Options Sentiment Explorer

Python tool that analyzes options market data to calculate sentiment scores for any ticker.

Overview

This tool combines multiple options market indicators to provide a comprehensive sentiment analysis:

• Put/Call Ratios (volume and open interest)
• Implied Volatility Skew (put vs call IV premium)
• Volume Pattern Analysis (fresh positioning indicators)

The result is a composite sentiment score ranging from -100 (Strongly Bearish) to +100 (Strongly Bullish).

Features

• Works with any optionable ticker (stocks, ETFs, indices)
• Configurable expiration dates and OTM levels
• Data quality assessment and validation checker
• Explanations of each metric and interpretation

Requirements

pip install yfinance pandas

Quick Start

1. Run the script:

   python options_sentiment.py

2. Enter your parameters:

   Enter a ticker (default SPY): PLTR
   Enter an expiration date in YYYY-MM-DD (default 2025-12-19): 2025-07-25
   Enter the percent OTM (default 5): 2
   

3. Get comprehensive sentiment analysis with validation check

Example Output

=== Results for PLTR ===
Current stock price: $154.86
Analyzing options 2.0% OTM

OTM Calls (strike >= $157.96):
  Number of strikes: 18
  Total volume: 31,810
  Total open interest: 0
  Most active strikes by volume:
    $160.00: Vol=16,510.0, OI=0.0, IV=12.5%
    $165.00: Vol=7,111.0, OI=0.0, IV=25.0%
    $162.50: Vol=5,428.0, OI=0.0, IV=25.0%
    $172.50: Vol=1,153.0, OI=0.0, IV=50.0%
    $167.50: Vol=743.0, OI=0.0, IV=25.0%

OTM Puts (strike <= $151.76):
  Number of strikes: 46
  Total volume: 65,068.0
  Total open interest: 0.0
  Most active strikes by volume:
    $150.00: Vol=20,257.0, OI=0.0, IV=12.5%
    $149.00: Vol=15,298.0, OI=0.0, IV=25.0%
    $140.00: Vol=5,343.0, OI=0.0, IV=50.0%
    $148.00: Vol=4,035.0, OI=0.0, IV=25.0%
    $137.00: Vol=2,584.0, OI=0.0, IV=50.0%

=== Sentiment Analysis ===

1. Put/Call Ratios:
   Volume Ratio: 2.05
   Open Interest Ratio: 0.00
   Total Volume: 31,810 calls, 65,068.0 puts
   Context:
   ⚠️  Extremely high P/C ratio - check for unusual events

2. Implied Volatility Analysis:
   Average Call IV: 20.1%
   Average Put IV: 27.6%
   IV Skew (Put - Call): 7.5%
   Context:
   📊 High put IV premium - bearish sentiment

3. Volume Pattern Analysis:
   Call Vol/OI Ratio: 11154.78
   Put Vol/OI Ratio: 11042.97
   Fresh Positioning Bias: -111.81
   Context:
   📊 High activity in both calls and puts - volatile market

4. Data Quality Assessment:
   Quality Score: 4/6
   📊 Moderate quality data - reasonably reliable
   Considerations:
   • Low open interest - limited liquidity
   💡 High activity suggests institutional interest or major event

=== COMPOSITE SENTIMENT SCORE: -2.2 ===
Interpretation: Neutral

The Metrics

Put/Call Ratio

• Volume Ratio: Put volume ÷ Call volume
• Interpretation: Higher ratio = more bearish sentiment
• Typical Range: 0.5-2.0 (>1.5 = strong bearish, <0.7 = bullish)

Implied Volatility Skew

• Calculation: Average Put IV - Average Call IV
• Interpretation: Positive skew = put premium (fear), negative = call premium (greed)
• Typical Range: -2% to +10% (>5% = significant fear premium)

Volume Pattern Analysis

• Vol/OI Ratio: Volume ÷ Open Interest
• Fresh Positioning: Difference between put and call Vol/OI ratios
• Interpretation: Higher ratios = more new positions being opened

Composite Score Calculation

The final sentiment score combines all metrics with weights:

• Put/Call Ratio: 40%
• IV Skew: 30%
• Volume Patterns: 30%

Data Validation

1. Multiple Timeframes: Test 1-month, 3-month, and 6-month expirations
2. Multiple OTM Levels: Compare 5%, 10%, and 15% OTM options
3. Peer Comparison: Check similar stocks or sector ETFs
4. Recent Events: Look at earnings, news, or market events

Limitations

• Low Volume Warning: Less reliable with <100 total volume
• Expiration Effects: Weekly options may show different patterns than monthly. Later/higher options tend to have low liquidity
• Instutional Effects: Sometimes institutional activity such as hedging or high frequency trading can skew the indicators

Advanced Usage Tips

Potential Institutional Positioning

• High OI, low volume (existing large positions)
• High volume, low OI could be new institutional activity

Retail Sentiment

• Very high put/call ratios often indicate retail fear (contrarian signal)
• Extreme OTM activity typically retail speculation

Event Trading

• IV skew expansion before earnings/events
• Volume spikes in specific strikes may indicate informed trading

Troubleshooting

"No options data available"

• Check if the ticker has options
• Verify expiration date format (YYYY-MM-DD)
• Try a closer expiration date

"Low quality data warning"

• Try a more liquid ticker or closer expiration
• Use a related ETF for sector sentiment

Extreme sentiment scores

• Validate with multiple metrics and timeframes
• Check for recent news or events affecting the underlying

Upcoming features

• Possibly implementing additional options metrics (gamma, delta, etc.)
• Adding a chart/GUI
• Ability to stream real-time data

License

Open source

Credits

Claude.ai, an AI coding assistant, was partially used in the creation of this repository.

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Disclaimer: This tool is for educational and informational purposes only. Options trading involves substantial risk and is not suitable for all investors. Always conduct your own research and consider consulting with a financial advisor.