Net premium drift

How net call and net put premium are counted through the session, what the crosses mean, how to read drift against price, and how to read several sessions side by side.

Net premium drift (/SPX/drift) adds up the premium paid for one ticker's calls and puts through a session, a minute at a time, and draws it against the price. Two lines answer two questions: are traders net buyers or sellers of calls, and of puts?

How it's counted

Each option trade is given a side from where it printed against the quote:

• At or above the ask, or above the mid: bought.
• At or below the bid, or below the mid: sold.
• At the mid exactly, or without a quote: neither.

Its premium is price × size × 100. Net premium is the bought premium minus the sold premium. Then, from the open:

net call = Σ net premium over calls
net put  = Σ net premium over puts
spread   = net call − net put

Multi-leg trades, floor trades, cancelled and out-of-sequence prints, trades outside the regular session, and strikes more than 15% from the price are left out, so the lines track single, directional trades near the money.

Reading the chart

• Net call (green) rising means calls are being bought. Falling means calls are being sold.
• Net put (red) rising means puts are being bought. Falling means puts are being sold.
• The price (yellow) runs on its own axis on the right.
• The call − put area under the chart is the spread: above zero is bullish money (calls bought, puts sold), below zero bearish money.

Calls bought with puts sold leans bullish. Puts bought with calls sold leans bearish. Both lines rising together often means traders are buying protection or volatility on both sides, which says more about an expected move than its direction. Drift that climbs while price falls, or the reverse, is a divergence worth a look.

Several sessions: 5D and 10D

The range in the header shows the last 5 or 10 sessions side by side, so you can see whether the money has leaned one way for days or flips every session.

• Each session starts from zero at its open: it is that session's drift. A line marks where each session opens, with its date under the axis. Nights and weekends are left out.
• A point every 5 minutes at 5D and 10D. Each point is the running total at that minute, so nothing is averaged away.
• Under the chart, the call − put area runs through each session from its open, as on 1D: green where the money leans bullish, red where it leans bearish. Where it changes colour is about where net call crossed net put, so the crosses aren't marked on a range.
• Under that, net volume: call contracts bought minus sold, less put contracts bought minus sold, since each open. Above zero is bullish volume. It counts contracts, not dollars, so a day of many small bullish trades and a day of a few large ones read differently than on the premium lines.
• The strip adds up the sessions shown: net call, net put, and spread over the whole range, and the range's net volume.
• A ticker followed live draws at once. For another ticker, the newest session comes first and the earlier ones fill in over the next few minutes; sessions still loading are hatched in place.
• During the session, a ticker that isn't followed live ends with its last session ("Through Wed Oct 15").

Drag across the chart to zoom into a stretch, across sessions too: the areas under it follow.

The strip

A bull cross is net call moving above net put, a bear cross below. To ignore chatter, the gap has to clear 1% of the gross before it counts, and the cross is dated at the minute the gap first turned that way.

Controls

• Range: 1D, or 5D and 10D side by side through the latest session.
• Session (1D): the last session or an earlier one. A past session loads the first time it's opened.
• Moneyness: all, at the money (within 1% of the price), in the money, or out of the money.
• Expirations: within 45 days by default (each session's own 45 days on a range), every date, or dates you pick.
• Smoothing (in the cog, on by default): a 5-minute average of the lines. The strip and the crosses always read the raw totals.

Drag across the chart to zoom to a stretch of the session; Reset zoom or a double-click goes back.

Which tickers

Tickers followed live, SPX, SPY, QQQ, and IWM among them, are counted from the open every session. Any other ticker's past sessions open on request. Live drift for a ticker outside that list isn't available, and the page offers the last session instead.

Net premium drift, every range included, is on Pro. It can also be an added panel on the overview.