97 lines
3.7 KiB
SQL
97 lines
3.7 KiB
SQL
WITH base AS (
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SELECT
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"Symbol" AS symbol,
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"ExpirationDate"::date AS expiry,
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UPPER("CallPut") AS callput,
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"Strike"::float AS strike,
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"Spot"::float AS spot, -- replace/join if missing
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"Volume"::float AS vol,
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"OI"::float AS oi
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FROM public."OptionsFlow_monthly"
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WHERE "ExpirationDate" BETWEEN CURRENT_DATE AND CURRENT_DATE + INTERVAL '30 days'
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),
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range_filtered AS (
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SELECT *
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FROM base
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WHERE strike BETWEEN spot * 0.9 AND spot * 1.1
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),
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side_calc AS (
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SELECT
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symbol,
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SUM(CASE WHEN callput = 'CALL' THEN vol ELSE 0 END) AS call_1m_vol,
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SUM(CASE WHEN callput = 'PUT' THEN vol ELSE 0 END) AS put_1m_vol,
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SUM(CASE WHEN callput = 'CALL' THEN oi ELSE 0 END) AS call_1m_oi,
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SUM(CASE WHEN callput = 'PUT' THEN oi ELSE 0 END) AS put_1m_oi
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FROM range_filtered
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GROUP BY symbol
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),
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-- helper for K/M/B formatting
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fmt AS (
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SELECT
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symbol,
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call_1m_vol, put_1m_vol, call_1m_oi, put_1m_oi,
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(call_1m_oi + put_1m_oi) AS tot_oi,
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NULLIF(call_1m_oi,0) / NULLIF(put_1m_oi,0) AS oi_ratio_cp,
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CASE WHEN call_1m_oi >= put_1m_oi THEN 'CALL' ELSE 'PUT' END AS dom_side
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FROM side_calc
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),
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pretty AS (
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SELECT
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symbol,
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-- human-readable K/M/B
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CASE
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WHEN call_1m_vol >= 1e9 THEN to_char(round((call_1m_vol/1e9)::numeric, 1), 'FM999,999,990.0') || 'B'
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WHEN call_1m_vol >= 1e6 THEN to_char(round((call_1m_vol/1e6)::numeric, 1), 'FM999,999,990.0') || 'M'
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WHEN call_1m_vol >= 1e3 THEN to_char(round((call_1m_vol/1e3)::numeric, 1), 'FM999,999,990.0') || 'K'
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ELSE to_char(round(call_1m_vol::numeric), 'FM999,999,990')
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END AS "Call_1M_Vol",
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CASE
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WHEN put_1m_vol >= 1e9 THEN to_char(round((put_1m_vol/1e9)::numeric, 1), 'FM999,999,990.0') || 'B'
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WHEN put_1m_vol >= 1e6 THEN to_char(round((put_1m_vol/1e6)::numeric, 1), 'FM999,999,990.0') || 'M'
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WHEN put_1m_vol >= 1e3 THEN to_char(round((put_1m_vol/1e3)::numeric, 1), 'FM999,999,990.0') || 'K'
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ELSE to_char(round(put_1m_vol::numeric), 'FM999,999,990')
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END AS "Put_1M_Vol",
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CASE
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WHEN call_1m_oi >= 1e9 THEN to_char(round((call_1m_oi/1e9)::numeric, 1), 'FM999,999,990.0') || 'B'
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WHEN call_1m_oi >= 1e6 THEN to_char(round((call_1m_oi/1e6)::numeric, 1), 'FM999,999,990.0') || 'M'
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WHEN call_1m_oi >= 1e3 THEN to_char(round((call_1m_oi/1e3)::numeric, 1), 'FM999,999,990.0') || 'K'
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ELSE to_char(round(call_1m_oi::numeric), 'FM999,999,990')
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END AS "Call_1M_OI",
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CASE
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WHEN put_1m_oi >= 1e9 THEN to_char(round((put_1m_oi/1e9)::numeric, 1), 'FM999,999,990.0') || 'B'
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WHEN put_1m_oi >= 1e6 THEN to_char(round((put_1m_oi/1e6)::numeric, 1), 'FM999,999,990.0') || 'M'
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WHEN put_1m_oi >= 1e3 THEN to_char(round((put_1m_oi/1e3)::numeric, 1), 'FM999,999,990.0') || 'K'
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ELSE to_char(round(put_1m_oi::numeric), 'FM999,999,990')
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END AS "Put_1M_OI",
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-- highlights
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dom_side,
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CASE
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WHEN dom_side = 'CALL' AND (call_1m_oi >= put_1m_oi * 1.3) THEN 'CALL 🚀'
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WHEN dom_side = 'PUT' AND (put_1m_oi >= call_1m_oi * 1.3) THEN 'PUT 🛑'
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ELSE dom_side
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END AS "Highlight",
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-- keep raw metrics for sorting
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call_1m_oi, put_1m_oi, (call_1m_oi + put_1m_oi) AS tot_oi,
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oi_ratio_cp
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FROM fmt
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)
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SELECT
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symbol,
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"Call_1M_Vol",
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"Put_1M_Vol",
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"Call_1M_OI",
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"Put_1M_OI",
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"Highlight"
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FROM pretty
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-- 🔽 pick one ORDER BY pattern you prefer:
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-- 1) Overall liquidity leaders:
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ORDER BY tot_oi DESC, GREATEST(call_1m_oi, put_1m_oi) DESC, symbol
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-- 2) Side dominance (comment the above ORDER BY and uncomment below):
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-- ORDER BY ABS(COALESCE(oi_ratio_cp,0) - 1) DESC, tot_oi DESC, symbol
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LIMIT 10000;
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