Option Order Flow Sentiment Signals and Screener

?

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, autoexectution or regular trade.

What is considered a Bullish Call and Bearish Put trade sentiment?

Bullish calls: call executions on or above NNBO ask and a trade condition of either intermarketsweep, autoexectution or regular trade.

Bearish Puts: put executions on or above NNBO ask and a trade condition of either intermarketsweep, autoexectution 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.

The order flow signals are based on comparing the most recent order flow sentiment to the 30-day average.

Signals *Uses the filtered trades from the Options Order Flow Sentiment logic

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
Conditions

  • Total Notional value of bullish calls traded exceeds its 30 day average
  • % Bullish call executions is greater than bearish put executions in notional value on the day
  • % Bullish call trades is greater than bearish put trades for 30-day 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
Conditions
  • Total Notional value of bearish puts traded exceeds its 30 day average
  • % Bearish put executions is greater than bullish call executions in notional value on the day
  • % Bearish put trades is greater than bullish call trades for 30-day 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
Conditions
  • % Bearish puts traded is greater than bullish calls for the 30 day average in notional value
  • % Bullish calls traded exceeds bearish puts on the day
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
Conditions
  • % Bullish calls traded is greater than bearish puts for the 30 day average in notional value
  • % Bearish puts traded exceeds bullish calls on the day
Bullish: Signal that the order flow on the day is bullish
Conditions
  • Bullish calls traded is above the 30 day average
  • Bullish calls exceeds the bearish puts (in volume and notional)
Bearish: Signal that the order flow on the day is bearish
Conditions
  • Bearish puts traded is above the 30 day average
  • Bearish puts exceeds the bullish calls (in volume and notional)

To learn more about this page, click here.

▲ Close

In My Watchlist

In ETF

Bullish Contracts

Bullish % Contracts

Bullish Notional

Bearish Contracts

Bearish Notional

Auto Refresh: 5min

Wait, Before You Leave...