Personal Finance & Money Asked by Jeffrey the Giraffe on December 4, 2020
I am trying to understand options data from CBOE and I am confused about determining if the contract was in fact bought or sold. Here’s just a sample:
[
{
"exchange_id": 5,
"condition_id": 0,
"underlying_bid": 156.99,
"underlying_ask": 157.05,
"sequence_number": 290264,
"root": "AAPL ",
"expiry": "2019-02-15",
"strike": 160,
"option_type": "c",
"time": "09:30:56.883",
"nbbo_bid": 3.7,
"nbbo_ask": 3.85,
"size": 25,
"price": 3.85,
"flag": 0,
"exch_sequence_number": 1290250,
"trade_iv": 30.1924
},
{
"exchange_id": 5,
"condition_id": 0,
"underlying_bid": 157.47,
"underlying_ask": 157.48,
"sequence_number": 122857,
"root": "AAPL ",
"expiry": "2019-02-15",
"strike": 160,
"option_type": "c",
"time": "10:16:11.127",
"nbbo_bid": 3.95,
"nbbo_ask": 4,
"size": 10,
"price": 4,
"flag": 0,
"exch_sequence_number": 44957099,
"trade_iv": 30.2057
},
{
"exchange_id": 5,
"condition_id": 0,
"underlying_bid": 157.5,
"underlying_ask": 157.51,
"sequence_number": 123005,
"root": "AAPL ",
"expiry": "2019-02-15",
"strike": 160,
"option_type": "c",
"time": "10:16:13.433",
"nbbo_bid": 3.95,
"nbbo_ask": 4,
"size": 30,
"price": 4,
"flag": 0,
"exch_sequence_number": 44993630,
"trade_iv": 30.2218
},
{
"exchange_id": 5,
"condition_id": 0,
"underlying_bid": 157.06,
"underlying_ask": 157.08,
"sequence_number": 151912,
"root": "AAPL ",
"expiry": "2019-02-15",
"strike": 160,
"option_type": "c",
"time": "11:11:53.387",
"nbbo_bid": 3.7,
"nbbo_ask": 3.8,
"size": 5,
"price": 3.75,
"flag": 0,
"exch_sequence_number": 82603415,
"trade_iv": 29.5737
},
{
"exchange_id": 5,
"condition_id": 0,
"underlying_bid": 157.55,
"underlying_ask": 157.57,
"sequence_number": 210379,
"root": "AAPL ",
"expiry": "2019-02-15",
"strike": 160,
"option_type": "c",
"time": "13:08:38.963",
"nbbo_bid": 3.95,
"nbbo_ask": 4,
"size": 13,
"price": 4,
"flag": 0,
"exch_sequence_number": 145195955,
"trade_iv": 30.0988
},
{
"exchange_id": 5,
"condition_id": 0,
"underlying_bid": 157.55,
"underlying_ask": 157.57,
"sequence_number": 210380,
"root": "AAPL ",
"expiry": "2019-02-15",
"strike": 160,
"option_type": "c",
"time": "13:08:38.963",
"nbbo_bid": 3.95,
"nbbo_ask": 4,
"size": 7,
"price": 4,
"flag": 0,
"exch_sequence_number": 145195959,
"trade_iv": 30.0988
},
{
"exchange_id": 5,
"condition_id": 0,
"underlying_bid": 157.16,
"underlying_ask": 157.17,
"sequence_number": 220826,
"root": "AAPL ",
"expiry": "2019-02-15",
"strike": 160,
"option_type": "c",
"time": "13:34:36.883",
"nbbo_bid": 3.8,
"nbbo_ask": 3.9,
"size": 6,
"price": 3.85,
"flag": 0,
"exch_sequence_number": 157533600,
"trade_iv": 30.1084
},
{
"exchange_id": 5,
"condition_id": 0,
"underlying_bid": 156.41,
"underlying_ask": 156.43,
"sequence_number": 246611,
"root": "AAPL ",
"expiry": "2019-02-15",
"strike": 160,
"option_type": "c",
"time": "14:42:48.733",
"nbbo_bid": 3.45,
"nbbo_ask": 3.55,
"size": 5,
"price": 3.5,
"flag": 0,
"exch_sequence_number": 189140399,
"trade_iv": 29.8157
}
]
How can you tell from this data if the person bought or sold the contract. I thought you could use bid/ask but some prices are right in the middle.
For every trade there is a buyer and a seller.
If a trade goes off at the ask price, it's highly probable that it was a buy.
If a trade goes off at the bid price, it's highly probable that it was a sell.
Why highly probable and not definite? Suppose two options each have a 30 cent wide B/A. I place an order to buy some vertical spreads at the midpoint. Now suppose that I get filled exactly at the midpoint of each leg. From that, can you tell which leg was the buy and which leg was the sell? Nope.
Sometimes, spread fills aren't anywhere near current price. In keeping with the above 30 cent wide spread on each leg, all could be filled at the midpoint and one could be filled at the asked of each leg, resulting in the same debit. Or the fill prices could be 50 cents higher than NBBO on both legs, still netting my desired price. If I pay more than the ask on one leg and sell for more than the ask on the other leg, there's no way to know which leg was bought or sold.
Correct answer by Bob Baerker on December 4, 2020
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