Options Flow Analyzer

Analyze options chain data with explicitly labeled heuristic filters. The historical upstream calls these “real” and “lottery” buckets; those names do not establish trader intent, trade quality or a predictive signal. Verify the current data provider (Polygon.io/Massive), plan and schema.

When to Use

• Use when raw put/call ratios appear bullish or bearish but may be distorted by cheap deep OTM contracts.
• Use when comparing options flow across watchlists, holdings, sectors, or event-driven names.
• Use when you need to compare low-premium/deep-OTM activity with other contracts, without inferring institutional identity or hedging intent.
• Use when tracking options anomalies against a recent baseline.

What it does

Raw put/call ratios can change materially after filtering. A filter can also remove legitimate hedges or parts of multi-leg positions. Report both views and sensitivity to the chosen thresholds.

1. Record provider, retrieval time, session, underlying price time and entitlement/delay. Paginate the complete selected chain and identify missing quotes/Greeks rather than silently dropping them.
2. Choose one measurement: session contract volume or open interest; never mix their numerators/denominators. Compute raw P/C = sum(put measure) / sum(call measure), returning undefined when call measure is zero.
3. Define the heuristic explicitly for both puts and calls, for example OTM contracts with premium < $0.10 per share AND absolute delta < 0.05. State whether premium means bid, ask, midpoint or last trade and reject stale/crossed quotes. Missing delta stays unknown, not zero. Strike distance alone is not interchangeable with delta.
4. Compute filtered P/C using retained contracts and report excluded share by side, expiry and measurement. Compare reasonable alternative thresholds.
5. Compare matched-expiry/session baselines only when historical observations exist. Open interest is a daily outstanding-contract measure; an intraday snapshot does not supply its history. Volume/OI alone cannot establish opening versus closing, buyer versus seller initiation, or institutional hedging.