# Options glossary: the tape, translated > Options scanners and trading guides compress a lot of market structure into short labels. This glossary explains each term in plain English, with a worked example in hypothetical numbers and the caveats that keep a label from turning into a misleading signal. - Canonical page: [https://caymanbot.com/glossary](https://caymanbot.com/glossary) - Content type: guide - Last reviewed: 2026-10-07 - Publisher: CaymanBot, LLC ## Quick answer Options scanners and trading guides compress a lot of market structure into short labels. This glossary explains each term in plain English, with a worked example in hypothetical numbers and the caveats that keep a label from turning into a misleading signal. ## Key points - **Trade terms:** Sweeps, blocks, premium, bid and ask execution, spreads and multi-leg orders. - **Contract basics:** Strikes, expiration, exercise, assignment, intrinsic and extrinsic value, and break-even. - **Risk language:** Delta, gamma, theta, vega, IV crush, GEX and why no label proves direction by itself. ## Terms A to Z ### 0DTE An option that expires on the current trading day. With zero days to expiration, its value and risk can change very quickly. 0DTE stands for zero days to expiration. Some index and ETF products, such as SPX, SPY and QQQ options, list an expiration every trading day, so there is always a contract expiring that day. With almost no time value left, a 0DTE option’s price is driven mainly by where the underlying sits relative to the strike, and its gamma is large near the money. Small moves in the underlying can swing these contracts from worthless to valuable, or back, within minutes. Illustrative example (hypothetical numbers, not a real trade): at 1:00 p.m. with an index at 5,000, a 5,010 call expiring that day costs $1.50. If the index closes at 5,020, the call is worth $10.00 at expiration. If the index closes below 5,010, it expires worthless. [Full entry](https://caymanbot.com/glossary/0dte) ### Assignment The notice that obligates an option seller to fulfill the contract after exercise. Equity options settle in shares; cash-settled index options settle in cash. Assignment is the other side of exercise. When a holder exercises, the Options Clearing Corporation assigns the exercise to a clearing member, which allocates it to one of its customers who is short the same series. A short call holder must then sell 100 shares per contract at the strike, and a short put holder must buy them. American-style options can be assigned on any business day, so a short option can be assigned before expiration. Early assignment is more common around ex-dividend dates and when an option is deep in the money. Illustrative example (hypothetical numbers, not a real trade): a seller of one $30 put collected $1.00, or $100. The stock falls to $26 and the put is assigned. The seller buys 100 shares at $30 for $3,000 while they trade at $2,600, a $400 difference that the $100 collected partly offsets. [Full entry](https://caymanbot.com/glossary/assignment) ### At the money An option whose strike is at or near the current underlying price. Nearly all of an at-the-money option's price is time value. An at-the-money option has little or no intrinsic value, so its price is almost entirely extrinsic value. At-the-money options typically have deltas near 0.50 for calls and -0.50 for puts, and their gamma and theta are larger than those of contracts further from the money with the same expiration. They are often used as the reference point for quoting implied volatility and for estimating an expected move. Illustrative example (hypothetical numbers, not a real trade): with a stock at $150.20, the $150 call and the $150 put are both at the money. If the call trades at $4.10, only $0.20 of that is intrinsic value, and the other $3.90 is time value that will decline if the stock stays near $150 into expiration. [Full entry](https://caymanbot.com/glossary/at-the-money) ### Bid-ask spread The gap between the bid and the ask. Wider spreads raise the cost of entering and exiting a contract, and thinly traded options tend to have wider ones. The spread is the difference between the price buyers are posting and the price sellers are posting. A trader who buys at the ask and later sells at the bid gives up the full spread on the round trip, before commissions and fees. Spreads tend to be narrow in actively traded contracts on large underlyings and wide in far-dated, far out-of-the-money or thinly traded contracts. Measuring the spread as a percentage of the option price makes contracts with different prices comparable. Illustrative example (hypothetical numbers, not a real trade): an option is quoted $0.90 bid and $1.10 ask. The spread is $0.20, which is 20% of the $1.00 midpoint. On one contract, buying at the ask and selling at the bid with the underlying unchanged would cost 0.20 × 100 = $20. [Full entry](https://caymanbot.com/glossary/bid-ask-spread) ### Bid-side / ask-side Where a trade printed relative to the quote. Prints at or near the ask are often read as buyer-initiated, and prints near the bid as seller-initiated. Every option has a bid, the price buyers are posting, and an ask, the price sellers are posting. When a trade prints at or above the ask, a scanner usually labels it ask-side and infers that the buyer initiated it by paying the seller’s price. A print at or below the bid is labeled bid-side and read as seller-initiated. The inference can be wrong. Quotes move between the order and the print, complex orders execute against several legs at once, and a print at the ask may close an existing short position. Illustrative example (hypothetical numbers, not a real trade): a put is quoted $2.00 bid and $2.20 ask. A print of 300 contracts at $2.20 is labeled ask-side, and a print of 300 at $2.00 is labeled bid-side. The same 300 contracts at $2.10 would be a midpoint print. [Full entry](https://caymanbot.com/glossary/bid-side-ask-side) ### Block trade A large options trade negotiated off screen. US-listed option blocks still