Individual Stocks Put and Call Volume

by Patrick Fonce, 2446 days ago

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The OCC, which stands for Options Clearing Corporation, is the world largest equity derivatives clearing organization. The OCC was founded in 1973 and it is under the jurisdiction of the CFTC, Commodity Futures Trading Commission and the SEC, Securities and Exchange Commission.
One of the OCC role is to clear transactions for put and call options on stocks, indexes, currencies, interest rate composites, futures stocks, futures and options on futures contracts.

The OCC has a record of all transactions that involve put and call options for all U.S. securities.
The current item downloads this data, which is made available on the Options Clearing Corporation website, and creates a database that will store the stocks put and call volume.
This item not only gets the volume of put and call options traded for U.S. stocks and for each trading day, it also gets the volume of put and call options traded by customers, firms and market makers.

The data is available since February 2008 and can be downloaded on a daily-basis. The database that will store the data is named 'putcall_volume'. It has nine fields:
Date: The date that corresponds to the volume data.
Call_Customer: The stock options call volume traded by customers. Customers refer to small and retail investors.
Put_Customer: The stock options put volume traded by customers.
Call_Firm: The stock options call volume traded by firms. Firms refer to Brokers and Dealers.
Put_Firm: The stock options put volume traded by firms.
Call_Market_Maker: The stock options call volume traded by market makers. Market makers refer to exchange members.
Put_Market_Maker: The stock options put volume traded by market makers.
Call_Total: The total stock options call volume traded for a particular date.
Put_Total: The total stock options put volume traded for a particular date.

To display the Put/Call ratio, you can use the following formula:
a = GetData("putcall_volume", "put_total", LastData) / GetData("putcall_volume", "call_total", LastData);
Plot(a,"put-call-ratio",colorBlack,chartLine,styleOwnScale);
This will plot the daily Put/Call ratio for a particular stock. The Put/Call ratio is a popular tool designed to help investors gauge the sentiment of a particular security.
The Put/Call ratio is generally used as a sentiment measure of the overall market. But research has shown that using individual stocks Put/Call ratio is more interesting.

You can also create some interesting time-series, like the percentage of the total call volume made by market makers:
a = GetData("putcall_volume", "call_market_maker", LastData) / GetData("putcall_volume", "call_total", LastData);
Plot(a,"market_makers",colorBlack,chartLine,styleOwnScale);

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Important:
If the downloader doesn't work then you should add a new file (with a text editor), name it "QuantShare.exe.config" and save it under c:\program files\ctrading\quantshare
The content of the file should be:

<?xml version="1.0" encoding="utf-8" ?>
<configuration>
<startup><supportedRuntime version="v4.0" sku=".NETFramework,Version=v4.0"/></startup>
</configuration>