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About Market Scanners

Market scanners provide a quick scan of relevant markets and return the top financial instruments based on the instrument, parameter and filtering criteria you define.

Here is a list of the most common market scanner parameters available in WebTrader. There are many more scanner parameters available that are not listed here, and available market scans change based on the Instrument/Location criteria you select.

Parameter Description
Top % Gainers Instruments whose last trade price shows the highest percent increase from the previous night's closing price.
Top % Losers Instruments whose last trade price shows the lowest percent increase from the previous night's closing price.
Most Active Instruments with the highest trading volume today, based on units used (lots for US stocks; contract for derivatives and non-US stocks).
Not Open Instruments that have not traded today.
Most Active ($) Instruments with the highest trading volume today, based on dollar amount.
Halted Instruments for which trading has been halted.
Hot Contracts by Price

Instruments where:

(lastTradePrice-prevClose)/avgDailyChange is highest in absolute value (positive or negative).

The avgDailyChange is defined as an exponential moving average of theinst's (dailyClose-dailyOpen)

Hot Contracts by Volume

Instruments where:

today'sVolume/avgDailyVolume is highest.

avgDailyVolume is a 30-day exponential moving average of the instrument's daily volume.

Top Trade Count The top trade count during the day.
Top Trade Rate Instruments with the highest number of trades in the past 60 seconds (regardless of the sizes of those trades).
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 instruments with the highest percent price INCREASE between the last trade and opening prices.
Top % Losers Since Open Shows instruments with the highest percent price DECREASE between the last trade and opening prices.
Top Close-to-Open % Gainers Shows instruments with the highest percent price INCREASE between the previous close and today's opening prices.
Top Close-to-Open % Losers Shows instruments with the highest percent price DECREASE between the previous close and today's opening prices.
Highest Option Imp Vol* Shows the top underlying instruments (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 instruments (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 instruments (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 instruments (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 instruments (stocks or indices) with the largest divergence between implied and historical volatilities.
Low Option Imp Vol Over Historical* Shows the top underlying instruments (stocks or indices) with the smallest divergence between implied and historical volatilities.
Most Active by Opt Volume Displays the most active instruments sorted descending by options volume.
Most Active by Opt Open Interest Returns the top 50 underlying instruments with the (highest number of outstanding call instruments) + (highest number of outstanding put instruments)
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 instruments with the highest put/call ratio of outstanding option instruments.
Low Option Open Interest P/C Ratio Returns the top 50 instruments with the lowest put/call ratio of outstanding option instruments.
Hot by Option Volume Shows the top underlying instruments 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 instruments with the highest Earnings Per Share growth rate.
Low Growth Rate (Reuters) Returns the top 50 instruments with the lowest Earnings Per Share growth rate.
High P/E Ratio (Reuters) Returns the top 50 instruments with the highest Price to Earnings ratio.
Low P/E Ratio (Reuters) Returns the top 50 instruments with the lowest Price to Earnings ratio.
High Quick Ratio (Reuters) Returns the top 50 instruments with the highest "Quick" ratio.
Low Quick Ratio (Reuters) Returns the top 50 instruments with the lowest "Quick" ratio.
High Dividend Yield (Reuters) Returns the top 50 instruments with the highest dividend per share yield.
High Return on Equity (Reuters) Returns the top 50 instruments with the highest return on equity.
Low Return on Equity (Reuters) Returns the top 50 instruments with the lowest return on equity.
High Price/Book Ratio (Reuters) Returns the top 50 instruments with the highest price to book value per share ratio.
Low Price/Book Ratio (Reuters) Returns the top 50 instruments with the lowest price to book value per share ratio.

 

*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 instruments, and dividends are based on historical payouts.

The IB 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.