Extreme net put selling and forward SPX drift

After an onset of unusually large 15-minute all-tracked-expiry SPX net put premium sold, 60-minute SPX drift exceeds a same-time-of-day and strictly-prior opening-volatility-matched non-trigger baseline by at least 2.5 basis points on the untouched evaluation cohort.

Pre-registered trigger

On SPX regular sessions, sum the flat Total/all-tracked-expiry nof.put_premium_net_sold field over the completed 15-minute window [t-14,t]. Trigger only the first onset above the same-decision-minute 95th percentile estimated from the exact 60 frozen strictly-prior warmup sessions. Use a 60-minute refractory period so one flow episode cannot contribute overlapping primary outcomes. The decision and entry reference are the completed minute-t close; no trigger input may read the forward candle path.

Outcomes and horizons

Outcomes: drift_pct. Horizons: 30 min · 60 min.

Matched baseline

Match each trigger to non-trigger onsets in the same 30-minute ET bucket and opening-RV quartile. Quartile boundaries use only the exact 60 frozen prior sessions. Use identical decision-close entry and forward-return construction. Report trigger and baseline session and event counts. Primary inference is block-by-session; the baseline is never sampled from a forward-derived regime label.

Matching fields: time_of_day_bucket · strictly_prior_opening_realized_volatility_quartile.

Exclusions

non_regular_or_early_close_session · first_fifteen_session_minutes · incomplete_fifteen_minute_flow_window · unverified_or_noncurrent_gold_component · incomplete_tracked_expiry_coverage · missing_canonical_candle_receipt · missing_flow_projection_or_gold_lineage_binding · incomplete_forward_path

Aggressor-classified put selling may reveal informed beliefs, volatility supply, or willingness to absorb downside insurance. Dealer hedging is not mechanically one-way: the initial hedge and subsequent hedge path depend on inventory, moneyness, gamma, spot, volatility, and time. FLOW-01 therefore tests whether the flow contains incremental information; it does not assume automatic future dealer buying or treat a large print as directional proof.

Prior evidence

Pan and Poteshman (2006) report predictive information in option volume for future stock prices, and Easley, O'Hara and Srinivas (1998) develop and test an informed option-volume channel. Those studies support a broad information hypothesis, not this exact intraday SPX premium-percentile trigger. The earlier NOF S9 exercise had only about 38 research-grade sessions and explicitly classified every output as pipeline validation rather than a finding.

Required governed inputs

options_tape_nbbo · certified_price_bars · authenticated_thetadatadx_gold · complete_tracked_expiry_inventory

At least one required data source is not yet captured; the publication remains data-blocked.

Current research notes

Flagship v2 reconciliation. The production inventory audit found 569 legacy NOF sessions but no active current Gold flow session, so legacy rows remain readable and visible while receiving no v2 research credit. No FLOW-01 outcome has been opened. Published readiness journal report: research/flow_put_selling/REPORT.md. Full protocol and v1 disposition are published beside it.

Full-distribution reporting requires n ≥ 30; smaller samples at or above n = 20 are limited to the pre-declared reduced summary.

Statistics

hit_rate_vs_baseline · median_excess · bootstrap_ci95_block_by_session · split_half_stability · session_block_placebo · circular_time_shift_placebo

Multiple testing

registry wide bh fdr 10.

Out-of-sample protocol

Bind the first 186 regular SPX sessions from frozen corpus manifest 12a8dc6a4eea651f74f609143426f8ec21a482b97bbe90d0495779e64c5d53c9. The first 60 sessions (2022-05-11 through 2022-08-05) are warmup only; the next 126 sessions (2022-08-08 through 2023-02-07) are the untouched evaluation and contain 26 complete regular NYSE weeks; the final Monday-Tuesday fragment is not credited as a complete week. Missing authenticated sessions remain permanent holes and later dates never replace them. Freeze the one 60-minute primary cell before outcomes. The 30-minute horizon is secondary; 15, 120, close, expiry-scope, gamma, and time-of-day interactions are diagnostics owned by the wider registry family. Apply BH-FDR at 10% across every published FLOW-01 family cell. A within-session circular time shift of the flow series is the required timing placebo.

No result exists. This paper publishes the frozen design, not a finding.

Refute the directional claim only when the evaluation is powered, the session-block 95% interval for primary 60-minute median excess excludes zero on the wrong side or fails the positive 2.5-bp economic floor, either chronological evaluation half is nonpositive, or the circular-time-shift placebo reproduces the effect. An interval including zero, fewer than 126 authenticated evaluation sessions, fewer than 20 complete evaluation weeks, or inadequate event support is inconclusive rather than refuted. Any identity or chronology failure blocks execution and never becomes a market finding.

The lifecycle label is not a confidence score. It describes where this exact version sits in the pre-registered validation process.

1. Pan & Poteshman, "The information in option volume for future stock prices" (RFS 2006)

   Qualitative prior: option order flow (put-call volume from opening buyer-initiated trades) predicts future stock returns at daily horizons — informed traders act in options first.

Study identity

FLOW-01 v2

Definition hash

d93098491880b5734e85bf2a8341519a74d49db527f99958ecdcb654bd239858

Result data window

No current result window is available.

Last research run

No current result run is available.

Result identity

No current result identity is attached.

Supersession

No superseded result is being served.

Related studies

FLOW-02, FLOW-03, X-01