ANOTHER Full Breakdown of Unusual Whales Interval Flow Filters — Transcript

Full transcript

1. 0:05hey everyone Nicholas from the unusual
2. 0:06whales team here and in this video we
3. 0:08are going to build another interval flow
4. 0:11filter to help you understand what each
5. 0:14of the criteria utiliz control and how
6. 0:17you can build your very own filter to
7. 0:19track trades grouped Within These set
8. 0:22time intervals now interval flow is
9. 0:25another iteration of the flow feed only
10. 0:28transactions are grouped into set time
11. 0:32intervals contracts that show up in this
12. 0:35feed must meet all of our criteria over
13. 0:38here in our filters and must do so all
14. 0:41within that set time interval interval
15. 0:44flow defaults to 5 minute intervals and
16. 0:48that's the time frame that we're going
17. 0:49to use for this specific filter now for
18. 0:52the filter that we're building in this
19. 0:54video we're going to focus on ask side
20. 0:57transactions that hit the tape with
21. 1:00within a 5 minute interval and we're
22. 1:03going to be looking for flow that
23. 1:04indicates opening trades now like I said
24. 1:08this filter is going to focus on a f
25. 1:10minute interval so anything that falls
26. 1:13outside of these five minutes be a 10
27. 1:16minutes or 15 minutes they will not show
28. 1:18up in this filter now to start us off
29. 1:22for the equity type I'm going to
30. 1:25eliminate ETFs and indices the reason
31. 1:28for this is I'm looking for indiv idual
32. 1:30names and ETFs and indices can get
33. 1:32really noisy so I want to cut out some
34. 1:35of that noise by limiting what we're
35. 1:36looking for specifically to individual
36. 1:40tickers for the option type I'm going to
37. 1:43keep both calls and puts on we want to
38. 1:47see both types of contract because this
39. 1:50filter isn't for an overall directional
40. 1:52bias we're looking for individual names
41. 1:54and contracts here for your own custom
42. 1:56filters that you might build down the
43. 1:58road you can adjust any of these
44. 2:00criteria to your liking but for this one
45. 2:03we're not concerned about directional
46. 2:04bias we want all of it we also want to
47. 2:07see companies that lie in all sectors
48. 2:11and we want to see all contracts across
49. 2:12all expiration dates so I'm going to
50. 2:14leave both of these criteria completely
51. 2:17blank now if it's something that you
52. 2:19want to do for your filters you can
53. 2:21limit this down to just basic materials
54. 2:23energy Financial Services really any
55. 2:26sector that you're interested in having
56. 2:27a filter for but again for this one
57. 2:29we'll leave that blank all right now
58. 2:31we're going to get right into the thick
59. 2:33of it by going through the individual
60. 2:35criteria under interval activity for
61. 2:38this five minute time span all contracts
62. 2:41in order to hit this feed must meet all
63. 2:43criteria that we're about to set here
64. 2:46the top criteria option here percent
65. 2:48total volume restricts the feed to only
66. 2:51fire when the transactions within that 5
67. 2:53minute interval total a certain
68. 2:56percentage of the contract's total daily
69. 2:58volume I'm leaving this blank for this
70. 3:02filter but if for instance you want a f
71. 3:04minute interval to account for 50% of
72. 3:07the total daily volume you can achieve
73. 3:09that by adding 0.5 here at the minimum
74. 3:12on the left hand side to indicate 50% of
75. 3:16that contract's total volume falling
76. 3:18within our 5minute interval volume will
77. 3:21also leave blank because I'm not
78. 3:22terribly concerned with size here we'll
79. 3:24address that slightly in a filter
80. 3:26criteria later on the volume oi field
81. 3:30tracks the ratio between the day's total
82. 3:33volume and the total open interest
83. 3:36already outstanding now since we're
84. 3:38looking for newly open trades I do want
85. 3:41to have the volume transacted today be
86. 3:44higher than the open interest so I'm
87. 3:46going to put here
88. 3:481.05 this will ensure that the total
89. 3:51volume transacted today is at least
90. 3:57105% of the total open interest this
91. 4:00isn't going to guarantee new positioning
92. 4:03because technically that 100% could be
93. 4:05closure of the open interest but it does
94. 4:08give us a little bit more insight to the
95. 4:10day's total traded volume and we can
96. 4:12kind of use context clues from there to
97. 4:15deduce the likelihood of any positional
98. 4:17closure but at least we'll know we have
99. 4:19more volume than open interest the
100. 4:22average fill is exactly what it sounds
101. 4:24like it's the average price at which the
102. 4:26contracts within that 5-minute interval
103. 4:28transacted this one I'm going to leave
104. 4:30blank as well ask percent dictates what
105. 4:34percentage of the interval transactions
106. 4:35filled at or near ask price since this
107. 4:38filter's targeting ask side to open
108. 4:41transactions I want a good portion of
109. 4:43those transactions to fill around that
110. 4:47ask price I'm going to set this to
111. 4:500.7 which will represent a minimum of
112. 4:5370% of all transactions within that
113. 4:56interval filling at or near the
114. 5:01ask now in this filter we want to have
115. 5:04clean ask side likely opening flow but
116. 5:07that doesn't mean I want to completely
117. 5:08eliminate all multile transactions but I
118. 5:11do want to limit what percentage of
119. 5:13transactions filled as a multile and to
120. 5:17do that I'll enter
121. 5:180.3 into the maximum side on the right
122. 5:22of percent multi what this is going to
123. 5:24do is it's going to limit the number of
