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Market Scanner Types

Available market scans change based on the Instrument/Location criteria you select.

Market Scanner Parameters
Parameter	Description
Top% Gainers	Contracts whose last trade price shows the highest percent increase from the previous night's closing price.
Top% Losers	Contracts whose last trade price shows the lowest percent increase from the previous night's closing price.
Most Active	Contracts with the highest trading volume today, in terms of shares.
Not Open	Contracts that have not traded today.
Most Active($)	Contracts with the highest trading volume in terms of dollar amount.
Most Active (Avg$)	Contracts with the highest average trading volume in terms of dollar amount. The volume is averaged over the past 90 days.
Halted	Contracts for which trading has been halted.
Hot Contracts by Price	Contracts where: (lastTradePrice-prevClose)/avgDailyChange is highest in absolute value (positive or negative). The avgDailyChange is defined as an exponential moving average of the contract's (dailyClose-dailyOpen) Exponential Moving Average calculation is: (price - close) / close / historicalVolatility30
Hot Contracts by Volume	Contracts where: today'sVolume/avgDailyVolume is highest. avgDailyVolume is a 30-day exponential moving average of the contract's daily volume.
Top Trade Count	The top trade count during the day.
High Dividend Yield	Returns the top 750 US stocks with the highest dividend per share yield.
Top Trade Rate	Contracts with the highest number of trades in the past 60 seconds (regardless of the sizes of those trades). Displays the trades/minute field.
Top Price Range	The largest difference between today's high and low, or yesterday's close if outside of today's range.
Hot by Price Range	The largest price range (from Top Price Range calculation) over the volatility.
Top Volume Rate	The top volume rate per minute.
Top % Gainers Since Open	Shows contracts with the highest percent price INCREASE between the last trade and opening prices.
Top % Losers Since Open	Shows contracts with the highest percent price DECREASE between the last trade and opening prices.
Top Close-to-Open % Gainers	Shows contracts with the highest percent price INCREASE between the previous close and today's opening prices.
Top Close-to-Open % Losers	Shows contracts with the highest percent price DECREASE between the previous close and today's opening prices.
Highest Option Imp Vol*	Shows the top underlying contracts (stocks or indices) with the highest vega-weighted implied volatility of near-the-money options with an expiration date in the next two months.
Lowest Option Imp Vol*	Shows the top underlying contracts (stocks or indices) with the lowest vega-weighted implied volatility of near-the-money options with an expiration date in the next two months.
Top Option Imp Vol % Gainers*	Shows the top underlying contracts (stocks or indices) with the largest percent gain between current implied volatility and yesterday's closing value of the 15 minute average of implied volatility.
Top Option Imp Vol % Losers*	Shows the top underlying contracts (stocks or indices) with the largest percent loss between current implied volatility and yesterday's closing value of the 15 minute average of implied volatility.
High Option Imp Vol Over Historical*	Shows the top underlying contracts (stocks or indices) with the largest divergence between implied and historical volatilities.
Low Option Imp Vol Over Historical*	Shows the top underlying contracts (stocks or indices) with the smallest divergence between implied and historical volatilities.
Most Active by Opt Volume	Displays the most active contracts sorted descending by options volume.
Most Active by Opt Open Interest	Returns the top 50 underlying contracts with the (highest number of outstanding call contracts) + (highest number of outstanding put contracts)
High Opt Volume P/C Ratio	Put option volumes are divided by call option volumes and the top underlying symbols with the highest ratios are displayed.
Low Opt Volume P/C Ratio	Put option volumes are divided by call option volumes and the top underlying symbols with the lowest ratios are displayed.
High Option Open Interest P/C Ratio	Returns the top 50 contracts with the highest put/call ratio of outstanding option contracts.
Low Option Open Interest P/C Ratio	Returns the top 50 contracts with the lowest put/call ratio of outstanding option contracts.
Hot by Option Volume	Shows the top underlying contracts for highest options volume over a 10-day average.
13-Week High	The highest price for the past 13 weeks.
13-Week Low	The lowest price for the past 13 weeks.
26-Week High	The highest price for the past 26 weeks.
26-Week Low	The lowest price for the past 26 weeks.
52-Week High	The highest price for the past 52 weeks.
52-Week Low	The lowest price for the past 52 weeks.
High Growth Rate (Reuters)	Returns the top 50 contracts with the highest Earnings Per Share growth rate. Note that a new field, Growth Rate, is inserted after the Description field to display the EPS per contract.
