Flow#91tier 1live in productionNew

`options oi accumulation`

cadence: Dailydata: mediumlong onlyshort onlylong short

2010

Roll, Schwartz & Subrahmanyam (2010) *Journal of Finance*: "O/S: The relative trading activity in options and stock."

What it checks

Watches the open-interest (OI) on options as a proxy for big-money accumulation. When call OI quietly builds up far above normal AND people are buying calls way more than puts, that's often institutions taking patient positions through options before pushing the stock — bullish drift over the next 2-6 months.

Mechanism

Roll-Schwartz-Subrahmanyam (2010 JF) show that informed traders prefer options over equity for accumulation: option markets have higher leverage and their footprint on stock-price discovery lags. Pan-Poteshman (2006 RFS) and Augustin-Brenner-Subrahmanyam (2019 RFS) extend: pre-earnings and pre-M&A periods show option-flow signals leading equity returns. v1 uses TOTAL-CHAIN call_OI as a softer proxy for LEAPS-only OI (per-expiry granularity comes forward via IBKR snapshots). Long when own-history 60d z-score of calls_open_interest ≥ +2.0 AND call/put OI ratio in top decile sustained ≥5 days; hold 60-180 days for the LEAPS thesis horizon. Short on the symmetric collapse.

Signal rule

Long: calls_open_interest 60d-z ≥ +2.0 AND call/put OI ratio in 252d top-decile, sustained ≥5 days, hold 60-180d. Short: |z| ≥ 2.0 with ratio in bottom decile.

Data dependencies

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

Expected edge

Paper alpha: ~3-5% ann. L/S top-decile O/S ratio (Roll-Schwartz-Subrahmanyam 2010 JF)
Paper window: 1996-2008

Original RSS (2010 JF) report ~3-5% L/S alpha on top-decile O/S ratio, S&P 1500 1996-2008. Pan-Poteshman (2006 RFS) report 1bp/day for top-quintile option-volume ratio.

Illustrative pattern only

NOT a backtest

Illustrative pattern only — see /app for live backtests and the actual current equity curve.

Related families

iv skewMicrostructure

Put-call skew (Xing-Zhang-Zhao 2010) predicts negative drift: when out-of-the-money puts trade at a steeper IV premium than calls, the option market is paying up for downside protection. Per-ticker historical IV at strike level requires a paid vendor (Polygon Options Starter ~$29/mo or OptionsDX bulk one-shot). For now this generator emits a single failed candidate per ticker so the experiment table records what's blocked.

ofi microstructureMicrostructure

Order-Flow Imbalance (Cont-Kukanov-Stoikov 2014) measures whether the order book is more aggressive on the bid or the offer side at sub-second resolution. True OFI requires L1 NBBO quote ticks — Polygon Stocks Advanced ($199/mo) or Databento pay-per-query are the path. Skeleton emits a failed candidate per ticker so the data gap is captured in the experiment table.

borrow ftd squeezeShort-Flow

Beschwitz, Honkanen & Schmidt (2024) JFE "Costly Arbitrage and the Short-Squeeze Premium." Novel finding: when all three short-side stress signals fire simultaneously — top-decile borrow-rate Δ, Reg-SHO threshold inclusion, and elevated FINRA short-volume ratio — the next 5 trading days mean-revert sharply higher. The 3-table confluence is what makes this distinguishable from generic short-interest crowding. Reported: 18% annualised, Sharpe 1.6 post-cost, 5-day hold, LONG-only.

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options oi accumulation