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Average daily volume and option expiration analysis (v3)
James Jack
posted Dec 9, 2012

Dan Dunn suggested in the previous thread that it would be worth looking at volume on option expiration dates. For now I have hard-coded dates for monthly expirations in 2010,2011,2012 (ignoring quarterly ones).

After computing the overall averages, the code then filters the data for expiry days and performs the same analysis as before. I think it would also be interesting to have it segregate the two data completely but I've not done that yet (feel free to play around!)

2011-06-01 to 2012-07-20 

Apple  
2012-03-16PRINTaverage daily volume: 017,327,017  
2012-03-16PRINThr 09 15M 3 |__________+| avg 001,417,444 median 001,319,850  
2012-03-16PRINThr 09 15M 4 |_____+_____| avg 000,929,187 median 000,826,939  
2012-03-16PRINThr 10 15M 1 |____+______| avg 000,853,247 median 000,812,934  
2012-03-16PRINThr 10 15M 2 |___+_______| avg 000,722,859 median 000,619,149  
2012-03-16PRINThr 10 15M 3 |__+________| avg 000,652,738 median 000,551,053  
2012-03-16PRINThr 10 15M 4 |__+________| avg 000,609,862 median 000,512,860  
2012-03-16PRINThr 11 15M 1 |_+_________| avg 000,564,771 median 000,478,505  
2012-03-16PRINThr 11 15M 2 |_+_________| avg 000,539,959 median 000,463,664  
2012-03-16PRINThr 11 15M 3 |+__________| avg 000,508,562 median 000,415,784  
2012-03-16PRINThr 11 15M 4 |+__________| avg 000,479,606 median 000,395,295  
2012-03-16PRINThr 12 15M 1 |+__________| avg 000,486,563 median 000,399,899  
2012-03-16PRINThr 12 15M 2 |+__________| avg 000,460,922 median 000,396,765  
2012-03-16PRINThr 12 15M 3 |_+_________| avg 000,510,430 median 000,417,907  
2012-03-16PRINThr 12 15M 4 |__+________| avg 000,622,532 median 000,491,329  
2012-03-16PRINThr 13 15M 1 |______+____| avg 001,014,892 median 000,630,034  
2012-03-16PRINThr 13 15M 2 |__+________| avg 000,661,318 median 000,520,006  
2012-03-16PRINThr 13 15M 3 |__+________| avg 000,624,403 median 000,512,537  
2012-03-16PRINThr 13 15M 4 |_+_________| avg 000,566,288 median 000,456,620  
2012-03-16PRINThr 14 15M 1 |_+_________| avg 000,574,354 median 000,463,050  
2012-03-16PRINThr 14 15M 2 |_+_________| avg 000,584,645 median 000,457,780  
2012-03-16PRINThr 14 15M 3 |_+_________| avg 000,563,922 median 000,462,651  
2012-03-16PRINThr 14 15M 4 |_+_________| avg 000,558,784 median 000,428,737  
