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
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