institutional-trader/backend/database/1monthoptionflow.sql

96 lines
3.7 KiB
SQL

WITH base AS (
SELECT
"Symbol" AS symbol,
"ExpirationDate"::date AS expiry,
UPPER("CallPut") AS callput,
"Strike"::float AS strike,
"Spot"::float AS spot, -- replace/join if missing
"Volume"::float AS vol,
"OI"::float AS oi
FROM public."OptionsFlow_monthly"
WHERE "ExpirationDate" BETWEEN CURRENT_DATE AND CURRENT_DATE + INTERVAL '30 days'
),
range_filtered AS (
SELECT *
FROM base
WHERE strike BETWEEN spot * 0.9 AND spot * 1.1
),
side_calc AS (
SELECT
symbol,
SUM(CASE WHEN callput = 'CALL' THEN vol ELSE 0 END) AS call_1m_vol,
SUM(CASE WHEN callput = 'PUT' THEN vol ELSE 0 END) AS put_1m_vol,
SUM(CASE WHEN callput = 'CALL' THEN oi ELSE 0 END) AS call_1m_oi,
SUM(CASE WHEN callput = 'PUT' THEN oi ELSE 0 END) AS put_1m_oi
FROM range_filtered
GROUP BY symbol
),
meta AS (
SELECT
symbol,
call_1m_vol, put_1m_vol, call_1m_oi, put_1m_oi,
(call_1m_oi + put_1m_oi) AS tot_oi,
CASE WHEN call_1m_oi > put_1m_oi THEN 'CALL'
WHEN call_1m_oi < put_1m_oi THEN 'PUT'
ELSE 'TIE' END AS dom_oi,
CASE WHEN call_1m_vol > put_1m_vol THEN 'CALL'
WHEN call_1m_vol < put_1m_vol THEN 'PUT'
ELSE 'TIE' END AS dom_vol
FROM side_calc
),
pretty AS (
SELECT
symbol,
-- K/M/B formatting
CASE
WHEN call_1m_vol >= 1e9 THEN to_char(((call_1m_vol/1e9)::numeric), 'FM999,999,990.0') || 'B'
WHEN call_1m_vol >= 1e6 THEN to_char(((call_1m_vol/1e6)::numeric), 'FM999,999,990.0') || 'M'
WHEN call_1m_vol >= 1e3 THEN to_char(((call_1m_vol/1e3)::numeric), 'FM999,999,990.0') || 'K'
ELSE to_char((call_1m_vol::numeric), 'FM999,999,990')
END AS "Call_1M_Vol",
CASE
WHEN put_1m_vol >= 1e9 THEN to_char(((put_1m_vol/1e9)::numeric), 'FM999,999,990.0') || 'B'
WHEN put_1m_vol >= 1e6 THEN to_char(((put_1m_vol/1e6)::numeric), 'FM999,999,990.0') || 'M'
WHEN put_1m_vol >= 1e3 THEN to_char(((put_1m_vol/1e3)::numeric), 'FM999,999,990.0') || 'K'
ELSE to_char((put_1m_vol::numeric), 'FM999,999,990')
END AS "Put_1M_Vol",
CASE
WHEN call_1m_oi >= 1e9 THEN to_char(((call_1m_oi/1e9)::numeric), 'FM999,999,990.0') || 'B'
WHEN call_1m_oi >= 1e6 THEN to_char(((call_1m_oi/1e6)::numeric), 'FM999,999,990.0') || 'M'
WHEN call_1m_oi >= 1e3 THEN to_char(((call_1m_oi/1e3)::numeric), 'FM999,999,990.0') || 'K'
ELSE to_char((call_1m_oi::numeric), 'FM999,999,990')
END AS "Call_1M_OI",
CASE
WHEN put_1m_oi >= 1e9 THEN to_char(((put_1m_oi/1e9)::numeric), 'FM999,999,990.0') || 'B'
WHEN put_1m_oi >= 1e6 THEN to_char(((put_1m_oi/1e6)::numeric), 'FM999,999,990.0') || 'M'
WHEN put_1m_oi >= 1e3 THEN to_char(((put_1m_oi/1e3)::numeric), 'FM999,999,990.0') || 'K'
ELSE to_char((put_1m_oi::numeric), 'FM999,999,990')
END AS "Put_1M_OI",
-- Highlight rules (dominance + divergence)
CASE
WHEN dom_oi = 'CALL' AND dom_vol = 'PUT' THEN '⚠️ OI CALL↑ / VOL PUT↑'
WHEN dom_oi = 'PUT' AND dom_vol = 'CALL' THEN '⚠️ OI PUT↑ / VOL CALL↑'
WHEN dom_oi = 'CALL' AND call_1m_oi >= put_1m_oi * 1.3 THEN 'CALL 🚀'
WHEN dom_oi = 'PUT' AND put_1m_oi >= call_1m_oi * 1.3 THEN 'PUT 🛑'
ELSE dom_oi
END AS "Highlight",
-- sort helpers
(CASE WHEN dom_oi <> dom_vol AND dom_oi <> 'TIE' AND dom_vol <> 'TIE' THEN 1 ELSE 0 END) AS diverge,
tot_oi,
GREATEST(call_1m_oi, put_1m_oi) AS big_side_oi
FROM meta
)
SELECT
symbol,
"Call_1M_Vol",
"Put_1M_Vol",
"Call_1M_OI",
"Put_1M_OI",
"Highlight"
FROM pretty
-- put divergence first, then overall liquidity:
ORDER BY diverge DESC, tot_oi DESC, big_side_oi DESC, symbol
LIMIT 100;