2012-03-16PRINThr 15 15M 1 |__+________| avg 000,609,071 median 000,485,752  
2012-03-16PRINThr 15 15M 2 |_+_________| avg 000,601,427 median 000,526,258  
2012-03-16PRINThr 15 15M 3 |__+________| avg 000,666,040 median 000,604,595  
2012-03-16PRINThr 15 15M 4 |_____+_____| avg 000,943,177 median 000,934,635  
2012-03-16PRINTStudy crossed 10 option expirations.  
2012-03-16PRINTaverage expiration volume: 020,080,094  
2012-03-16PRINThr 09 15M 3 |__________+| avg 001,941,513 median 001,999,820  
2012-03-16PRINThr 09 15M 4 |___+_______| avg 000,950,848 median 001,035,000  
2012-03-16PRINThr 10 15M 1 |___+_______| avg 000,966,037 median 001,071,678  
2012-03-16PRINThr 10 15M 2 |___+_______| avg 000,834,198 median 000,885,526  
2012-03-16PRINThr 10 15M 3 |__+________| avg 000,793,937 median 000,770,973  
2012-03-16PRINThr 10 15M 4 |__+________| avg 000,758,388 median 000,596,885  
2012-03-16PRINThr 11 15M 1 |__+________| avg 000,726,459 median 000,542,708  
2012-03-16PRINThr 11 15M 2 |_+_________| avg 000,539,202 median 000,420,350  
2012-03-16PRINThr 11 15M 3 |+__________| avg 000,490,864 median 000,423,880  
2012-03-16PRINThr 11 15M 4 |+__________| avg 000,454,852 median 000,367,859  
2012-03-16PRINThr 12 15M 1 |_+_________| avg 000,536,748 median 000,539,908  
2012-03-16PRINThr 12 15M 2 |+__________| avg 000,447,152 median 000,410,618  
2012-03-16PRINThr 12 15M 3 |_+_________| avg 000,537,980 median 000,392,573  
2012-03-16PRINThr 12 15M 4 |__+________| avg 000,671,553 median 000,539,237  
2012-03-16PRINThr 13 15M 1 |________+__| avg 001,663,498 median 001,164,799  
2012-03-16PRINThr 13 15M 2 |__+________| avg 000,800,703 median 000,597,642  
2012-03-16PRINThr 13 15M 3 |_+_________| avg 000,638,826 median 000,634,971  
2012-03-16PRINThr 13 15M 4 |_+_________| avg 000,522,112 median 000,426,027  
2012-03-16PRINThr 14 15M 1 |__+________| avg 000,682,746 median 000,401,901  
2012-03-16PRINThr 14 15M 2 |_+_________| avg 000,630,662 median 000,359,501  
2012-03-16PRINThr 14 15M 3 |_+_________| avg 000,640,992 median 000,447,274  
2012-03-16PRINThr 14 15M 4 |_+_________| avg 000,556,925 median 000,505,954  
2012-03-16PRINThr 15 15M 1 |_+_________| avg 000,574,509 median 000,527,703  
2012-03-16PRINThr 15 15M 2 |__+________| avg 000,692,671 median 000,534,495  
2012-03-16PRINThr 15 15M 3 |__+________| avg 000,759,563 median 000,739,576  
2012-03-16PRINThr 15 15M 4 |_____+_____| avg 001,267,146 median 001,122,006

