S&P 500 Whale Activity

Screening Filters

1. is_index_component = ['GSPC'] (S&P 500 only)

   • Purpose: Limit results to stocks that are members of the S&P 500.
   • Rationale: Your question is specifically about whale activity within the S&P 500. This filter ensures we’re only looking at S&P 500 constituents, excluding smaller, less liquid names where “whale” activity can be misleading or harder to interpret.

2. relative_vol ≥ 1.2

   • Purpose: Focus on S&P 500 stocks trading with at least 20% higher-than-normal volume.
   • Rationale: Whale activity (large institutional or “smart money” trades) often shows up as abnormal spikes in trading volume. A relative volume (current volume vs. average) of 1.2+ flags names where something unusual is happening in the tape, which is where whales are more likely to be active.

3. option_iv_rank ≥ 50

   • Purpose: Find stocks where current option implied volatility is elevated relative to its own past.
   • Rationale: When big players are making significant bets—especially directional or hedging trades—options markets often react first: implied vol rises as demand for options increases. An IV rank ≥ 50 means options are at or above the midpoint of their historical volatility range, a common threshold for “heightened” activity or expectations.

4. option_unusual_activity = True

   • Purpose: Identify S&P 500 stocks with unusual options flow (e.g., abnormal volume, large block trades, skewed call/put activity).
   • Rationale: This is the most direct “whale activity” proxy. Unusual options activity—especially large, concentrated trades or volumes far above normal—is often driven by institutions and funds, not retail traders. This filter isolates names where that kind of big-money behavior is being detected right now.

Why Results Match Your Request

• You asked for whale activity in the S&P 500; limiting to GSPC components keeps the universe strictly within that index.
• Relative volume ≥ 1.2 highlights stocks where trading activity is abnormally high—consistent with large participants moving size.
• IV rank ≥ 50 focuses on names where options markets are signaling elevated expectations or risk, often coinciding with institutional positioning.
• Unusual options activity = True directly targets the type of big, atypical options flows commonly associated with whales.

Together, these filters narrow the S&P 500 down to stocks where institutional-sized trades are most likely driving unusual volume and options activity, which is a practical and data-driven way to surface “whale” behavior.