Latest Research from Option Market
Data-driven analysis of US option market structure, powered by optionwhales.io proprietary flow data.
The Evolution of US Option Trading: A Five-Year Analysis (2021–2026)
A descriptive analysis of the evolution of US option trading from April 2021 to April 2026, using intraday large option flow data spanning 1,253 trading sessions, 5,509 unique tickers, and 188 million large orders representing $12 trillion in premium. We document sustained growth in trading activity, rising multi-leg strategy usage, and a dramatic shift toward shorter-dated options—especially 0DTE.
Does Modern Option Flow Still Predict Next-Session Stock Returns?
We replicate Pan & Poteshman (2006) using 188.5 million intraday option orders across 1,250 sessions (2021–2026). A three-stage validation framework (IS1/IS2/OOS) across 216 signal configurations finds that Call Imbalance in OTM institutional blocks delivers out-of-sample Sharpe ratios of 1.6–1.8, while composite directional signals and buy-side-only pressure are eliminated entirely.