expiry1 IV / Expiry2 IV

Expiry1 IV / Expiry3 IV

Expiry1 IV - Expiry2 IV

Expiry1 IV - Expiry3 IV

Expiry1 IV - Expiry4 IV

Expiry2 IV / Expiry3 IV

Expiry2 IV - Expiry3 IV

Expiry2 IV - Expiry4 IV

Expiry3 IV - Expiry4 IV

Expiry4 IV - Expiry5 IV

Expiry5 IV - Expiry6 IV

Expiry6 IV - Expiry7 IV

Expiry7 IV - Expiry8 IV