execute on an exchange as a single print, and size thresholds vary by scanner. Block trades are usually negotiated between institutions or through a broker’s desk instead of being filled piece by piece on screen. For US-listed options the agreed trade is still executed on an exchange, so it reaches the tape as a single print. Because the price is agreed in advance, a block often prints near the midpoint of the quote, which gives less directional evidence than an aggressive trade at the ask or the bid. Each scanner sets its own size threshold, so a print labeled a block on one platform may carry no label on another. A block can open a position, close one, roll an existing position or hedge stock. Illustrative example (hypothetical numbers, not a real trade): 2,500 puts print as one trade at $3.40 while the quote is $3.30 bid and $3.50 ask. The premium is 2,500 × $3.40 × 100 = $850,000, and the midpoint price makes buyer and seller equally plausible as the initiator. [Full entry](https://caymanbot.com/glossary/block-trade) ### Break-even The underlying price at expiration where an option position neither gains nor loses, before fees. For a bought call it is the strike plus the premium. Break-even combines the strike and the premium per share. For a bought call, it is the strike plus the premium paid. For a bought put, it is the strike minus the premium paid. Above a call’s break-even at expiration the position gains, and below it the position loses, up to the full premium. Commissions, fees and the bid-ask spread move the effective break-even further away. Before expiration an option can be worth more than its intrinsic value, so break-even describes the expiration outcome only. Illustrative example (hypothetical numbers, not a real trade): a $100 call bought for $3.50 breaks even at $103.50 at expiration. A $100 put bought for $2.80 breaks even at $97.20. With the stock at $103.50 at expiration, the call is worth exactly the $350 paid for it. [Full entry](https://caymanbot.com/glossary/break-even) ### Bullish flow / bearish flow A scanner's directional label for a trade, inferred from the option type and the execution side. It does not reveal the trader's full position. A call bought at the ask or a put sold at the bid is usually labeled bullish, and a put bought at the ask or a call sold at the bid is usually labeled bearish. The label depends on the execution-side inference being right and on the trade being a standalone position. Hedges, spreads, rolls and closing trades can all carry a directional label that is the opposite of the participant’s view. Adding many prints into bullish and bearish premium gives a rough picture of how the tape leans, with the same caveats applied to every print. Illustrative example (hypothetical numbers, not a real trade): a fund long 100,000 shares buys 1,000 puts at the ask to hedge. A scanner labels the print bearish, while the fund’s combined position is still long the stock. [Full entry](https://caymanbot.com/glossary/bullish-flow-bearish-flow) ### Call A contract giving its holder the right, but not the obligation, to buy the underlying at the strike, on or before expiration depending on the exercise style. The buyer of a call pays a premium for the right to buy the underlying at the strike. The seller collects that premium and takes on the obligation to deliver the shares if the call is exercised. A call gains intrinsic value as the underlying rises above the strike, and the buyer’s maximum loss is the premium paid. American-style equity options can be exercised on any business day up to and including the expiration date, while index options are generally European-style and can be exercised only at expiration. Illustrative example (hypothetical numbers, not a real trade): a $100 strike call costs $4.00, or $400 per contract. If the stock is at $110 at expiration, the call is worth $10.00, or $1,000. If the stock is at or below $100, the call expires worthless and the buyer loses the $400 paid. [Full entry](https://caymanbot.com/glossary/call) ### Cash-secured put Selling a put while holding enough cash to buy the shares at the strike if assigned. For one contract that cash is the strike times 100. A cash-secured put sets aside the full purchase price of the shares, so the obligation is covered without borrowing. The seller collects the premium up front. If the stock stays above the strike, the put expires worthless and the obligation ends. If the stock falls below the strike, the seller can be assigned and buys 100 shares per contract at the strike, with the premium lowering the effective purchase price. The risk resembles owning the stock from the strike down, less the premium received. The maximum gain is the premium received, and the maximum loss is the strike times 100 minus the premium, reached if the stock falls to zero. Illustrative example (hypothetical numbers, not a real trade): a seller writes one $40 put for $1.20 and holds $4,000 in cash. If the stock is at $42 at expiration, the put expires worthless and the seller keeps the $120. If the stock is at $35, the seller buys 100 shares for $4,000 that are worth $3,500, and the $120 received offsets part of that $500 difference. [Full entry](https://caymanbot.com/glossary/cash-secured-put) ### Charm A measure of how an option's delta changes as time passes, holding the underlying price and implied volatility constant. Charm is sometimes called delta decay. As expiration approaches, the deltas of out-of-the-money options drift toward 0 and the deltas of in-the-money options drift toward 1 or -1, even if the underlying does not move. Dealers who hedge option positions adjust their stock hedges as those deltas drift, so charm is used in models of hedging flows, particularly in the final days and hours before expiration. Illustrative example (hypothetical numbers, not a real trade): an out-of-the-money call has a delta of 0.20 and a charm of -0.02 per day. With the stock and IV unchanged, its delta is about 0.18 a day later. A dealer short 2,000 of those calls and hedged with