124. 5:27contracts transacted with in that time
125. 5:30interval that were transacted as a
126. 5:31multi-leg trade to 30% or less since I'm
127. 5:36not too concerned about what type of
128. 5:39trade has transpired I'm going to leave
129. 5:41percent sweep and percent floor blank
130. 5:44you can learn more about what those two
131. 5:46terms mean and what that type of trade
132. 5:49is by going to the unusual Wales FAQ for
133. 5:52premium I do want to have a minimum here
134. 5:54I don't want to catch every little
135. 5:56Whisper of transaction that comes
136. 5:58through I want there to be some kind of
137. 6:01Premium there I won't have a maximum
138. 6:04value because I don't want to limit how
139. 6:07much premium there is but I do want to
140. 6:09have a minimum so here within a 5 minute
141. 6:12interval I'm going to add
142. 6:15$100,000 in net premium percent otm
143. 6:19stands for percentage out of the money
144. 6:22which is this column right here which
145. 6:24tells you how far out of the money from
146. 6:27the ticker spot price the strike of the
147. 6:30contract sits I don't mind seeing really
148. 6:33outof the- money contracts so I'm just
149. 6:36going to leave this one blank below that
150. 6:38are the last set of criteria for this
151. 6:40filter while I'm not concerned about how
152. 6:42far out of the money a contract is I am
153. 6:46going to toggle exclude in the money
154. 6:49because I don't want to see contracts
155. 6:50that are already in the money especially
156. 6:52large transactions on deep in the money
157. 6:55contracts that might be part of some
158. 6:57kind of arbitrage strategy that's really
159. 6:59hard to read so for this specific filter
160. 7:02we'll just weed all of that out the top
161. 7:05two sliders interval volume greater than
162. 7:07open interest and total volume greater
163. 7:09than open interest I'm going to toggle
164. 7:11on because as I mentioned earlier I want
165. 7:15these to indicate opening trades and the
166. 7:18only way for that to be likely or at
167. 7:22times guaranteed is if the volume is
168. 7:25greater than open interest I'd prefer to
169. 7:27see this happen with in our 5 minute
170. 7:31interval and so for this filter I'm
171. 7:33going to toggle both of those for the
172. 7:36chain activity filters DTE is blank
173. 7:40because I'm not looking for transactions
174. 7:42focusing on a set time frame I want all
175. 7:45expirations in this filter open interest
176. 7:48is blank as well I'm not concerned with
177. 7:50how much total open interest there is on
178. 7:52a given contract I'm only interested in
179. 7:54the relationship between volume and open
180. 7:57interest for this filter I just want to
181. 7:59know that volume is greater than open
182. 8:03interest within our 5 minute interval
183. 8:06and that's just about all there is to
184. 8:07this specific filter here we've got our
185. 8:095 minute interval we have no
186. 8:12restrictions on the percentage of total
187. 8:13volume our interval premium is greater
188. 8:17than
189. 8:19100,000 and our total volume is greater
190. 8:23than our open interest and from here we
191. 8:25can kind of navigate and search through
192. 8:27this flow like we always do on our Norm
193. 8:29flow feed and one thing I wanted to
194. 8:31point out just to be on the look for are
195. 8:36examples like this contract for dash the
196. 8:39$170 put expiring on December 13th here
197. 8:42we can see in the interval we do have
198. 8:47greater than 70% ask side transactions
199. 8:51however if we look over to the total
200. 8:54days worth of bid ask transactions it
201. 8:57also shows us that 7 72% of all
202. 9:01transactions on that contract across the
203. 9:03entire day happened at the bid rather
204. 9:06than at the ask so due to that this Dash
205. 9:10contract might not be what we're looking
206. 9:14for on the other hand the $16 contract
207. 9:18for ticker PR expiring May 16th of
208. 9:222025 has a total 5minute interval ask
209. 9:26side transaction of 97% of all contracts
210. 9:30and the total days volume bid ask
211. 9:32transactions
212. 9:33match now we've got a contract we can
213. 9:36maybe take a look at here and just like
214. 9:39the flow feed you can click on the
215. 9:41contract expiration date to pop out the
216. 9:44contract summary for the contract and
217. 9:45see how these transactions occurred here
218. 9:48we see one sizable transaction at 1:20
219. 9:51p.m. central Time and then two more
220. 9:54sizable Taps the first of 840 contracts
221. 9:58and the
222. 10:001336 contracts all at the ask side of
223. 10:04the bid ask Spectrum you can click on
224. 10:06that bar just like in the flow feed and
225. 10:08see where those all transacted we can
226. 10:11see yep ask side ask side ask side all
227. 10:15filling at $1 per contract in a bid ask
228. 10:19spread of 90 to a doll and 90 to 105 it
229. 10:23looks like this also triggered one of
230. 10:24our alerts the repeated hits time and
231. 10:27sales and if that's a contract that
232. 10:29interests you in your strategies you can
233. 10:31save it just like you always do from
234. 10:33your flow feed I have a link to this
235. 10:36exact filter down in the description
236. 10:38should you want to utilize this same one
237. 10:40but I hope it really gives you a good
238. 10:42idea on what these filter criteria mean
239. 10:44and do and how you can build your own
240. 10:47filter you can click through now to the
241. 10:49next video that shows you how you can
242. 10:51set up custom alerts for your interval
243. 10:54flow filters to get push notifications
244. 10:56to your phone every time a contract
245. 10:59meeting your criteria hits this feed