Volume study
In the Volume study you see, strike by strike, where operators are placing contracts in the market — the strikes on which the day’s trading activity concentrates. Like the Open Interest study, it can aggregate several expirations and save snapshots.
Where it is
Section titled “Where it is”Side menu, Symbol → Position Analysis → Volumes. It refers to the active symbol and is available on all plans, including Free.
Here too, use the symbols institutional desks follow most — SPX, NDX, VIX, GLD. It also works on futures, within the limits described in On futures.
How to run an analysis
Section titled “How to run an analysis”- Open the Expirations selector and tick one or more expiration dates (All and Clear at the top act on the whole list).
- Press Process.
- Optionally narrow the strikes with the Strike Filter, which appears after the first Process.
With several expirations selected, the chart shows the total volume across all of them, strike by strike.
The chart is a picture of the volume traded up to the moment you press Process: during the session it does not refresh by itself, press Process again to update it. As on the Open Interest study, the page remembers expirations, Strike Filter and selected snapshot for each symbol, and processes them again on the next visit.
Customising the view
Section titled “Customising the view”- Strike Filter — starts at ± 2% Moneyness, with the same options as the Open Interest study (All, Custom min to max, ± 1% to ± 50%) and Apply.
- Rotate chart — the bars start vertical, calls above and puts below; Rotate chart lays them horizontally.
- Zoom with the mouse wheel, then Reset Zoom; the camera icon (Save chart) and the expand icon (Full screen).
The legend gives the call and put totals and the P/C Ratio. The summary cards under the chart give Spot Price, Selected Expirations, Max Call Strike and Max Call Volume, Max Put Strike and Max Put Volume, and the Total Call and Total Put Volume.
Comparison snapshots
Section titled “Comparison snapshots”As with Open Interest, you can create a snapshot of the current analysis and compare it with following or previous days. Create snapshot names it after the date and time and the call and put totals; picked from the dropdown, it is drawn beside the current bars, with its own totals in the legend. Snapshots can be renamed and deleted, and — as on the Open Interest study — the feature requires exactly one processed expiration, so it is unavailable in multi-expiration mode (the dropdown reads Select one expiration).
Open Interest or Volumes?
Section titled “Open Interest or Volumes?”The Open Interest study shows positions that are already open; the Volume study shows the activity happening today. Used together they give a fuller picture of market positioning: a strike that is heavily traded today but carries little Open Interest is a position being opened, while heavy volume on a strike that already holds large Open Interest is more often a position being closed or rolled.
Why traders use it
Section titled “Why traders use it”Snapshots are the point. Volume resets every session, so a single day’s profile is a snapshot by nature — but comparing today’s profile with the same expiration’s profile from three sessions ago is what reveals a pattern: the same strike attracting flow repeatedly, or flow migrating steadily up or down the ladder as spot moves.
On futures
Section titled “On futures”It also works on futures with listed options, such as ES and NQ, with one difference from stocks and indices:
- Volume and open interest are only available for strikes near the price, about ±3% on ES. After Process the header says so with the Vol/OI only within ±X% notice, which gives the covered band (with several expirations, the narrowest one): a wider strike filter adds no data.
European symbols
Section titled “European symbols”- Italian stocks and the FTSE MIB, whose options trade on IDEM, work on end-of-day data: the header reads IDEM end-of-day volumes as of followed by the date, and the volume is that of the settlement day, not of today’s session.
- Symbols whose options trade only on Eurex show an End of Day data card in place of the study, with the buttons Build your strategies and EOD options chain.
Common mistakes
Section titled “Common mistakes”- Comparing volume across days without normalising for time of day. A profile captured at 10:00 is not comparable with one captured at the close.
- Expecting snapshots with several expirations processed. Process one expiration to enable them.
- Widening the strike filter on a futures contract and expecting more bars. Volume and open interest only arrive within the band the header notice gives: past it, the chart does not change.
- Reading volume as direction. It counts contracts traded, not the side that initiated.
Frequently asked questions
What is the Volume study in Gaudio OTT?
A position analysis that charts, strike by strike, the option volume traded on the active symbol. It can aggregate several expirations at once and supports snapshots for comparing activity across days.
What is the difference between the Volume study and the Open Interest study?
The Open Interest study shows contracts that are already open, so it describes accumulated positioning. The Volume study shows contracts traded today, so it describes current activity. Read together, heavy volume on a low-Open-Interest strike suggests a position being opened, while heavy volume on a high-Open-Interest strike more often means closing or rolling.
Does the Volume study work on futures?
Yes, on futures with listed options such as ES and NQ. Volume and open interest are only available for strikes near the price, though, about ±3% on ES, and the header notice gives the covered band.
Which plans include the Volume study?
All of them, including Free.
Why is the snapshot option disabled?
Because more than one expiration is processed. Snapshots require exactly one processed expiration.
Related pages
Section titled “Related pages”Ready to use Gaudio OTT?
Section titled “Ready to use Gaudio OTT?”Open your free account and put what you just read into practice.