Nope
Returns the tickers NOPE for the given market day broken down per minute.
NOPE is the Net Options Pricing Effect, which tracks the intraday net delta of any ticker, but most research has been done on indexes. It functions under 2 assumptions:
- MM’s take short side of any call or put traded during the day
- MM’s try to minimize risk by dynamically hedging their delta-gamma exposure, and do so by buying/shorting the underlying stock in proportion to the total net delta being tradedBased on these assumptions, options trading in large amounts (re: very liquid tickers) can potentially drive the price of the underlying, to a certain extent. Large movements might exacerbate this real time hedging, and drive price movements further in respective directions.
In short, NOPE represents a best-estimate of expected number of shares to be hedged at any given time, and will show a general expected direction on the underlying
The original NOPE calculation was based on the following formula:
NOPE = (Call Delta - Put Delta) / Stock Volume
where call/put delta is obtained by multiplying each chains volume with its latest delta and then summing those values up.
NOPE fill on the other hand is based on the delta at the time of the transaction
Date must be the current or a past date. If no date is given, returns data for the current/last market day.
