- Index options open‑interest engine that tracks how call and put OI evolve around the at‑the‑money strikes for the nearest expiry.
- Generates a clean time series of:
- Total CALL OI, total PUT OI,
- PUT–CALL OI differential,
- A simple regime signal: bullish / bearish / sideways.
- Persists these signals in PostgreSQL and projects them onto a dashboard for live monitoring alongside price.
- Acts as a market‑regime and positioning indicator for NIFTY BANKNIFTY SENSEX, building up across the options strip rather than just price.
- Provides a complementary signal layer for systematic strategies:
- Filter entries/exits by OI regime.
- Adjust risk or leverage when OI imbalances become extreme.
- Detect crowding and potential squeeze/crash conditions in index options.
- All of this is built as a repeatable, data‑driven process suitable for research, backtesting and production use.
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I work from market structure first (who is taking risk, where is OI concentrating) and then turn that into quantifiable signals.
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I’m comfortable with the full pipeline:
- Broker APIs and live derivatives data (Finvasia, futures and options).
- Python signal‑generation code and OI aggregation logic.
- SQL / PostgreSQL storage for research‑grade time series.
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I use this OI engine not as a toy, but as a live risk and confirmation tool that sits next to my systematic strategies and helps me understand when the market regime supports or contradicts my models.
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