Estimating the Notional Value of a Large SPY Call Trade from Option Volume

Summary

The document explains how an observer could estimate the gross premium associated with a reported SPY call trade using option-chain data. The key inputs are the option’s trading volume, the contract multiplier, and the option price. In the example, the cited volume is about 50,000 contracts, each typically representing 100 shares, and the price is $0.13; multiplying those inputs gives an estimated premium of $650,000.

This arithmetic can explain how someone arrived at a headline figure for the trade’s apparent size. However, volume alone does not establish that one trader made the entire trade or whether the activity was bullish: it can include multiple buyers and sellers, and the transaction’s opening or closing status and execution details are not provided. The stated expectation of a substantial near-term rise is an interpretation of the call’s strike and expiry, rather than evidence about the trader’s actual view. The document offers a simple calculation, not confirmation of trade identity or intent.

Key ideas

• Option-chain volume can be multiplied by the contract multiplier and option price to estimate aggregate premium traded.
• The example uses about 50,000 contracts, a 100-share multiplier, and a $0.13 option price.
• Volume does not by itself show that a single trader executed all contracts or reveal whether trades opened or closed positions.
• An option’s strike and expiry can suggest a directional interpretation, but they do not prove the trader’s intent.

Tags

# Option data analysis


# Option data analysis












This question is regarding the following tweet: https://twitter.com/yuriymatso/status/1281730109141954561

How was the original tweeter able to know that "Someone made a `$`650K bullish bet via 24 July'20 $340 calls expecting SPY to go up at least 8% in the next 2 weeks." I am not saying what he said was right or wrong but just what did he see or where he saw what data which had him conclude this statement. I am sure this was something he may have seen in the option chain perhaps. Any help or even if you could possibly point to a resource would be very much appreciated.

## Answer by mindandfields (score 4, accepted)

https://quant.stackexchange.com/a/55596

He circled the volume of the option in question. It was roughly 50,000 and one option contract is usually for 100 shares. Price was 0.13.

$50k*100*0.13 = 650k$

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.