Options Market Scanner

Last reviewed: May 17, 2026 by Options Analysis Suite Research.

The main landing page features a market scanner that surfaces actionable options opportunities across the S&P 500, S&P 400, and S&P 600 universes and major ETFs. Updates daily using end-of-day professional-grade options data. Filter and sort by trading activity, open interest, implied volatility, and unusual activity patterns. Select any symbol to navigate directly to its dedicated asset page.

The scanner takes a cross-sectional view of the market, comparing all tickers against each other on the same day to answer "which tickers have elevated IV, unusual volume, or notable activity right now?" Market-wide IV trends aggregate ATM IV (30-day tenor) across all tracked symbols, capturing broad idiosyncratic sentiment: when many individual names see IV spikes simultaneously, it shows up here even if index-level volatility remains calm. This complements the Market Regime Detector, which takes a longitudinal view of each symbol's regime shifts over time.

Level-Based Leaderboards

Rank tickers by the current absolute level of a metric. Each has a dedicated SEO-indexable URL that updates daily after market close.

• Most Active Options: Highest-volume tickers in the current session.
• Highest Open Interest: Tickers with the largest accumulated outstanding positions.
• High IV Rank: Elevated implied volatility for premium selling or volatility plays.
• Unusual Activity: Breadth count of contracts with vol/OI > 2 AND vol >= 500. Ranks tickers by how many strikes are trading genuinely hot, not by chain-wide averages.
• Gamma Exposure Leaders: Tickers with the largest absolute dealer gamma footprint.

Day-Over-Day Change Leaderboards

Rank tickers by the one-session delta of a metric, the signal that catches regime transitions and fresh flow the moment positioning actually shifts. Requires two consecutive scan sessions to populate; cold-starts display a "warming up" state.

• Biggest GEX Change: Largest day-over-day shift in net dealer gamma. Flips between positive-gamma (vol-dampening) and negative-gamma (vol-amplifying) regimes.
• Biggest IV Change: Largest one-session move in 30D ATM IV. Positive equals event-driven IV expansion; negative equals post-event IV crush.
• Biggest Put/Call Change: Largest shift in put/call volume ratio. Isolates fresh directional flow rather than regime-level level.

Max Pain Positioning

Max pain is the strike at which the aggregate dollar value of outstanding contracts would expire with the least total intrinsic value: the price where option writers collectively lose the least. The pinning effect is conditionally real: strongest on high-OI index ETFs near expiration with a chain whose gamma is concentrated into a small number of strikes, weaker or absent when gamma is diffuse. These two screeners surface the structural conditions associated with pinning pressure rather than asserting that a pin will occur.

• Max Pain Pinning Candidates: Liquid names where spot is within plus or minus 2% of the front-month max-pain strike AND dealer gamma is concentrated across relatively few strikes on that chain (HHI of |net gamma| at or above 0.10). Ranked by composite score (gamma concentration multiplied by total OI divided by distance). Candidate setups for iron flies, short straddles, and butterfly pin trades. The gamma-concentration field is chain-wide, not specifically "at max pain," so treat the signal as circumstantial rather than structurally causal.
• Max Pain Divergence: Where spot has drifted farthest from max pain, normalized by the front-expiration implied move. Z-score = (spot - max pain) / (spot * 30D ATM IV * sqrt(DTE/252)). |Z| > 1 is meaningful; |Z| > 2 is extreme. Regime-level signal, not a trade trigger. Persistent divergence is empirically associated with negative-gamma regimes and elevated realized volatility, though the relationship is correlational rather than mechanical.

Multi-Model Regime Detection

Three screeners operationalize the 8-model calibration suite (Black-Scholes, Heston, SABR, Bates, Merton, Kou, Variance Gamma, eSSVI) into daily-updated per-symbol regime signals. Coverage is a curated ~124-symbol regime universe spanning single stocks, sector ETFs, and bond ETFs; currently each symbol lives in exactly one scope in regime_daily (bellwether, sector, fixed_income, etc.), and the screeners read across all scopes so coverage is uniform.

