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Advanced Option Lessons

A hands-on options curriculum covering real trading concepts. Read the lessons, work through examples, and test your knowledge.

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Module 11: Volume ProfileIntermediate 15 Min

Lesson 1: 11.1: Building a Volume Profile

Learn how a volume profile is calculated and constructed from historical trade data.

1. The Calculation Process

To build a volume profile, a trading platform aggregates every transaction executed within a selected timeframe. It records the size (volume) of each trade and matches it to the exact price tick at which it occurred.

These values are then summed up for each price row, creating horizontal bars. The longer the horizontal bar, the more volume was executed at that specific price.

★ Calculation Key: A high-precision profile relies on tick-level data rather than minute-interval approximations to ensure exact volume-at-price placement.

2. Session vs. Visible Range Profiles

There are different types of profiles based on the data range selected:

• Session Profile (SP): Displays the volume profile for a single trading day, showing intraday auction dynamics.

• Visible Range (VR): Dynamically calculates and displays the profile for all price data currently visible on the user's screen.

• Anchored Profile: Calculated from a user-defined starting point (such as a major swing high or news event) to the present.

Trade sizes at each price added up: 10 plus 30 gives 40 at price 100, and 20 plus 25 plus 15 gives 60 at price 101
Building a volume profile means adding up trade sizes at each price. Trades at 100 (sizes 10 and 30) total 40; trades at 101 (sizes 20, 25 and 15) total 60. The one trade at 102 (size 10) is not shown here. Summing by exact trade price is exact for this made-up tape; coarser source data would need an approximation.
Interactive Option Simulation Lab

Interactive Volume Profile Canvas

LAB SIMULATOR ACTIVE

Volume profile plots the cumulative volume traded at specific price levels, revealing the Point of Control (POC - price of highest volume) and the Value Area (where 70% of transactions occur).

Profile Controls
Point of Control (POC):$100
Value Area (VA) Width:20 points
Value Area High (VAH):$110
Point of Control (POC):$100
Value Area Low (VAL):$90
VOLUME PROFILE INTERACTIVE CANVAS
$120
$117
$114
$111
$108
$105
$102
$99
$96
$93
$90
$87
$84
$81
$78
VAHPOC (FAIR VALUE)VAL
• Notice how price finds repeated acceptance and support near the high-volume POC, while accelerating rapidly when exiting the Value Area limits.

KNOWLEDGE RECONNAISSANCE

Q01.

Which type of Volume Profile dynamically updates when you scroll or zoom your chart?

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