Using the Options Order Flow Sentiment Screener

Page Summary

This page provides unique insight on the market's favorability towards particular stocks, indicating whether they are trending bullish or bearish based on investor order flow.

Order flow sentiment is a unique technical indicator of market trending based on actual investor trading data. The theory is based on the belief that investors "bet" on market direction, based on their willingness to purchase puts or calls at the high end of the bid - ask price spread. By calculating overall market sentiment based on this investor desire, traders obtain valuable insight on trending market direction when considering investment decisions for specific equities.

Order Conditions

Options Order Flow Sentiment is based on filtering out order executions for call and put options that are traded on or above the NBBO ask and have a trade condition of either intermarketsweep, autoexecution or regular trade. The objective of the filter is to isolate executions when the customer seeks an immediate execution, is willing to pay the full bid/ask spread and does not require another part to the trade to hedge off risk.

Bullish call and Bearish put sentiments are calculated based on trade executions on or above NBBO ask, and a trade condition of either intermarketsweep, autoexecution or regular trade. Order flow signals are then determined by comparing the most recent order flow sentiment to the 30-day average.

Signal Reports

The Overview Table provides a summary of option flow sentiment and sentiment relative to 30-day averages. The Signals Table uses the filtered trades from the Options Order Flow Sentiment logic to show signal strength and indicate Bullish or Bearish trends.

Increasing Bullishness: Signal that the order flow in the last 30 days has been bullish and that bullish order flow is currently increasing relative to the average.

Increasing Bearishness: Signal that the order flow in the last 30 days has been bearish and that the bearish order flow is currently increasing relative to the average.

Shift Bearish to Bullish: Signal that order flow has been bearish on average in the last 30 days and the current order flow has shifted to bullish.

Shift Bullish to Bearish: Signal that order flow has been bullish on average in the last 30 days and the current order flow has shifted to bearish.

Calculations on current and 30-day average trade sentiment for all available equities is provided in the Full Report tab. Sort the tables by clicking on specific column headings. For example, click on the Bullish Notational column to rank symbols from low to high (click again for high to low). Search for specific stocks by symbol in the search box. Click on the icons in the Symbols column to view more information on the specific stock.

Repeat Buy Orders

The Repeat Buy Orders table lists options that have had repeated buy orders over the course of the trading day. You can filter the table using the filters at the top of the page. Typically, the buy orders are seen as option trades that take place at or above the current best offer price.

You can view the table either as a Summary by Option, which lists the total number of repeat orders for that option, with price and volume information, or you can view it as a List of Trades, which lists out each individual trade that qualifies for the report.

Overall Strength

Overall Signal Strength is represented as a percentage, and is calculated as the average of five options contract signals:

  • ATM+OTM Calls: percent of calls executed At-The-Money or Out-of-the-Money. This variable seeks to measure the willingness of traders to pay a ‘time premium’ for an option and is considered a bullish indicator
  • IV Rank: current Implied Volatility compared to one-year Implied Volatility, measured as a percent. Higher percentages indicate that expected near term price movement will be more volatile than historical norms. When high IV Rank is seen in combination with high levels of call trade executions, this is considered a bullish indicator.
  • Bullish Trade Count: the percent of total trades for the day that are considered Bullish in nature, without adjusting for contract size in each trade. This statistic is an indicator of what percent of traders may be Bullish.
  • Bullish Call Volume: the percent of total Call contracts for the current trading day which are considered Bullish.
  • Bullish Calls $ Notional: the percent of total trading dollar amounts for the day which are considered Bullish call trades, based on Bullish Trade Volume

Since the trading data is filtered to isolate executions where traders appear willing to pay the full bid/ask spread, each of the Signal Strength indicators is a measure of bullishness. Higher Overall Signal Strength percentages show traders which stocks may be exhibiting more bullish trade sentiment based on actual investor actions in the market and may be used to compare Signal Strength between various stocks as well.

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