• Model Divergence: Robust dispersion score (MAD/median of iv_rmse) across the 8 calibrated models. Requires at least 6 valid fits per symbol and at least 10 options per fit. High dispersion flags surface features (jumps, stochastic vol, heavy tails) that only a subset of models capture; the displayed median RMSE separates "all models agree well" from "all models agree poorly".
• Regime Stress Leaders: Ranks by stress_score filtered to Elevated / Stress / Crisis labels only. Shows the top driver feature (model_disagreement, tail_dominance, term_structure, turbulence, surface_complexity, vol_level, skew) plus confidence.
• Biggest Regime Change: Day-over-day stress_score delta. All labels (transitions OUT of stress are as interesting as transitions IN). Pairs with Model Divergence as the regime-transition stack.

Volatility Risk Premium (VRP)

• Highest VRP: Biggest 30D ATM IV minus 20D HV spread. Common premium-selling screening signal: iron condors, short strangles, and covered calls are natural structures. Spread is the primary sort metric; ratio is a display column only (unstable when HV is near zero).
• Lowest VRP: Most-negative IV minus HV spread. Rare equity setup where implied vol is cheap relative to realized; long-premium structures (long straddles, strangles, calendars) can be favorably priced.

Term Structure and Event-Pricing

• Term Structure Backwardation: Deepest IV curve inversions. term_structure_slope is defined as (far IV minus near IV), so most-negative values represent near-dated IV above far-dated, the classic pre-event pricing pattern. Post-event collapse of the front end is a classic calendar-spread setup.
• Pre-Earnings IV Expansion: Symbols with earnings in the next 14 days AND rising event-week IV. Matched-tenor pairing: uses atm_iv_7d when both sessions have it, falls back to atm_iv_30d when both have it, drops rows otherwise. Filter to positive deltas only.

Volatility Skew

• Put Skew Leaders: Steepest 25-delta put-call skew: put_iv_25d - call_iv_25d (fallback iv_skew_25d). Reflects elevated crash-protection demand. Structurally high on index ETFs; single-stock rankings are the more actionable signal.
• Biggest Skew Change: Day-over-day delta in 25-delta skew. Steepening equals fresh crash-protection demand; flattening equals complacency or forced put-sellers covering. Isolates fresh flow rather than structurally-high-skew names.

Unusual Directional Activity

Call/put split of unusual-activity, which is what the existing Unusual Activity screener cannot show by itself. Ranked by Volume/OI ratio with minimum floors. Not "sweep" detection: the platform processes daily aggregates, not trade-level aggressor data.

• Unusual Call Activity: Call Vol/OI outliers. Min call volume 5,000, min call OI 10,000.
• Unusual Put Activity: Put Vol/OI outliers with matching floors.

Greek Exposure

Completes the Greek-exposure triad alongside the existing Gamma Exposure Leaders. Each family uses a distinct sign convention consistent with the implementation in proxy/lib/exposure-compute.ts: GEX uses call + / put - (calls contribute positive gamma, puts negative); DEX uses call - / put + (calls contribute negative delta, puts positive), so dealer stock hedging flows move in the opposite direction of persisted net_dex. Vega-family values (net vex, vanna, charm, vomma) are dealer-perspective net exposures computed from the underlying option Greeks, but they are NOT direct stock-flow signals: vega and vomma measure dealer volatility exposure (how the book re-prices as IV shifts), while vanna and charm modulate delta-hedging flows as IV and time change, so they affect stock hedging indirectly through the delta channel rather than generating a direct flow in the underlying.

• Delta Exposure Leaders: Biggest |net_dex|. Negative net_dex equals dealer short-call-heavy then hedged long stock; positive net_dex equals dealer short-put-heavy then hedged short stock. Shows both raw value and DEX/OI (normalized inventory intensity).
• Vega Exposure Leaders: Net vega, vanna, charm, and vomma. Vega, vanna, and vomma form the IV-sensitivity cluster; charm is a time-decay cross-Greek. Default sort by |net_vex|; columns are individually sortable client-side.

Daily Summary and Other Tools

• Morning Report: Single-page daily digest of selected key screeners. Current feeder sections: dealer GEX leaders, biggest overnight GEX / regime stress / IV / skew shifts, high-IV candidates, pre-earnings IV expansion, unusual activity, and upcoming earnings. Refreshes after each scan.
• Sparkline Charts: Visual price history for quick trend identification across scanner rows.
• Symbol Search: Type-ahead search with historical quote data.

All screener pages render from daily EOD scan_tickers / option_ticker_snapshots rollups. Real-time data requires a BYOK Tradier, Public.com, or tastytrade connection and is available on individual asset pages to authenticated users only.

This page is part of the Options Analysis Suite features overview. Browse the full documentation.