ONNN (ON Semi)  
2012-03-20PRINTaverage daily volume: 007,519,430  
2012-03-20PRINThr 09 15M 3 |_+_________| avg 000,237,576 median 000,186,468  
2012-03-20PRINThr 09 15M 4 |+__________| avg 000,223,283 median 000,173,341  
2012-03-20PRINThr 10 15M 1 |___+_______| avg 000,259,366 median 000,189,085  
2012-03-20PRINThr 10 15M 2 |_____+_____| avg 000,281,018 median 000,198,247  
2012-03-20PRINThr 10 15M 3 |_____+_____| avg 000,287,848 median 000,201,619  
2012-03-20PRINThr 10 15M 4 |__________+| avg 000,350,042 median 000,207,198  
2012-03-20PRINThr 11 15M 1 |_________+_| avg 000,340,653 median 000,211,236  
2012-03-20PRINThr 11 15M 2 |________+__| avg 000,324,139 median 000,202,714  
2012-03-20PRINThr 11 15M 3 |_____+_____| avg 000,286,178 median 000,205,761  
2012-03-20PRINThr 11 15M 4 |_________+_| avg 000,332,328 median 000,259,333  
2012-03-20PRINThr 12 15M 1 |________+__| avg 000,321,328 median 000,245,583  
2012-03-20PRINThr 12 15M 2 |________+__| avg 000,320,378 median 000,240,944  
2012-03-20PRINThr 12 15M 3 |_______+___| avg 000,316,508 median 000,249,354  
2012-03-20PRINThr 12 15M 4 |______+____| avg 000,300,224 median 000,245,325  
2012-03-20PRINThr 13 15M 1 |________+__| avg 000,320,301 median 000,242,133  
2012-03-20PRINThr 13 15M 2 |________+__| avg 000,326,379 median 000,274,737  
2012-03-20PRINThr 13 15M 3 |________+__| avg 000,324,037 median 000,248,464  
2012-03-20PRINThr 13 15M 4 |_______+___| avg 000,306,500 median 000,220,496  
2012-03-20PRINThr 14 15M 1 |_____+_____| avg 000,285,140 median 000,193,687  
2012-03-20PRINThr 14 15M 2 |__+________| avg 000,248,875 median 000,199,446  
2012-03-20PRINThr 14 15M 3 |___+_______| avg 000,257,385 median 000,191,004  
2012-03-20PRINThr 14 15M 4 |____+______| avg 000,275,044 median 000,190,443  
2012-03-20PRINThr 15 15M 1 |_+_________| avg 000,238,376 median 000,176,720  
2012-03-20PRINThr 15 15M 2 |___+_______| avg 000,257,596 median 000,219,895  
2012-03-20PRINThr 15 15M 3 |__+________| avg 000,250,348 median 000,200,369  
2012-03-20PRINThr 15 15M 4 |__+________| avg 000,248,569 median 000,176,774  
2012-03-20PRINTStudy crossed 10 option expirations.  
2012-03-20PRINTaverage expiration volume: 007,584,663  
2012-03-20PRINThr 09 15M 3 |_____+_____| avg 000,321,468 median 000,290,957  
2012-03-20PRINThr 09 15M 4 |__+________| avg 000,219,986 median 000,167,514  
2012-03-20PRINThr 10 15M 1 |___+_______| avg 000,254,648 median 000,235,008  
2012-03-20PRINThr 10 15M 2 |______+____| avg 000,367,685 median 000,270,763  
2012-03-20PRINThr 10 15M 3 |_______+___| avg 000,388,315 median 000,229,008  
2012-03-20PRINThr 10 15M 4 |____+______| avg 000,304,486 median 000,278,011  
2012-03-20PRINThr 11 15M 1 |_____+_____| avg 000,304,868 median 000,265,837  
2012-03-20PRINThr 11 15M 2 |___+_______| avg 000,270,482 median 000,184,454  
2012-03-20PRINThr 11 15M 3 |_____+_____| avg 000,330,805 median 000,340,240  
2012-03-20PRINThr 11 15M 4 |__________+| avg 000,488,091 median 000,339,241  
2012-03-20PRINThr 12 15M 1 |_______+___| avg 000,394,399 median 000,329,909  
2012-03-20PRINThr 12 15M 2 |____+______| avg 000,302,806 median 000,207,087  
2012-03-20PRINThr 12 15M 3 |_______+___| avg 000,373,768 median 000,256,088  
2012-03-20PRINThr 12 15M 4 |____+______| avg 000,281,818 median 000,208,956  
2012-03-20PRINThr 13 15M 1 |______+____| avg 000,367,476 median 000,314,957  
2012-03-20PRINThr 13 15M 2 |_____+_____| avg 000,335,594 median 000,280,374  
2012-03-20PRINThr 13 15M 3 |_____+_____| avg 000,334,642 median 000,232,515  
2012-03-20PRINThr 13 15M 4 |___+_______| avg 000,243,878 median 000,262,429  
2012-03-20PRINThr 14 15M 1 |__+________| avg 000,206,994 median 000,163,372  
2012-03-20PRINThr 14 15M 2 |__+________| avg 000,210,918 median 000,170,927  
2012-03-20PRINThr 14 15M 3 |__+________| avg 000,224,448 median 000,224,330  
2012-03-20PRINThr 14 15M 4 |__+________| avg 000,223,255 median 000,173,082  
2012-03-20PRINThr 15 15M 1 |___+_______| avg 000,237,890 median 000,144,205  
2012-03-20PRINThr 15 15M 2 |___+_______| avg 000,244,763 median 000,222,341  
2012-03-20PRINThr 15 15M 3 |_+_________| avg 000,196,698 median 000,167,815  
2012-03-20PRINThr 15 15M 4 |+__________| avg 000,154,474 median 000,109,924

