Where to find Option open interest segregated by investor type.?

Discussion in 'Options' started by npnotesin, Jan 26, 2010.

  1. On page 34 of <a href="http://www.business.uiuc.edu/poteshma/research/niPearsonPoteshman2005.pdf">this</a> paper, authors conclude that 'firm proprietary traders maipulate stock prices so that their written optins expire OTM'.
    If anyone could help me find this data referenced on page 6 and published by CBOE, we could take the side of proprietary traders and benefit from it.
  2. 1) What you "discovered" has been well known for a long time already.
    2) Which strike price(s) do you want to trade? What's OTM on Tuesday, before expiration, could be ITM a few days later and remain that way. :cool:
  3. I was planning to use the data to identify the factors you mentioned in #2. My interest is in the data of the expiration week and specifically the thursday's close.
  4. 1) You could merely look at open interest, earlier during the week of expiration, to develop an expectation of which strike price may be "pinned" by Friday.
    2) By focusing on Thursday's close, you may be getting swept up in the notion that the remaining option premium is "free money". It isn't. What are you going to trade the other days of the month? :confused:
  5. 1) That information is aleady available at <a href="http://www.optionpain.com/OptionPain/Option-Pain.php">Option Pain</a>, yahoo etc. However, as metioned in the paper, volume/OI from market making and public buying/selling does not influence clustering.
    2)Trading involves risk and there is no "free money". Using this structured approach increases the probability of making profits but it is no reason disregard risk mgmt.
    I don't believe in trading every day. If I could make profits and generate alpha by trading for just 1 day, it will do for me.
  6. It appears as if you started this thread to spam your web site.

    The "pain" or max pain gibberish has been around for years, its useless.

    Oh there is no segregated OI numbers
  7. useless.
  8. Well it can be ITM but that still does not mean profits :)

    ie: paying 50 cents for a 20 strike and its ITM on third friday by a dime :)