Options#431tier 1live in productionNew

`option call put volume imbalance`

cadence: Dailydata: mediumlong onlyshort onlylong short

2006

Pan, J., & Poteshman, A. M. (2006). "The Information in Option Volume for Future Stock Prices." Review of Financial Studies, 19(3), 871-908.

Read the paper →

What it checks

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.

Mechanism

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.

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 call-share 252d z >= +1.5 (informed call buying); short on z <= -1.5; hold 5/10/21d

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: ~8-12%/yr top-decile
Paper Sharpe: ~0.9
Paper window: T+1 to T+21d

Pan-Poteshman 2006: 40bps/day for top-decile in cross-section.

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 oi imbalanceOptions

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

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 volume imbalance