Unusual Options Activity: Volume vs Average and Open Interest

Unusual options activity is option trading that is large compared with what is normal for a security. Common measures are volume against its own average, and contracts trading more than their open interest. Vyreon measures both, in aggregate. It describes how much activity occurred and where it concentrated, not which way anyone is betting.

What Counts As Unusual Options Activity?

There is no single standard. Scanners flag measures such as:

• Volume vs average: total option volume today against a recent typical day.
• Volume above open interest: a contract trades more contracts than were open at the start of the day. Some of that trading must have opened new positions, because there were not enough existing ones to close.
• Turnover: volume compared with open interest across the whole chain.

How Vyreon Measures It

Options volume vs its normal level

• Today vs 21-session average: total option contracts traded today, divided by the average of the previous 21 trading sessions (today excluded). It needs at least 17 of those sessions. 1.0 is a typical day and 2.0 is twice the usual activity.
• Turnover: today's volume divided by open interest at the start of the day (the previous close's open interest).
• Own-history percentile: the share of the previous 126 or 252 sessions with lower volume.

Contracts trading above their open interest

• Flagged contracts: contracts expiring after today whose volume exceeded their start-of-day open interest, with at least 100 contracts traded.
• Reported in aggregate: the number of flagged contracts, their volume, their share of all volume in contracts expiring after today, and calls' share of that volume.
• Where it concentrated: shares of flagged volume by days to expiry (1–7, 8–30, 31–90, 91+) and by moneyness (in the money; at the money within ±2%; 2–10% out of the money; more than 10% out of the money).
• Small groups withheld: no figure reveals fewer than 3 flagged contracts. A group with 1 or 2 is not shown, and neither is the next-smallest group, so the hidden one cannot be worked out by subtraction. When only 1 or 2 contracts are flagged in total, the totals are withheld too. Individual contracts are never listed.
• Same-day expiries are excluded. On busy index ETFs most same-day contracts trade above their overnight open interest as a matter of routine, which would swamp the measure. They are covered separately under 0DTE options.

Illustrative example: a security trades 2.5 times its 21-session average. Flagged contracts make up 30% of volume in contracts expiring after today, and 70% of that flagged volume sits in 8–30-day, 2–10% out-of-the-money contracts. That describes a concentrated burst of new short-dated activity away from the current price. It does not say whether those options were bought or sold.

Is Unusual Options Activity Bullish Or Bearish?

Not by itself. Volume does not reveal which side initiated a trade. A large call print can be a buyer, a seller writing covered calls, or one leg of a spread whose other leg is a put. "Unusual" activity can also be routine hedging, position rolls before expiry, or trading around a scheduled event. Flagged volume is consistent with new positions, but it does not show their direction or show that the traders had information.

What It Does Not Tell You

• It does not show who traded, which side they took, or why.
• It is not a forecast and not a signal of informed trading.
• Volume above open interest shows that some positions were opened, not that all of them were.
• Open interest for the day is published the next morning, so whether positions stayed open is visible only in the next session's open interest.

Related: open interest · put/call ratio · 0DTE options · relative volume

Sources

• David Easley, Maureen O'Hara and P. S. Srinivas, "Option Volume and Stock Prices: Evidence on Where Informed Traders Trade", Journal of Finance (1998).
• Jun Pan and Allen M. Poteshman, "The Information in Option Volume for Future Stock Prices", Review of Financial Studies (2006): built put/call ratios from non-public exchange data on buyer-initiated trades that opened new positions, and attributed the predictability they found to non-public information held by option traders. Vyreon's counts are public totals that do not separate buyers, sellers or opening trades.

There is no standard definition of unusual options activity; the thresholds used by scanners, and by Vyreon, are choices.