Options#432tier 2live in productionNew

`option call put oi imbalance`

cadence: Dailydata: mediumlong onlyshort onlylong short

2009

Bali, T. G., & Hovakimian, A. (2009). "Volatility Spreads and Expected Stock Returns." Management Science, 55(11), 1797-1812.

Read the paper →

What it checks

Open interest reflects positioning, not flow. When call-OI vs put-OI gets very crowded, the positioning eventually unwinds against itself.

Mechanism

log(calls_OI / puts_OI) z over 252d, MEAN-REVERSION direction. Crowded long-call positioning eventually unwinds; crowded put positioning eventually covers.

No production champion data for this family yet. Stats appear once the discovery pipeline promotes at least one strategy with this family tag, or once a multi-family blend that includes it earns a champion slot.

Signal rule

long when log-OI-ratio 252d z <= -2.0 (crowded puts cover); short on z >= +2.0 (crowded calls unwind); hold 10/21/42d

Data dependencies

options_chain_daily
End-of-day OPRA option chains used by IV-skew family.
daily_prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.

Expected edge

Paper alpha: ~3-6%/yr
Paper Sharpe: ~0.5
Paper window: T+1 to T+42d

Bali-Hovakimian 2009 slow-positioning channel: ~3-6%/yr mean-revert.

Example tickers where this is likely to fire

AAPL NVDA TSLA GME MSFT

Illustrative only, the signal fires based on the live data, not a fixed list.

Related families

option call put volume imbalanceOptions

Call-share of daily option volume (calls / (calls+puts+1)) z over 252d. Informed traders favor options for leverage; abnormal call buying signals bullish flow.

option iv skew driftOptions

Put-side IV smile steepness (sotm_iv - sitm_iv) z over 252d. Rising skew prices tail risk; reverts via underlying drift up.

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option call put oi imbalance