Low Growth Rate (Reuters)	Returns the top 50 contracts with the lowest Earnings Per Share growth rate. Note that a new field, Growth Rate, is inserted after the Description field to display the EPS per contract.
High P/E Ratio (Reuters)	Returns the top 50 contracts with the highest Price to Earnings ratio. Note that a new field, P/E Ratio, is inserted after the Description field to display the P/E ratio per contract.
Low P/E Ratio (Reuters)	Returns the top 50 contracts with the lowest Price to Earnings ratio. Note that a new field, P/E Ratio, is inserted after the Description field to display the P/E ratio per contract.
High Quick Ratio (Reuters)	Returns the top 50 contracts with the highest "Quick" ratio. Note that a new field, Quick Ratio, is inserted after the Description field to display the Quick Ratio per contract.
Low Quick Ratio (Reuters)	Returns the top 50 contracts with the lowest "Quick" ratio. Note that a new field, Quick Ratio, is inserted after the Description field to display the Quick Ratio per contract.
High Dividend Yield (Reuters)	Returns the top 50 contracts with the highest dividend per share yield. Note that a new field, Div Per Share, is inserted after the Description field to display the per share dividend yield per contract.
Low Dividend Yield (Reuters)	Returns the top 50 contracts with the lowest dividend per share yield. Note that a new field, Div Per Share, is inserted after the Description field to display the per share dividend yield per contract.
High Return on Equity (Reuters)	Returns the top 50 contracts with the highest return on equity. Note that a new field, Return on Equity, is inserted after the Description field to display the return on equity per contract.
Low Return on Equity (Reuters)	Returns the top 50 contracts with the lowest return on equity. Note that a new field, Return on Equity, is inserted after the Description field to display the return on equity per contract.
High Price/Book Ratio (Reuters)	Returns the top 50 contracts with the highest price to book value per share ratio. Note that a new field, Price/Book Ratio, is inserted after the Description field to display the return on equity per contract.
Low Price/Book Ratio (Reuters)	Returns the top 50 contracts with the lowest price to book value per share ratio. Note that a new field, Price/Book Ratio, is inserted after the Description field to display the return on equity per contract.
Market Statistics	Let's you see exchange-specific statistics for: • Advancing, declining and unchanged issues • Up, down, unchanged and total volumes • TRIN and TICK indicators To use, select Market Statistics from the Instruments list, then select an exchange from the Location dropdown.
High Synth Bid Rev Yield	Highlights the highest synthetic EFP interest rates available. These rates are computed by taking the price differential between the SSF and the underlying stock and netting dividends to calculate an annualized synthetic implied interest rate over the period of the SSF. The High rates may present an investment opportunity.
Low Synth Bid Rev Yield	Highlights the lowest synthetic EFP interest rates available. These rates are computed by taking the price differential between the SSF and the underlying stock and netting dividends to calculate an annualized synthetic implied interest rate over the period of the SSF. The Low rates may present a borrowing opportunity.
Relevant EFPs	This tool scans the US market and returns all Exchange for Physicals relevant to your portfolio, based on the stock and SSF positions you currently hold. For more information on using EFPs to reduce your trading cost, see the Relevant EFPs user guide topic.

The following scanners are available, based on the selected instrument:

*30-day (V30) Implied Volatilities:

Implied volatility is calculated using a 100-step binary tree for American style options, and a Black-Scholes model for European style options. Interest rates are calculated using the settlement prices from the day’s Eurodollar futures contracts, and dividends are based on historical payouts.

The 30-day volatility is the at-market volatility estimated for a maturity thirty calendar days forward of the current trading day. It is based on option prices from two consecutive expiration months. The first expiration month is that which has at least eight calendar days to run. The implied volatility is estimated for the eight options on the four closest to market strikes in each expiry. The implied volatilities are fit to a parabola as a function of the strike price for each expiry. The at-the-market implied volatility for an expiry is then taken to be the value of the fit parabola at the expected future price for the expiry. A linear interpolation (or extrapolation, as required) of the 30-day variance based on the squares of the at-market volatilities is performed. V30 is then the square root of the estimated variance. If there is no first expiration month with less than sixty calendar days to run, we do not calculate a V30.