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Categorizing Retail and Institutional Option Order Flow and Position Accumulation Sentiment

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The various types of option orders are valuable in assessing and identifying opportunity during the current market environment. Some features of interest pertinent to options trading, as well as underlying equities are:

• Identification of option market participant types: retail, institutional, algorithmic…
• Uncovering risk and opportunity in underlying equities signaled by order flow dynamics
• Intraday and End of Day traded position sentiments and market reaction indicators
• Classification of traded volume (signaled volume)
• Option market microstructure dynamics
• Order flow toxicity

The SpiderRock Option Print Set contains a variety of data fields directly related to the above features. Data points are suited for both empirical analysis and back testing quantamental strategies.

Some of the data points of interest available are OPRA order type, print side, intraday trades, quotes and volume data, exchange and NBBO data, cancelled volume and SpiderRock theo surfaces.

The data fields and related features are extremely relevant for institutional equity funds as alternative alpha augmentation and risk signaling factors to be used in investment and portfolio management activities.