Options Volume - Heat Map

By Craig Bewick
OCT 15 2020

US Stock futures were lower overnight and the cash market opened down substantially from yesterday’s close after a jump in jobless claims was reported this morning.  Despite this and the lack of a stimulus deal, US Equities closed well off of the day’s low levels and the small-cap Russell 2000 was higher on the day.  Implied volatility in the options markets of all four major indexes rose today and in the S&P 500, Dow and Nasdaq is trading near the 3-month, 1-standard deviation move to the upside while the Russell 2000 is trading just above the 3-month average.

Other CME Group market price action was fairly muted today as WTI Crude Oil, Gold and Silver futures prices were near steady.  US Treasuries were down slightly on the long end of the curve, representing small increases in yield.

We’ll take the opportunity to showcase another QuikStrike tool that we haven’t featured in a while – the volume heat map.  The chart below shows the user, in heat map form, which strikes and expirations saw the heaviest volume in the E-mini S&P 500 options today.  Notably, you can see how much volume occurred in the one day options that expires tomorrow, underscoring the popularity of these short dated options products. 

ABOUT THE AUTHOR

Craig Bewick has spent 25 years in futures and options markets, starting at CBOT and CME working in risk management, regulatory, technology, product management and client development. 

After 8.5 years with WH Trading LLC, Craig returned to CME Group as the Director, Client Development and Sales, working to educate and promote futures trading. Craig currently writes for InFocus Options Corner.

Connect with Craig at activetrader@cmegroup.com

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