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