The influence of the options markets on indices is an interesting subject. I tried to ask about it earlier on the boards, but didn't receive any good answers. Maybe those who know something keeps their mouth shut. There was a service which seemed very interesting to me at the time I was looking into it, but I forgot the name. And from what I could pick up from various reviews of the service the data wasn't reliable, i.e., sometimes it works, sometimes not. So, I decided to discard it at the time. Is there any other information in the options markets that's worth tracking for us directional index traders, then?
I got pissed after losing some $$$ on NDX deriv's, so I finally went through all of desty's posts. Mag7, index, and sector or single name vols are spread against each other for margin relief/speculative purposes in a portfolio margin context (I welcome counterfactual arguments on this here), so that means that you have to at least track mag7 implied/realized vol. You can simply create a volatility index by normalizing and aggregating mag7 volatility. Since mag7 is the biggest trade in the equity universe (nearly 50% of index weight), it's the most important/consequential factor in index moves. There's so much vig and negative edge in the index price, that I moved a lot of compute resource to pricing/analyzing synthetic indexes as a 'work-around'. I always compare indexed Bjerksund-Stensland on the names to any (beta) index moves after that. The pros use Cboe LiveVol pro (Eikon/Reuters/LSEG/Bloomberg), and so they have major advantages for carrying out this type of analysis. Most posters on ET are out of the loop/out to lunch on how this sh1t works.