Option To Stock Volume Ratio
In plain terms
Johnson & So (2012): the ratio of total option volume to equity share volume (O/S) negatively predicts the underlying's 1-week return (~0.34%/wk on the spread) because short-sale-constrained negative-information traders migrate to options. Backtest uses pre-2023 options history while the live options feed is being rebuilt.
How it works
Johnson & So (2012): the ratio of total option volume to equity share volume (O/S) negatively predicts the underlying's 1-week return (~0.34%/wk on the spread) because short-sale-constrained negative-information traders migrate to options. Compute daily O/S = (calls_contracts_traded + puts_contracts_traded) / equity volume, z-score over 252d per ticker, SHORT high-z, LONG low-z, 5-20d hold.
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
- Tested over
- Modern daily equity data
info premium; decay risk 3/5.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
Explore Option To Stock Volume Ratio on alphactor.ai
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