ADI  
2012-03-16PRINTaverage daily volume: 003,587,201  
2012-03-16PRINThr 09 15M 3 |___+_______| avg 000,157,131 median 000,119,771  
2012-03-16PRINThr 09 15M 4 |___+_______| avg 000,142,452 median 000,116,636  
2012-03-16PRINThr 10 15M 1 |__+________| avg 000,141,661 median 000,119,205  
2012-03-16PRINThr 10 15M 2 |__+________| avg 000,141,752 median 000,114,394  
2012-03-16PRINThr 10 15M 3 |__+________| avg 000,131,459 median 000,105,712  
2012-03-16PRINThr 10 15M 4 |__+________| avg 000,125,219 median 000,103,020  
2012-03-16PRINThr 11 15M 1 |__+________| avg 000,132,247 median 000,104,010  
2012-03-16PRINThr 11 15M 2 |__+________| avg 000,131,928 median 000,100,130  
2012-03-16PRINThr 11 15M 3 |_+_________| avg 000,120,514 median 000,099,078  
2012-03-16PRINThr 11 15M 4 |_+_________| avg 000,120,559 median 000,090,018  
2012-03-16PRINThr 12 15M 1 |__+________| avg 000,125,242 median 000,091,855  
2012-03-16PRINThr 12 15M 2 |+__________| avg 000,106,182 median 000,079,723  
2012-03-16PRINThr 12 15M 3 |+__________| avg 000,097,519 median 000,081,081  
2012-03-16PRINThr 12 15M 4 |+__________| avg 000,102,500 median 000,083,730  
2012-03-16PRINThr 13 15M 1 |+__________| avg 000,097,776 median 000,083,051  
2012-03-16PRINThr 13 15M 2 |_+_________| avg 000,108,144 median 000,083,857  
2012-03-16PRINThr 13 15M 3 |_+_________| avg 000,109,571 median 000,084,394  
2012-03-16PRINThr 13 15M 4 |_+_________| avg 000,115,072 median 000,085,748  
2012-03-16PRINThr 14 15M 1 |_+_________| avg 000,115,730 median 000,086,777  
2012-03-16PRINThr 14 15M 2 |_+_________| avg 000,122,450 median 000,096,041  
2012-03-16PRINThr 14 15M 3 |__+________| avg 000,136,221 median 000,104,120  
2012-03-16PRINThr 14 15M 4 |___+_______| avg 000,158,995 median 000,122,469  
2012-03-16PRINThr 15 15M 1 |______+____| avg 000,207,033 median 000,152,691  
2012-03-16PRINThr 15 15M 2 |__________+| avg 000,275,316 median 000,222,625  
2012-03-16PRINThr 15 15M 3 |_____+_____| avg 000,194,803 median 000,159,642  
2012-03-16PRINThr 15 15M 4 |____+______| avg 000,169,711 median 000,137,864  
2012-03-16PRINTStudy crossed 10 option expirations.  
2012-03-16PRINTaverage expiration volume: 004,609,809  
2012-03-16PRINThr 09 15M 3 |___+_______| avg 000,242,104 median 000,171,285  
2012-03-16PRINThr 09 15M 4 |___+_______| avg 000,214,426 median 000,163,810  
2012-03-16PRINThr 10 15M 1 |_+_________| avg 000,130,236 median 000,115,194  
2012-03-16PRINThr 10 15M 2 |_+_________| avg 000,147,502 median 000,116,753  
2012-03-16PRINThr 10 15M 3 |__+________| avg 000,182,218 median 000,115,886  
2012-03-16PRINThr 10 15M 4 |+__________| avg 000,118,249 median 000,094,463  
2012-03-16PRINThr 11 15M 1 |+__________| avg 000,119,959 median 000,119,459  
2012-03-16PRINThr 11 15M 2 |_+_________| avg 000,130,642 median 000,105,736  
2012-03-16PRINThr 11 15M 3 |+__________| avg 000,107,260 median 000,103,464  
2012-03-16PRINThr 11 15M 4 |_+_________| avg 000,143,292 median 000,136,445  
2012-03-16PRINThr 12 15M 1 |+__________| avg 000,122,612 median 000,120,264  
2012-03-16PRINThr 12 15M 2 |_+_________| avg 000,147,716 median 000,122,429  
2012-03-16PRINThr 12 15M 3 |_+_________| avg 000,132,262 median 000,081,132  
2012-03-16PRINThr 12 15M 4 |_+_________| avg 000,138,705 median 000,092,625  
2012-03-16PRINThr 13 15M 1 |_+_________| avg 000,150,207 median 000,125,637  
2012-03-16PRINThr 13 15M 2 |_+_________| avg 000,144,928 median 000,148,892  
2012-03-16PRINThr 13 15M 3 |_+_________| avg 000,156,222 median 000,144,619  
2012-03-16PRINThr 13 15M 4 |_+_________| avg 000,162,929 median 000,146,997  
2012-03-16PRINThr 14 15M 1 |_+_________| avg 000,156,167 median 000,138,152  
2012-03-16PRINThr 14 15M 2 |__+________| avg 000,172,839 median 000,140,166  
2012-03-16PRINThr 14 15M 3 |__+________| avg 000,183,271 median 000,135,133  
2012-03-16PRINThr 14 15M 4 |__+________| avg 000,189,959 median 000,222,068  
2012-03-16PRINThr 15 15M 1 |_____+_____| avg 000,301,540 median 000,293,434  
2012-03-16PRINThr 15 15M 2 |__________+| avg 000,507,824 median 000,378,962  
2012-03-16PRINThr 15 15M 3 |__+________| avg 000,203,917 median 000,179,646  
2012-03-16PRINThr 15 15M 4 |__+________| avg 000,202,813 median 000,157,100

