Archive for the ‘Data Mining’ Category

Update to Apple Open Interest Chart

September 19, 2013

Here’s an update to yesterday’s open interest chart for AAPL. You can see that the calls had about a 1% drop in overall open interest yesterday, as AAPL charged higher:



Open interest decline would suggest to me that options writers wanted less exposure and bought to close them out. I don’t know if that is accurate, so somebody correct me if not. Another small datapoint in the fade OI camp.

Options Open Interest Over Time

September 18, 2013

As I’ve been collecting data from the OCC, I’ve created a database of the daily open interest numbers in all calls and all puts for each of the S&P 500 names. Now that I’ve got almost a months worth, here’s a couple of charts I found interesting. These show the open interest numbers for the September expiration, coming up this Friday. The first is for AAPL, which shows call OI accelerating over put OI over the last few days:


Compare that with the daily chart over the last 30 days, which has steadily fallen:


The next is for GOOG, and it shows that call and put OI’s crossed over at the end of August:


At the same time, GOOG was trending upward:


As with all data mining, I’m scratching my head to figure out what it means and if there’s any alpha there. It looks like you would want to fade the increases in OI from these charts. Leave a comment if you have any ideas of the meaning of these charts or other data that would be useful to mine out.

Looking at Daily Changes in the Put/Call Ratio vs. S&P 500 prices

August 14, 2013

I got my hands on some Option Put/Call data from the Options Clearing Corporation. This data has 2013 YTD daily Put/Call ratios for equity and index options. I decided to compare it to the daily S&P 500 prices to see if I could find any useful info:


The data is pretty scattered. Looking in hindsight, you can see that some of the most extreme spikes in the P/C ratio corresponded to market bottoms, while low ratios occurred closer to tops. The relatively low P/C ratio currently would hint towards the current market price level being closer to a top to me.

I came up with a measure called the On Balance Put/Call Ratio (OBPC). My OBPC is kind of like an On Balance Volume. I used a value of 0.86 to denote a balance between puts and calls. A daily P/C number higher than that is basically bearish, and put volumes are high compared to calls. A P/C number under 0.86 is bullish, since the calls are getting a better share of volume compared to puts. I chose 0.86 because it was close to the average value for the year so far (see the black trendline in the chart above), and it made the swings on the OBPC chart stand out more than going higher or lower as a threshold. The OBPC was calculated by taking the difference between 0.86 and the daily P/C number, and then adding it to the prior day’s number (starting with 0 on Jan 2 of 2013). So if we have a day of 1.0 P/C, that will drop the OBPC down (0.86-1.0=-0.14). If we had a day of 0.6 P/C, that would raise the OBPC (0.86-0.6=0.26). So a rising OBPC is getting more call volumes relative to neutral, while a falling OBPC is getting more put volumes. This roughly correlates to up being bullish and down being bearish on the chart.

Here’s the results below. I’m not sure that there’s anything there. It seems like sometimes the crowd got it right (Feb-Mar), while the crowd should have been faded from Apr-Jul. The July rally was mistrusted, but now in this sideways August the bulls are roaring back.

Please post a comment if you have any thoughts!