Price & Market BehaviorExtended setlive in productionNew

Option Call Put OI Imbalance

Updated dailyData needs: mediumlong onlyshort onlylong short

2009

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

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In plain terms

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

How it works

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

Live results

0 times picked on its own · 2 times inside a blend (1 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 2 such blended picks (1 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

Loading substrate evidence…

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

Reported return: ~3-6%/yr
Reported Sharpe: ~0.5
Tested over: 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 ImbalancePrice & Market Behavior

When unusual call buying surges (vs trailing baseline), informed traders are loading up via options. Stock tends to follow up over the next 1-3 weeks.

Option IV Skew DriftPrice & Market Behavior

When put options become unusually expensive vs in-the-money puts, the market is bracing for a drop. Stock usually recovers as the panic fades.

Explore Option Call Put OI Imbalance on alphactor.ai

See which tickers this family is currently firing on, with live signals and rankings.

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