Options OI Accumulation
In plain terms
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.
How it works
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.
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
- Reported return
- ~3-5% ann. L/S top-decile O/S ratio (Roll-Schwartz-Subrahmanyam 2010 JF)
- Tested over
- 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.
Related families
Reads the option-chain 'smile' — when puts are unusually expensive vs calls, traders fear downside. v2 generator now uses the gauss314 HuggingFace bulk dataset, but coverage stops at 2023-07-28. Waiting on the IBKR paper-account forward fetcher to top-up post-2023 options chains for live signals.
Measures whether the order book is more aggressive on the bid or the offer side. Skeleton — needs L1 tick data not yet wired.
When THREE things fire together — expensive borrow, SEC threshold list, heavy FINRA short-volume — the stock sharply mean-reverts UP over 5 days.
Explore Options OI Accumulation on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.