Key improvements
- New classification model to track option flows: We have substantially improved our trade classification model to make it more robust in determining the type of option traded. Over the past year, in particular, misreported trades (calls reported as puts) have affected the quality of our Options FX dataset. The new model includes comparisons between estimated and reported option premiums, along with other proprietary methods to detect the correct type of option traded.
- Reporting delta-adjusted notional: Until now, we have provided only the premium traded as a flow metric. We are now moving to provide delta-adjusted notional traded instead— a more reliable and comparable measure of investors’ flows.
- New options strategies classification model: A large portion of options volume consists of more complex multi-leg strategies. We now track all these strategies and classify trades based on their likelihood of being part of a spread trade. The final delta-adjusted flow is calculated based on the notional bought and sold through these trades.
- Intraday flow: We have increased the level of granularity, allowing our clients to download 10-minute flows data through all our delivery systems: API, AWS S3, FTP, or front-end download. The delivery is at 3:00 am T+1 UTC+0. “Live” data, with 20 minutes lag delivery, will be available soon.
How our combined metrics will evolve
- Expanded combined metrics for all major liquid crosses: Previously, we provided combined data only for aggregated metrics, such as EUR/XXX, JPY/XXX, etc. Starting Monday, we will have combined metrics tracking actual underlying pairs, such as EUR/USD, USD/JPY, AUD/USD, etc. The only exception will be USD/XXX, which will continue to be measured as total aggregated flows across all USD pairs.
- Exclusion of CFTC data: While we continue to combine CTAs with Options FX data, we have decided to completely discontinue the use of CFTC data. CFTC data no longer serves a meaningful purpose, as it primarily tracks CTAs in only a subset of currency pairs and comes with a longer lag and lower frequency.
- Change in rolling timeframe: We now use a 2-months rolling average of options flows instead of a 3-month rolling sum, as the latter is too slow in capturing tactical shifts in option sentiment.
- Rolling window standardization: We apply a rolling window to standardize our flows data, as some currency pairs exhibit a visible drift in their trends.
- All combined metrics are point-in-time across all endpoints and delivery systems.
New Fields
- Call Delta Adj. Notional: The sum of the delta-adjusted notional of all calls, including those in option strategies that mix calls, puts, or forwards. The value may be negative if the aggregate delta-adjusted notional of calls sold in option strategies is predominant.
- Put Delta Adj. Notional: The sum of the delta-adjusted notional of all puts, including those in option strategies that mix calls, puts, or forwards. The value may be positive if the aggregate delta-adjusted notional of puts sold in option strategies is predominant.
- Forward Delta Adj. Notional: The sum of the notional of all forwards, but only if they are part of an option strategy. The delta is always equal to 1, meaning the delta adjustment is fixed. The value can be positive or negative depending on the option strategy.
- Call-Put Delta Adj. Notional: The total delta-adjusted notional for all positions.
The currency and flow direction are always aligned with the base currency, and flows are reported in millions. For example, 1 unit in EUR/USD indicates a position of 1 million EUR long against USD.
We are committed to providing the most accurate and relevant data to support your investment decisions.