Recent days I noticed more Calls in the market. Twice as many calls than puts in P/C volume among semiconductors and AI names.
I downloaded 1 year data, asked ChatGPT to run some test.
There were 24 events in last year when P/C Volume is calls-heavy among semis (P/C volume ≤ 0.50). Once OI begin to decline, the stocks pullback over next several days.
This effect is strongest 5 days horizon with p-value = 0.00044
The theory is that:
Too Many Calls Positioning + Calls Begin Decay or Closed out = Selling pressure (contributed by Dealer Unwind)
However, there is big problem with my sample size. The finding is uneven across individual stocks. My overall sample size is 28 (10 semiconductors names). Semiconductors have strongest result, but individual names have far too few events. It only become significant when it is taken as sector as a whole.
There is similar correlation among AI/High-Beta, Mag7 but none are statistically significant, likely because sample size is too small.
Thought or Criticism is welcomed.