gahow/quant-trading
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

research: option-volume signals on OPRA bars 2024-03..2026-09 (STOP)

Browse Source 
Johnson-So O/S has the opposite sign (Q5-Q1 -11.4%/yr, t -1.63) and
correlates -0.65 with the momentum score; unsigned put/call is flat
(t 0.42). Neither gated signal passes; keep collecting, retest at ~5 years.

The data handling was fixed after a coverage check of the panel, before any
return was computed: stock volume on every day from stock_raw, and a day
without bars counts as 0 contracts only inside a name's bar span (outside it
the options traded under an older ticker or the root's history starts later).

Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
This commit is contained in:
Gahow Wang
2026-10-12 12:31:54 -07:00
parent 251014d3b2
commit a605d68ca8
2 changed files with 64 additions and 10 deletions
Download Patch File Download Diff File Expand all files Collapse all files

2
CLAUDE.md
View File

@@ -113,7 +113,7 @@ PYTHONPATH=. uv run --with numba python -m research.lab.svr_combo # low_svr2
PYTHONPATH=. uv run python -m research.lab.fetch_options snapshot|status # daily S&P 500 option chains after the close: indicative quotes (forward-only from 2026-10-12) + OPRA daily bars + print-vs-quote quality sample; data/options/us/; timer quant-trading-options
PYTHONPATH=. uv run python -m research.lab.fetch_options backfill # OPRA daily option bars since 2024-02 for every S&P 500 member since then (resumable, ~2-3 h; pauses 16:10-16:55 NY); then builds volume_panel.csv.gz
PYTHONPATH=. uv run python -m research.lab.fetch_options volume-panel # date x underlying option volume (all 0-100 DTE strikes and the 5-100 DTE / 0.7-1.3 band), os_volume, pc_volume
PYTHONPATH=. uv run --with numba python -m research.lab.option_volume # Johnson-So O/S and put/call volume on OPRA bars 2024-03..2026-09 (preregistered before the backfill finished; gate |t| >= 3)
PYTHONPATH=. uv run --with numba python -m research.lab.option_volume # Johnson-So O/S and put/call volume on OPRA bars 2024-03..2026-09 (preregistered; STOP 2026-10-12: O/S sign reversed, t -1.6, corr -0.65 with momentum; put/call t 0.4)
uv run python -m research.lab.fetch_us_fundamentals --universe mid # EDGAR PIT facts for S&P 400 ever-members (name-checked CIKs)
uv run python -m research.lab.fetch_us_fundamentals --universe small # the same for S&P 600 (IJR)
PYTHONPATH=. uv run python -m research.lab.midcap_sleeve [--only h1..h4] [--universe small] # S&P 400 sleeves vs IJH; S&P 600 replication vs IJR (all REJECT 2026-10-08)