stock would need about 4,000 fewer shares to stay hedged. [Full entry](https://caymanbot.com/glossary/charm) ### Contract multiplier The number of underlying units one option contract covers. Standard U.S. equity options use a multiplier of 100 shares. Option prices are quoted per share, and the multiplier converts that quote into the dollars that change hands. For a standard U.S. equity or ETF option the multiplier is 100, so the premium, the intrinsic value and any gain or loss per contract are 100 times the per-share figures. After a stock split, merger or special dividend, the exchange can adjust existing contracts so they cover a different number of shares or a basket of assets, and those adjusted contracts usually trade under a modified symbol. Illustrative example (hypothetical numbers, not a real trade): a put quoted at $1.25 costs $125 per contract. If it is later worth $3.00, each contract is worth $300. After a hypothetical 3-for-2 split, an adjusted contract might cover 150 shares instead of 100. [Full entry](https://caymanbot.com/glossary/contract-multiplier) ### Covered call Selling one call option against each 100 shares already owned. The premium is collected up front, and gains above the strike are capped. In a covered call, the shares cover the obligation of the short call. If the call is assigned, which can happen before expiration, the shares are delivered at the strike. The premium received lowers the effective cost of the shares, and in exchange the position gives up any rise in the stock above the strike for the life of the call. The shares still carry their full downside, reduced only by the premium collected. Covered calls are often written out of the money so there is room for the stock to rise before the strike is reached. Illustrative example (hypothetical numbers, not a real trade): an investor owns 100 shares at $50 and sells one $55 call for $1.50, receiving $150. If the stock is at $60 at expiration, the shares are called away at $55, and the position is worth $5,500 plus the $150 received. If the stock is at $45, the shares are worth $4,500 and the $150 offsets part of the decline. [Full entry](https://caymanbot.com/glossary/covered-call) ### Defined risk A position whose maximum loss is known in advance from its structure, such as a bought option or a vertical spread. With a bought call or put, the maximum loss is the premium paid. With a debit spread, it is the net debit paid, and with a credit spread it is the width between strikes minus the credit received. Undefined-risk positions, such as a naked short call, have losses that can grow with the move in the underlying. Defined risk bounds the loss for the whole life of the position, and a gap in the underlying cannot push a spread’s loss past its defined maximum (the net debit, or the width minus the credit). Early assignment of the short leg, such as a short call around an ex-dividend date, pin risk at expiration and execution costs still need attention. Illustrative example (hypothetical numbers, not a real trade): a trader sells a $50 put and buys a $45 put for a net credit of $1.20. The width is $5.00, so the maximum loss is $5.00 minus $1.20, or $3.80 per share, which is $380 per spread. [Full entry](https://caymanbot.com/glossary/defined-risk) ### Delta An estimate of how much an option's price changes for a $1 move in the underlying. Long calls have positive delta and long puts have negative delta. Delta runs from 0 to 1 for calls and from 0 to -1 for puts. An at-the-money option has a delta near 0.50 in absolute terms, deep in-the-money options approach 1, and far out-of-the-money options approach 0. Delta changes as the underlying moves, as time passes and as implied volatility changes, so it is a local estimate. Traders also use delta as a rough probability that an option finishes in the money, and multiply it by 100 to express a position in share-equivalent terms. Illustrative example (hypothetical numbers, not a real trade): a call with a delta of 0.40 trades at $2.00. If the underlying rises $1 and nothing else changes, the call moves to about $2.40. Ten of these contracts carry a delta of 10 × 0.40 × 100 = 400 shares. [Full entry](https://caymanbot.com/glossary/delta) ### Exercise Using the right an option grants, which means buying the underlying at the strike with a call or selling it at the strike with a put. When a holder exercises, the Options Clearing Corporation assigns the exercise to a clearing member, which allocates it to a customer who is short the same series, and that customer must deliver or take delivery of the shares at the strike. American-style options, which include standard U.S. equity options, can be exercised on any business day up to and including the expiration date. European-style options, which include many index options, can be exercised only at expiration, and index options settle in cash. Exercising early gives up any time value left in the option, so selling the option can collect more than exercising it. Illustrative example (hypothetical numbers, not a real trade): a holder of one $40 call exercises when the stock is at $46 and pays $4,000 for 100 shares worth $4,600. If the call was still trading at $6.30, selling it would have collected $630, which is $30 more than the $600 of intrinsic value captured by exercising. [Full entry](https://caymanbot.com/glossary/exercise) ### Expiration The date an option stops trading and its rights end. After expiration, an unexercised option no longer exists. Standard U.S. equity options expire on the third Friday of the month, and many underlyings also list weekly expirations, with some index products listing one every trading day. Options that finish at least $0.01 in the money are generally exercised automatically under OCC rules unless the holder instructs otherwise, and the rest expire worthless. As expiration approaches, the time value in an option shrinks and a near-the-money option’s price becomes more sensitive to moves in the underlying. Days to expiration, often written DTE, is the count of days