Order Flow and Expected Option Returns
AdvancedIntradayEmpiricalFree to readTestable with your data
Option market makers' inventory risk is priced: customer order imbalance predicts option returns.
At a glance
- Level
- Advanced: Stochastic control, point processes, heavy econometrics or deep learning
- Horizon
- Intraday
- Data needed
- Trades, L1 quotes Set what data you have
- Themes
- Options & volatilityOrder-flow alpha
- Assets
- Options
- Market
- US