How it works
The Options Screener works on a market-wide snapshot of options data rather than one chain at a time. This page explains, at a high level, the data behind the tool, the metrics it derives, and how it stays responsive across a universe of roughly 1.4 million contracts. The Options Screener is available to signed-in Pro accounts. Free and Pro Lite do not include access.
What it shows
The screener combines ingested market data, derived metrics, and your filters into a single fast table. The flow runs in the following stages.
The data it reads
The tool reads daily options data from AlphaVantage for the U.S. market. For each contract that includes prices (last, bid, ask, and mark), volume, open interest, implied volatility, and the standard Greeks (delta, gamma, theta, vega, and rho). Underlying stock prices and the U.S. Treasury reference rates also come from AlphaVantage. Quotes for the underlying come via AlphaVantage. The screener shows the most recent daily snapshot, and each contract's detail view includes its day-by-day history.
The metrics it derives
From those inputs the screener derives the additional metrics you filter and sort on:
- Days to expiration, moneyness, spread percent, and the volume-to-open-interest ratio.
- IV rank and IV percentile over the past year.
- A model-based theoretical price and the resulting edge in dollars and percent.
- Probabilities of finishing in or out of the money, and the break-even price.
- A composite 0 to 100 liquidity score.
- Ticker-level aggregates: put/call ratios, average IV, skew, the term-structure IVs and slope, and gamma and vega exposure.
The model behind the theoretical price, the edge, the probabilities, and the liquidity score is proprietary to GNG Research. This documentation describes what each output measures, the categories of inputs that feed it, its scale, and how to read it, but not the internal formulas, weights, or thresholds. The transparent derived figures, such as spread percent and break-even, are explained in full in Results and columns.
How filtering and loading work
When you set filters, the tool finds the contracts in the snapshot that match your criteria, applies your sort, and returns results in batches so a universe of roughly 1.4 million rows stays responsive. The Include N/A values option controls whether contracts missing a given metric are kept or dropped. The filter panel's live minimum, maximum, and average summaries are computed from the current data, so your slider bounds reflect what is actually in the market right now rather than fixed guesses.
How the contract detail view is built
Opening a contract pulls its full day-by-day history for the chart and the history table, and overlays the underlying stock's closing prices on matching dates. For how to read that view, see How to read the results.
Use cases
- Understand why a filter's slider bounds shift over time: they track the live minimum and maximum in the current snapshot.
- Know what a missing value means: a contract can lack a metric, in which case it shows as N/A and the Include N/A option decides whether it stays in your result.
- Set expectations on freshness: the table reflects the latest daily snapshot, so it is a daily, not intraday, view of the market.