left. Illustrative example (hypothetical numbers, not a real trade): a call bought 30 days before expiration for $2.00 is a 30 DTE contract. If the underlying does not move, the time value in that $2.00 declines over those 30 days, and on expiration day only the intrinsic value is left. [Full entry](https://caymanbot.com/glossary/expiration) ### Expire worthless An option expires worthless when it finishes at or out of the money. The contract ends with no value, and the buyer loses the full premium paid. At expiration, an at-the-money or out-of-the-money option has no intrinsic value, and with no time left it has no extrinsic value either. It is not exercised, it disappears from the account, and the premium the buyer paid is the full loss on the position. For the seller, the premium collected is kept and the obligation ends. Many short-dated, out-of-the-money options expire worthless, which is the risk a buyer accepts in exchange for a lower price per contract. Illustrative example (hypothetical numbers, not a real trade): a buyer pays $0.60, or $60, for a $25 call. The stock closes at $24.10 on expiration day. The call expires worthless, the buyer’s loss is the $60 paid, and the seller keeps the $60 collected. [Full entry](https://caymanbot.com/glossary/expire-worthless) ### Extrinsic value The part of an option's price above its intrinsic value. It reflects time to expiration and implied volatility, and it shrinks toward zero at expiration. Extrinsic value, also called time value, is what a buyer pays for the possibility that the option gains intrinsic value before it expires. Its main inputs are the time left until expiration and the implied volatility priced into the option. It is greater for at-the-money options than for options with strikes far from the underlying price, and it declines as expiration approaches, a decay measured by theta. A drop in implied volatility also lowers it, which is the mechanism behind IV crush. Illustrative example (hypothetical numbers, not a real trade): with a stock at $100, a $95 call trades at $7.50. Its intrinsic value is $5.00, so its extrinsic value is $2.50, or $250 per contract. If the stock is still at $100 at expiration, the call is worth $5.00 and the $2.50 of extrinsic value is gone. [Full entry](https://caymanbot.com/glossary/extrinsic-value) ### Gamma The rate at which an option's delta changes for a $1 move in the underlying. Gamma peaks near the money and grows into expiration for near-the-money options. Gamma measures how quickly delta itself moves. Long options have positive gamma, so a long call’s delta rises as the stock rises, and short options have negative gamma. Gamma peaks near the money, and for near-the-money options it grows as expiration approaches, which is why 0DTE contracts can swing sharply. Dealers who are short gamma have to buy as prices rise and sell as prices fall to stay hedged, which is the mechanism gamma exposure models try to estimate. Illustrative example (hypothetical numbers, not a real trade): a call has a delta of 0.50 and a gamma of 0.05. After a $1 rise in the underlying its delta is about 0.55, and after a further $1 rise about 0.60, so each dollar moves the option price more than the dollar before. [Full entry](https://caymanbot.com/glossary/gamma) ### Gamma exposure A modeled estimate of the gamma option dealers hold across strikes, used to gauge how their hedging may dampen or amplify price moves. Gamma exposure, or GEX, combines open interest, each contract’s gamma and an assumption about which side dealers are on, then sums the result across strikes and expirations. When the model shows dealers long gamma, their hedging tends to sell rallies and buy dips, which can dampen moves. When it shows dealers short gamma, hedging tends to chase moves. Open interest does not reveal who is long or short, so GEX is a model estimate of positioning. The level where modeled net GEX changes sign is often called the gamma flip level. Illustrative example (hypothetical numbers, not a real trade): a strike has 10,000 calls of open interest with a gamma of 0.02. The share-equivalent gamma there is 10,000 × 0.02 × 100 = 20,000 shares, so dealers on one side of those calls would trade about 20,000 shares for each $1 the underlying moves to stay hedged. [Full entry](https://caymanbot.com/glossary/gamma-exposure) ### Implied volatility The volatility input that makes a pricing model match an option's market price. It reflects the size of expected moves and says nothing about direction. Implied volatility is backed out of option prices instead of being measured from past prices, and it is quoted as an annualized percentage. When demand for options rises ahead of an earnings report or other event, option prices and IV rise together, and once the event passes IV usually falls. IV differs across strikes and expirations, patterns known as skew and term structure. A common rough conversion divides annualized IV by the square root of 252 to estimate a one-day move of one standard deviation. Illustrative example (hypothetical numbers, not a real trade): a stock at $100 has options priced at an IV of 32%. Dividing 32% by the square root of 252, about 15.9, gives roughly 2.0%, so the options imply a one-day move of about $2 in either direction at one standard deviation. [Full entry](https://caymanbot.com/glossary/implied-volatility) ### In the money A call whose strike is below the underlying price, or a put whose strike is above it. An in-the-money option has intrinsic value. Moneyness describes where the strike sits relative to the current price of the underlying. An in-the-money option would be worth something if exercised now, and that amount is its intrinsic value. Deep in-the-money options behave much like the underlying itself, with deltas close to 1 for calls or -1 for puts, and they cost more because they carry more intrinsic value. Options that are in the money at expiration by at least $0.01 are generally exercised automatically. Illustrative example (hypothetical numbers, not a real trade): with a stock