The conviction score and whale prints
A busy session puts thousands of unusual prints on the tape. Reading them all is not possible, and reading them in time order is not useful. The conviction score exists so the tape can be sorted by how much a print matters, and the tier tags exist so the ones that matter most can be found at a glance. This guide explains how the score is built, what the tiers mean and how the Whales board uses them.
Five parts and a bonus
Every print is scored from 0 to 100. The score is a sum of parts, each measuring one thing the tape knows about the trade.
Premium, up to 40 points. The money behind the trade, on a logarithmic scale from ten thousand dollars to two million dollars and above. The scale is logarithmic because premium is: a two million dollar print is not two hundred times more meaningful than a ten thousand dollar one, but it is a great deal more meaningful, and the log captures that.
Size against open interest, up to 20 points. A trade larger than the contract's open interest is new positioning by arithmetic and scores the full 20. A trade larger than half of open interest scores 10. Smaller trades score nothing here.
Sweep execution, 15 points. An order split across several exchanges to fill immediately paid for urgency, and urgency is information.
Execution side, up to 15 points. A trade above the ask or below the bid scores 15; at the ask or at the bid scores 8; at the midpoint scores nothing. This is the same evidence the sentiment inference uses, scored for how aggressive it was.
Aggressor distance, up to 10 points, for how far from the midpoint of the spread the trade printed. A fill at the far edge of a wide spread is more aggressive than a fill just past the midpoint of a narrow one.
Repeat flow, up to 10 points, added by the server when the same contract has already seen unusual prints earlier in the session. A second and third large trade in the same strike and expiry is a pattern rather than an event.
The tiers
The score sorts into three tiers. A print scoring 40 or more is Notable. It cleared the basic bar on more than one measure. A print scoring 60 or more is High Conviction. It is large, new and urgent in some combination. A print scoring 80 or more is a Whale, and so is any print with a million dollars or more of premium regardless of its score, because a million dollar commitment is a whale by any definition.
The tags appear on the tape rows, in the detail sheet and on the Whales board. They are a ranking of the session's prints against a fixed scale, so a quiet day can pass without a single Whale and a volatile day can produce dozens. Neither is a defect. The scale does not adjust to the day, so that a Whale on a Tuesday means the same thing as a Whale on a Friday.
What the score is not
It is not a prediction. A score of 90 means the print was large, new, urgent and aggressively executed. It does not mean the trader was right, and the tape carries plenty of ninety point prints that expired worthless. The score ranks how much of a statement a trade was. Whether the statement was correct is settled later, by the stock.
It is also not a measure of the trader's intent. The score cannot see whether a put was protection or a bet, or whether a call was one leg of a spread. The guides on sentiment and on size against open interest cover those questions, and the answers come from reading the print, not from the number.
The Whales board
The Whales board ranks the largest premium prints of the session under Today and of the trailing seven days under Past Week, and marks the Whales among them. It is the fastest way to answer the question most people open the app to ask: where did the most money and the most urgency show up? Each row opens the full detail sheet, and the ticker on each row opens that ticker's page with its own flow stream, so a whale print can be read in the context of everything else that traded in the name.
The Past Week view is worth a daily glance. A whale that printed on Monday in a stock reporting earnings on Thursday is still the most interesting fact about that stock on Wednesday, and the Today view will have forgotten it.
Reading the board
Start with the top Whale. Read the contract and the expiry to know what the bet is and when it resolves. Read the execution to know how urgent it was. Read the size against open interest to know whether it was new. Then open the ticker and read the rest of its flow, because a single whale print in a name with heavy flow on the other side is a different situation from a whale print in a name where every other print agrees with it.
Realtime subscribers can put the Whales board on the home screen as a widget and see the day's largest print without opening the app, and Whale prints that match a saved screener arrive as push alerts as they print.
Put this to work in the Options Sentiment Screener web app. The same screen is in the iOS and Android apps.
Open the Whales board