1.6 KiB
1.6 KiB
Options Flow Scanner
Current Understanding
Scans for unusual options volume relative to open interest using Tradier API. Call/put volume ratio below 0.1 is a reliable bullish signal when combined with premium >$25K. The premium filter is configured but must be explicitly applied. Scanning only the nearest expiration misses institutional positioning in 30+ DTE contracts — scanning up to 3 expirations improves signal quality.
P&L data shows options_flow is underperforming at 30d (-2.86% avg, 29% win rate) despite theoretically strong signal characteristics. Signal quality at 7d is near-neutral (46.1% win rate), suggesting options flow predicts near-term moves better than longer-term ones.
Evidence Log
2026-04-11 — P&L review
- 94 recommendations. 1d avg return: +0.03% (near flat). 7d avg: -0.91%. 30d avg: -2.86%.
- 7d win rate 46.1% is best of the poor strategies — nearly coin-flip, meaning the direction signal has some validity but not enough edge to overcome transaction costs.
- 30d win rate drops to 29% — options flow signal appears to decay rapidly after ~1 week.
- Sample recommendations show P/C ratios of 0.02–0.48 (wide range); unclear if lower P/C ratios (more bullish skew) predict better outcomes within this strategy.
- Hypothesis: the 7-day decay in win rate suggests options flow should be treated as a short-horizon signal, not a basis for multi-week holds.
- Confidence: medium
Pending Hypotheses
- Does scanning 3 expirations vs 1 meaningfully change hit rate?
- Is moneyness (ITM vs OTM) a useful signal filter?
- Does P/C ratio below 0.1 (vs 0.1–0.5) predict significantly better 7d outcomes?