BAC  
2012-03-16PRINTaverage daily volume: 243,825,571  
2012-03-16PRINThr 09 15M 3 |_________+_| avg 015,521,787 median 013,429,554  
2012-03-16PRINThr 09 15M 4 |_____+_____| avg 011,387,583 median 009,054,791  
2012-03-16PRINThr 10 15M 1 |____+______| avg 010,664,089 median 008,757,497  
2012-03-16PRINThr 10 15M 2 |__+________| avg 009,079,478 median 008,082,364  
2012-03-16PRINThr 10 15M 3 |__+________| avg 008,496,259 median 007,400,628  
2012-03-16PRINThr 10 15M 4 |_+_________| avg 008,136,785 median 007,299,275  
2012-03-16PRINThr 11 15M 1 |_+_________| avg 007,654,805 median 006,536,131  
2012-03-16PRINThr 11 15M 2 |+__________| avg 006,937,804 median 005,962,846  
2012-03-16PRINThr 11 15M 3 |+__________| avg 007,068,826 median 005,812,041  
2012-03-16PRINThr 11 15M 4 |+__________| avg 006,797,928 median 005,728,179  
2012-03-16PRINThr 12 15M 1 |_+_________| avg 007,427,423 median 005,537,701  
2012-03-16PRINThr 12 15M 2 |_+_________| avg 007,378,334 median 005,724,705  
2012-03-16PRINThr 12 15M 3 |__+________| avg 008,227,304 median 006,829,256  
2012-03-16PRINThr 12 15M 4 |_____+_____| avg 011,102,537 median 007,782,547  
2012-03-16PRINThr 13 15M 1 |________+__| avg 014,200,117 median 008,013,409  
2012-03-16PRINThr 13 15M 2 |___+_______| avg 009,905,947 median 007,229,537  
2012-03-16PRINThr 13 15M 3 |___+_______| avg 009,916,272 median 007,553,527  
2012-03-16PRINThr 13 15M 4 |__+________| avg 008,918,408 median 007,086,295  
2012-03-16PRINThr 14 15M 1 |__+________| avg 008,764,879 median 007,453,322  
2012-03-16PRINThr 14 15M 2 |_+_________| avg 008,174,598 median 006,734,771  
2012-03-16PRINThr 14 15M 3 |_+_________| avg 008,146,235 median 007,139,842  
2012-03-16PRINThr 14 15M 4 |+__________| avg 007,215,071 median 006,333,426  
2012-03-16PRINThr 15 15M 1 |__+________| avg 008,234,278 median 007,177,224  
2012-03-16PRINThr 15 15M 2 |__+________| avg 008,572,296 median 007,643,116  
2012-03-16PRINThr 15 15M 3 |___+_______| avg 009,821,941 median 008,888,149  
2012-03-16PRINThr 15 15M 4 |__________+| avg 016,074,574 median 014,945,407  
2012-03-16PRINTStudy crossed 10 option expirations.  
2012-03-16PRINTaverage expiration volume: 243,635,955  
2012-03-16PRINThr 09 15M 3 |________+__| avg 017,871,727 median 017,308,634  
2012-03-16PRINThr 09 15M 4 |____+______| avg 011,152,336 median 012,650,340  
2012-03-16PRINThr 10 15M 1 |___+_______| avg 010,173,744 median 009,233,743  
2012-03-16PRINThr 10 15M 2 |___+_______| avg 009,540,945 median 008,301,491  
2012-03-16PRINThr 10 15M 3 |__+________| avg 009,185,598 median 010,915,142  
2012-03-16PRINThr 10 15M 4 |__+________| avg 008,271,923 median 007,804,277  
2012-03-16PRINThr 11 15M 1 |_+_________| avg 007,721,010 median 007,412,485  
2012-03-16PRINThr 11 15M 2 |+__________| avg 005,241,882 median 005,272,772  
2012-03-16PRINThr 11 15M 3 |__+________| avg 008,979,490 median 007,545,679  
2012-03-16PRINThr 11 15M 4 |+__________| avg 006,031,106 median 005,280,737  
2012-03-16PRINThr 12 15M 1 |_+_________| avg 006,665,060 median 005,123,949  
2012-03-16PRINThr 12 15M 2 |+__________| avg 005,321,939 median 004,169,064  
2012-03-16PRINThr 12 15M 3 |_+_________| avg 007,128,240 median 004,857,675  
2012-03-16PRINThr 12 15M 4 |___+_______| avg 010,055,440 median 004,620,264  
2012-03-16PRINThr 13 15M 1 |__________+| avg 021,798,791 median 008,431,835  
2012-03-16PRINThr 13 15M 2 |____+______| avg 011,228,475 median 006,272,248  
2012-03-16PRINThr 13 15M 3 |____+______| avg 011,439,468 median 009,170,773  
2012-03-16PRINThr 13 15M 4 |___+_______| avg 009,785,961 median 008,318,089  
2012-03-16PRINThr 14 15M 1 |__+________| avg 007,949,213 median 007,852,152  
2012-03-16PRINThr 14 15M 2 |_+_________| avg 007,389,050 median 006,329,706  
2012-03-16PRINThr 14 15M 3 |__+________| avg 008,909,601 median 006,842,280  
2012-03-16PRINThr 14 15M 4 |_+_________| avg 006,736,063 median 005,246,913  
2012-03-16PRINThr 15 15M 1 |_+_________| avg 007,105,542 median 006,315,223  
2012-03-16PRINThr 15 15M 2 |_+_________| avg 007,236,019 median 006,319,229  
2012-03-16PRINThr 15 15M 3 |_+_________| avg 007,236,062 median 006,088,946  
2012-03-16PRINThr 15 15M 4 |_____+_____| avg 013,481,257 median 010,778,926
4 responses
Grant Kiehne
Dec 9, 2012