at $80, a $70 call is $10 in the money and a $90 put is $10 in the money. If the $70 call trades at $11.50, $10.00 of that price is intrinsic value and $1.50 is extrinsic value. [Full entry](https://caymanbot.com/glossary/in-the-money) ### Intrinsic value The amount an option is in the money. For a call it is price minus strike, for a put it is strike minus price, and otherwise it is zero. Intrinsic value is what an option would be worth if it were exercised immediately. It can never be negative, so out-of-the-money and at-the-money options have zero intrinsic value. An option’s price is its intrinsic value plus its extrinsic value. At expiration only intrinsic value remains, which is why an in-the-money option at expiration trades close to the amount it is in the money. Illustrative example (hypothetical numbers, not a real trade): with a stock at $52, a $45 call has $7.00 of intrinsic value, or $700 per contract, and a $55 put has $3.00, or $300 per contract. A $55 call on the same stock has zero intrinsic value, so its whole price is extrinsic value. [Full entry](https://caymanbot.com/glossary/intrinsic-value) ### IV crush A sharp drop in implied volatility after an expected event such as earnings. Option prices can fall even when the underlying moves the expected way. Before a scheduled event, option buyers bid up implied volatility because the outcome is uncertain. Once the event is out, that uncertainty is resolved and IV tends to fall back toward its usual level, often by the next open. The drop removes extrinsic value across the option chain, concentrated in the expirations that span the event. A buyer who paid elevated IV can lose money even when the stock moves in the expected direction, if the move is smaller than the one the options priced in. Illustrative example (hypothetical numbers, not a real trade): the day before earnings, a $100 call expiring in four days costs $3.40 on a $100 stock, with IV at 80%. After the report the stock opens at $101.50 and IV falls to 35%. The call trades at about $2.25, a drop of $1.15 per share, or $115 per contract, even though the stock rose $1.50. [Full entry](https://caymanbot.com/glossary/iv-crush) ### Liquidity How easily a contract can be traded in size without moving its price. Tight spreads, displayed size and steady volume point to better liquidity. Liquid options have narrow bid-ask spreads, meaningful size displayed at the bid and ask, and regular trading through the day. Illiquid options have wide spreads and little size, so entering or exiting a position costs more and large orders move the price. Liquidity varies between underlyings and within one option chain, where near-the-money strikes in nearby expirations usually trade more than far strikes and distant expirations. Open interest gives a partial clue, because contracts with more open interest tend to attract more quoting. Illustrative example (hypothetical numbers, not a real trade): one call is quoted $2.48 bid and $2.50 ask with 500 contracts on each side. Another, on a smaller stock, is quoted $2.30 bid and $2.70 ask with 10 contracts on each side. Buying and immediately selling one contract costs $2 in the first and $40 in the second. [Full entry](https://caymanbot.com/glossary/liquidity) ### Long / short Long means owning a position that was bought. Short means having sold a position not owned, such as a written option, which carries an obligation. A long option holder paid the premium and holds the right that comes with the contract. A short option holder, often called the writer, received the premium and holds the obligation to buy or sell the underlying if assigned. Long options have a loss limited to the premium paid, while a short call that is not covered by stock has losses that can grow as the underlying rises, and a short put’s loss can reach the strike minus the premium received. The same words apply to shares: a long stock position owns the shares, and a short stock position has borrowed and sold them. Illustrative example (hypothetical numbers, not a real trade): one trader buys a $20 call for $1.00 and is long the call. The trader on the other side sold it for $1.00 and is short the call. If the stock is at $23 at expiration, the call is worth $3.00, so the long side has gained $200 and the short side has lost $200 per contract. [Full entry](https://caymanbot.com/glossary/long-short) ### Mid-market The price halfway between the displayed bid and ask. A midpoint trade gives less directional evidence than a trade at either side of the spread. The mid-market price is the average of the current bid and ask. Many limit orders and negotiated trades fill at or near it, because neither side pays the full spread. For flow analysis, a print near the midpoint says little about who initiated the trade, so scanners often classify it as neutral or leave its direction unassigned. The midpoint is also a common reference for valuing a position, although the price available in a trade can differ from it, especially when the spread is wide or the contract trades rarely. Illustrative example (hypothetical numbers, not a real trade): a call is quoted $4.80 bid and $5.20 ask, so the midpoint is $5.00. A print at $5.00 sits exactly between buyer and seller, while a print at $5.20 would be ask-side. [Full entry](https://caymanbot.com/glossary/mid-market) ### Multi-leg order Two or more option or stock legs executed together as one strategy. Reading one leg alone can reverse the apparent direction of the trade. Spreads, straddles, strangles, collars and rolls are entered as multi-leg orders so all legs fill together at a net price. Each leg still prints on the tape, and a scanner that shows the legs separately can make a hedged position look like an outright bet. A call purchase paired with a call sale at a higher strike, for example, has a capped value and a reduced cost. Scanners that flag complex or multi-leg prints help separate these from single-leg trades. Illustrative example (hypothetical numbers, not a real trade): a trader buys 100 of the $50 calls at $3.00 and sells 100 of the $55 calls at $1.20 in one order. The tape shows a $30,000 call purchase and a $12,000 call sale, while the position itself is an $18,000 debit spread worth at most $50,000 at expiration. [Full entry](https://caymanbot.com/glossary/multi-leg-order) ### Open interest The number of option contracts still open in a series after the prior day's clearing. Same-day trades are not reflected until the next update. Open interest rises when a trade opens new contracts on both sides and falls when both sides close them. It is published by the Options Clearing Corporation once a day, so intraday volume is not yet included. A day’s volume above the morning’s open interest suggests at least some of the trading opened new positions, but it does not prove that every trade was opening. Comparing open interest across strikes shows where contracts are concentrated, which feeds models such as gamma exposure. Illustrative example (hypothetical numbers, not a real trade): a put starts the day with open interest of 2,000. During the session 3,000 contracts trade. If the next day’s open interest is 4,100, the net change of 2,100 contracts shows that more positions were opened than closed. [Full entry](https://caymanbot.com/glossary/open-interest) ### Opening / closing Whether a trade creates a new position or offsets an existing one. The tape does not show which, so scanners infer it from open interest. An opening trade adds a position, such as a buy to open or a sell to open, and a closing trade reduces one, such as a sell to close or a buy to close. The distinction matters because a large call sale that closes an earlier long position says something different from a new short call. The tape reports price and size only, so scanners infer opening activity from volume against prior open interest and from the next day’s open interest change. That inference stays uncertain at the moment of the trade. Illustrative example (hypothetical numbers, not a real trade): a contract starts the day with open interest of 500, and a single trade of 3,000 contracts prints. Because only 500 contracts were open, at least 2,500 of those contracts were opening on at least one side of the trade. [Full entry](https://caymanbot.com/glossary/opening-closing) ### Options flow A stream of reported options transactions organized to show the contract, size, price and execution context of each trade. Options flow is the tape of reported option trades, arranged so each print shows the underlying, contract, strike, expiration, size, price, premium and where the trade printed relative to the quote. Scanners attach labels such as sweep, block, bullish or unusual to those facts. Flow describes what traded. It does not reveal who traded, why, or what else the participant holds, so a single print can be a new position, a hedge or one leg of a larger strategy. Illustrative example (hypothetical numbers, not a real trade): a print shows 500 contracts of a 30-day call at $2.10 on the ask. The premium is 500 × $2.10 × 100 = $105,000. The record shows the size and the price paid. It cannot show whether the buyer also sold stock or other options against it. [Full entry](https://caymanbot.com/glossary/options-flow) ### Out of the money A call whose strike is above the underlying price, or a put whose strike is below it. An out-of-the-money option has no intrinsic value. An out-of-the-money option is made up entirely of extrinsic value. It costs less than an at-the-money or in-the-money option with the same expiration, and the underlying has to move past the strike before expiration for it to have any value at that date. Short-dated out-of-the-money options are cheap per contract, which is why large contract counts in them can look dramatic on the tape while the premium involved stays modest. Illustrative example (hypothetical numbers, not a real trade): with a stock at $60, a $65 call is $5 out of the money. If it costs $0.40, or $40 per contract, the stock has to finish at or above $65.40 at expiration for the buyer to recover the premium. If the stock finishes at or below $65, the call expires worthless. [Full entry](https://caymanbot.com/glossary/out-of-the-money) ### Premium The total amount paid for an options trade. It equals the option price times the contract multiplier times the number of contracts. In options flow, premium is the dollar size of a trade. It is calculated by multiplying the quoted option price by the contract multiplier, which is 100 for a standard U.S. equity option, and then by the number of contracts traded. Premium is the figure scanners use to rank and filter prints, because it reflects how much capital changed hands. The word also refers to the option’s quoted price itself, as in a call trading at a premium of $1.50. Illustrative example (hypothetical numbers, not a real trade): a trade of 40 contracts at $2.50 carries premium of 40 × $2.50 × 100 = $10,000. The same $10,000 could also come from 400 contracts at $0.25, which is why premium and contract count are read together. [Full entry](https://caymanbot.com/glossary/premium) ### Premium per contract The cost of one option contract. It is the quoted price multiplied by 100 for a standard U.S. equity option, so a $1.50 quote costs $150. Option prices are quoted per share of the underlying, while each standard U.S. equity option contract covers 100 shares. The premium paid for one contract is therefore the quoted price multiplied by 100, before commissions and fees. Reading a quote of 0.85 as 85 cents in total is a common beginner mistake. At that quote, one contract costs $85. Contracts adjusted after a split or other corporate action can cover a different deliverable and use a different effective multiplier. Illustrative example (hypothetical numbers, not a real trade): a call quoted at $3.20 costs 3.20 × 100 = $320 per contract. Buying 5 contracts commits $1,600 of premium, and that $1,600 is the maximum a buyer of those calls can lose, plus commissions and fees. [Full entry](https://caymanbot.com/glossary/premium-per-contract) ### Put