Options Flow Intraday Sentiment

Nov 15, 2021

Script useful for Intraday Trading - which based on Options data loaded in background - is showing sentiment of Investors. Very often Options are forecasting and precedes moves that will happen later on derivatives like Futures Contracts. Due to its' nature, data is useful during Regular Trading Hours sessions ( RTH ).

We take into account Options Volume flow & Put/Call Ratio from Options. Data is based from dataset on Quandl and loaded to TradingView. Therefore data is normalized as per different factors we have different scale of received data. Then I apply calculations comparing PUT and CALL Volume, giving the biggest weight ratio to those Options which have nearest Expiration Date. Another condition taken into account is Type of Option: either In the Money, Out of Money or At the money. Last but not least for Options there is calculated risk, where those orderflow entries with lowest risk are having the biggest weight in calculation while those with highest risk - are having lower ratio. Risk is calculated based on delta factor (coming out of Options standard definitions).

Background of indicator is coloured in direction of sentiment when we have alignment of sentiment factors calculated in background in one direction. Script is displaying additionally PUT Volume, CALL Volume from Options and PUT/CALL Ratio. Those are only additional information that can be useful for traders, but the whole logic is hidden under the hood (as described earlier) and is showing coloured background when sentiment is aligned. Therefore be prepared to take potentially a trade in direction of the background - but not blindly

Currently it's supporting SPX ( S&P500 ) and support for more instruments will come with next updates.

Dec 16, 2021

Release Notes

• added display and calculation of Balance Points - where Supply and Demand are balanced/equal based on the data from PUTs and CALLs read from Quandl dataset
  
• changed display of leading side on the market - green area represents dominating Bulls while Red - Bears
  
• script is now universally selecting in the background source of Options data based on instrument & chart on which it's placed; in case of unsupported instrument no data will appear
  
• script works best on D1 timeframe (due to changed logic of calculation Options data and its' ratios)
  

Dec 30, 2021

Release Notes

• added new display mode to display difference histogram between Supply and Demand instead of default view of Moving Average Lines
  
• Orange histogram shows dominance of Supply (Bearish Market) and Blue one represents dominance of Demand (Bullish Market)
  

Jan 9, 2022

Release Notes

• added alerts when Volume Flow switch from/to Bullish/Bearish
  
• modified visualisation of net difference between Volume of PUT and CALL Options