James,

One thought is to consider if there would be a way to see if the daily volume patterns persist over days/weeks/months/years. If/when plotting is enabled in Quantopian, I think it'd be straightforward to generate appropriate plots to get a sense what type of quantitative analysis would be appropriate (e.g. autocorrelation? FFT? etc.). Basically, the idea is to do some form of quantitative pattern recognition on the minutely volume versus time and then see if it is a price predictor. For example, if the pattern strengthens/weakens or disappears, then it might be a signal that something has changed with respect to a security.

Grant Kiehne
Dec 11, 2012

Hello James,

It was suggested to me that principal component analysis might be useful here for pattern recognition:

http://scikit-learn.org/stable/modules/decomposition.html#principal-component-analysis-pca

The details are beyond me at this point, but I figured somebody might be able to benefit from the feedback.

James Jack
Dec 11, 2012

Hi Grant,

I've looked at the following material that explains PCA in terms of face recognition here.

In this case essentially it tries to match a new pattern against the known patterns by finding the smallest variance between them.

What would be the application of this? is it to simply work out if the variance is big enough to suggest the pattern is not within normal bounds?

It would actually be possible to include indicators in the data set... e.g. volume, price, RSI, ATR or something like this, for instance.

Grant Kiehne
Dec 12, 2012

Hello James,

I'm not familiar with PCA (but I'll try to learn a bit when I get the chance). The basic idea in my mind is to understand how the trading volume patterns you show above vary with time, and how the variance (if any) correlates to price, for example. Perhaps the relative strength of a pattern one day predicts the price the next day. I don't have any basis for a correlation, but the patterns above are quite distinct, so maybe they'd be useful.

Grant

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