A contract giving its holder the right, but not the obligation, to sell the underlying at the strike, on or before expiration depending on the exercise style. The buyer of a put pays a premium for the right to sell the underlying at the strike. The seller collects that premium and takes on the obligation to buy the shares if the put is exercised. A put gains intrinsic value as the underlying falls below the strike. Puts are used to express a bearish view and also to hedge stock that is already owned, so a large put purchase on the tape is not, on its own, evidence of a bearish bet. Illustrative example (hypothetical numbers, not a real trade): a $50 strike put costs $2.00, or $200 per contract. If the stock is at $44 at expiration, the put is worth $6.00, or $600. If the stock is at or above $50, the put expires worthless and the buyer loses the $200 paid. [Full entry](https://caymanbot.com/glossary/put) ### Put/call ratio Put volume divided by call volume, or put open interest divided by call open interest, for a symbol or set of contracts over a period. A ratio above 1 means more puts than calls traded, and a ratio below 1 means more calls than puts. The ratio is computed per underlying, per expiration or across a group of symbols, and it can use volume, open interest or premium. A rising ratio can reflect bearish bets, but it also rises when holders of stock buy puts as protection, so it measures relative activity and leaves the motive open. Index options tend to carry higher put/call ratios than single stocks because of hedging demand. Illustrative example (hypothetical numbers, not a real trade): in one session a stock’s options trade 18,000 puts and 24,000 calls. The volume put/call ratio is 18,000 ÷ 24,000 = 0.75, meaning three puts traded for every four calls. [Full entry](https://caymanbot.com/glossary/put-call-ratio) ### Slippage The difference between the price expected when an order is placed and the price at which it actually fills. Slippage comes from the quote moving between decision and execution, from market orders filling at the far side of a wide spread, and from orders larger than the displayed size that fill at several prices. It is usually larger in illiquid contracts and around fast moves. Limit orders cap slippage at the limit price in exchange for the risk of not filling. Backtests that assume fills at the midpoint can overstate results when actual fills would pay part of the spread. Illustrative example (hypothetical numbers, not a real trade): an option is quoted $1.95 bid and $2.05 ask with a $2.00 midpoint. A market order for 50 contracts fills 20 at $2.05 and 30 at $2.08 as the displayed size runs out. The average fill of $2.068 is $0.068 above the midpoint, about $340 across the order. [Full entry](https://caymanbot.com/glossary/slippage) ### Strike price The fixed price at which an option holder can buy (call) or sell (put) the underlying if the option is exercised. Each listed option series has one strike, set by the exchange from a ladder of standard increments around the current share price. The strike decides whether an option is in, at or out of the money, and together with the premium it sets the break-even price. Strikes close to the current price usually trade more actively, while far out-of-the-money strikes cost less per contract and are less likely to finish in the money. Illustrative example (hypothetical numbers, not a real trade): with a stock at $200, a $210 call is out of the money by $10 and a $190 call is in the money by $10. At expiration with the stock at $215, the $210 call has $5.00 of intrinsic value, or $500 per contract. [Full entry](https://caymanbot.com/glossary/strike-price) ### Sweep An order split across several exchanges at once so it fills quickly at the available prices. Sweeps can signal urgency or be part of a hedge. A sweep happens when an order takes the displayed size at the quoted price on one exchange and keeps routing to other exchanges until it is filled. Scanners usually label a sweep by grouping prints in the same contract that arrive within a short window across several venues. Paying up across venues suggests the trader cared more about getting filled than about price. That urgency is one reading among several, because sweeps also come from hedges, closing trades and legs of multi-leg strategies. Illustrative example (hypothetical numbers, not a real trade): an order for 1,000 calls fills 300 on one exchange at $1.20, 400 on a second at $1.21 and 300 on a third at $1.22. The prints arrive within one second, so a scanner groups them as one sweep with total premium of $121,000. [Full entry](https://caymanbot.com/glossary/sweep) ### Theta An estimate of how much value an option loses per day as time passes, holding the underlying price and implied volatility constant. Theta is usually shown as a negative number for long options, because each day that passes removes some extrinsic value. The decay is uneven: it is slow for far-dated contracts and speeds up in the final weeks before expiration, especially for at-the-money options. Option sellers collect that decay, and option buyers pay it. Theta is an estimate from a pricing model, and the actual price change over a day also includes the effect of moves in the underlying and in implied volatility. Illustrative example (hypothetical numbers, not a real trade): an option priced at $3.00 has a theta of -0.05. If the underlying and implied volatility stay the same, it is worth about $2.95 one day later, a decline of $5 per contract. [Full entry](https://caymanbot.com/glossary/theta) ### Unusual options activity Options trading that stands out against a contract's normal size, volume, premium or timing. It is a starting point for research and proves nothing by itself. Scanners flag unusual options activity by comparing a trade or a day’s trading with a baseline: volume against open interest, premium against the contract’s typical size, or activity in a strike or expiration that usually trades little. Some of that activity reflects informed positioning, and