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Is there any way to calculate the number of trades in an options contract, if the following data is available-

  1. Volume
  2. Open Interest
  3. Change in open interest
  4. Underlying Price
  5. Implied Volatility
  6. Total Buy orders
  7. Total Sell orders
  8. Last Traded price
  9. Average Price

Please provide the formula if it is possible.

3 Answers 3

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No, it is not possible, because:

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I don't see the number of Buy and Sell orders placed as having much importance. For example, 5 people placing 100 share buy orders is the same as one person placing a 500 share buy order.

Is there any way to calculate the number of trades in an options contract?

There are two components here and the answer depends on what you're seeking.

If you want to know how many trades occurred in a security, look at Time and Sales. Note that as above, a single trade for 10 contracts could be 10 buyers and one seller (11 actual trades) and this is not reported.

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I think it would be: Number of trades = Volume for the period/ change in open interest for the period.
Note : change in oi will be an absolute value and not in percentage term.

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