Option Call Put Volume Imbalance
In plain terms
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.
How it works
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.
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
- ~8-12%/yr top-decile
- Reported Sharpe
- ~0.9
- Tested over
- T+1 to T+21d
Pan-Poteshman 2006: 40bps/day for top-decile in cross-section.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
Open interest reflects positioning, not flow. When call-OI vs put-OI gets very crowded, the positioning eventually unwinds against itself.
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 Volume Imbalance on alphactor.ai
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