much of it reflects hedging, rolling, closing trades and multi-leg strategies. Context such as upcoming earnings, the contract’s liquidity and whether the print was bid-side or ask-side helps separate the two, and no single print establishes intent. Illustrative example (hypothetical numbers, not a real trade): a stock’s options usually trade 5,000 contracts a day. One morning a single out-of-the-money call strike prints 12,000 contracts against open interest of 900, mostly on the ask. That combination is the kind of pattern a scanner labels unusual. [Full entry](https://caymanbot.com/glossary/unusual-options-activity) ### Vanna exposure A modeled estimate of how dealers' delta hedges may change when implied volatility changes, based on vanna across strikes. Vanna is the sensitivity of an option’s delta to a change in implied volatility. Vanna exposure, or VEX, applies that sensitivity across open interest with an assumption about dealer positioning, in the same way gamma exposure does for price moves. When implied volatility falls, for example after an event, the deltas of out-of-the-money options shrink, and dealers hedging those options may buy or sell the underlying as a result. Like GEX, VEX is a model output that depends on assumptions about who holds which side. Illustrative example (hypothetical numbers, not a real trade): an out-of-the-money put has a delta of -0.30, and its delta moves 0.01 closer to zero for each one-point drop in IV. If IV falls 5 points, its delta is about -0.25. On 1,000 contracts, that is a 5,000 share change in the hedge held against them. [Full entry](https://caymanbot.com/glossary/vanna-exposure) ### Vega An estimate of how much an option's price changes for a one-point change in implied volatility, holding other inputs constant. Vega is quoted per one percentage point of implied volatility. It is positive for long calls and long puts, because higher implied volatility raises the value of both. It is larger for longer-dated options and for options near the money, so a change in IV moves those prices more. Vega is the Greek behind IV crush. When implied volatility drops after an event, each long option on the underlying loses roughly its vega times the drop in its own implied volatility. Illustrative example (hypothetical numbers, not a real trade): an option trades at $5.00 with a vega of 0.12 and implied volatility of 40%. If IV rises to 45% and nothing else changes, the option is worth about 5.00 + 5 × 0.12 = $5.60. If IV falls to 30%, it is worth about $3.80. [Full entry](https://caymanbot.com/glossary/vega) ### Volume The number of option contracts traded in a contract or underlying during the current session. Volume resets to zero each trading day. Volume counts every contract that changed hands, whether the trade opened a new position or closed an existing one. It is reported per contract and can be summed across strikes, expirations or the whole option chain for an underlying. Comparing a contract’s volume with its typical volume, and with its open interest, is one way scanners flag unusual activity. A high volume number alone does not say whether buyers or sellers initiated the trades. Illustrative example (hypothetical numbers, not a real trade): a contract that usually trades 200 contracts a day prints 6,000 contracts by midday against open interest of 1,500. Volume is 30 times its usual level and four times open interest, which is the kind of reading a scanner flags for a closer look. [Full entry](https://caymanbot.com/glossary/volume) ### Whale Informal shorthand for a participant who places a large options trade. The label describes trade size and says nothing about skill or information. Scanners apply the whale label when a print crosses a premium threshold, often hundreds of thousands or millions of dollars. Size shows that real capital changed hands, which is why traders watch these prints. Size does not show what else the participant holds, so a large call purchase may hedge a short stock position, finance another leg or close an earlier trade. Reading a whale print without that context treats a classification as a fact about intent. Illustrative example (hypothetical numbers, not a real trade): a print of 2,000 calls at $6.00 carries premium of 2,000 × $6.00 × 100 = $1.2 million and would clear a $1 million whale threshold. The same participant could have sold 2,000 calls at a higher strike in the same minute, which would make the print one leg of a spread. [Full entry](https://caymanbot.com/glossary/whale) ## Frequently asked questions ### What is the most important number in options flow? There is no single most important number. Premium, volume, open interest, strike, expiration, liquidity, execution location and surrounding market context work together. ### Does volume greater than open interest mean a new position? Not necessarily. Open interest is generally updated after clearing, and the day’s volume can contain both opening and closing transactions. The comparison is a clue, not proof. ### Are sweeps always bullish? No. A sweep only describes how an order sought liquidity. It can involve calls or puts, buying or selling, hedging or one leg of a larger strategy. ### How should beginners use options flow? Use it to discover activity for research, then check the contract, liquidity, catalyst, chart, volatility and risk. Paper testing can help build a process before risking capital. ## Related CaymanBot resources - [How to read options flow](https://caymanbot.com/how-to-read-options-flow) - [Options flow scanner for unusual activity](https://caymanbot.com/options-flow) - [Unusual options activity scanner](https://caymanbot.com/unusual-options-activity) - [GEX heatmap: gamma exposure by strike for SPY, QQQ and NVDA](https://caymanbot.com/gex-heatmap) - [Test an options idea before turning it into an alert](https://caymanbot.com/options-backtesting) Market data, modeled analytics, calculators and public-filing summaries are informational. Verify time-sensitive data and original filings before making decisions.