Factor families

Options flow (Pan-Poteshman)

In plain English

Smart-money option-buying shows up before stock-price moves. Heavy call buying = bullish lead; heavy put buying = bearish.

How it works

Pan-Poteshman 2006: option order flow contains private information that hasn't reached the equity market yet. We track put/call ratio (volume) + IV skew. Low P/C ratio with high call demand = bullish. High P/C ratio = bearish.

Where you see this in Framler
Options factor card.
Primary citation
Pan-Poteshman 2006, Information in option volume for future stock prices

Related — Factor families

Quality factor (Novy-Marx)Value factor (Fama-French)Momentum factorPEAD (Post-earnings drift)Accruals signal (Sloan)Short interest (Asquith)

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Options flow (Pan-Poteshman) — Framler glossary | Framler