Options Flow & VRP Scanner — Ashton Dsouza

■ Options Flow Anomaly & Variance Risk Premium Scanner PROJECT 03 · /vrp

Real-time contract flow velocity, Volume-to-OI turnover, and tenor-matched Variance Risk Premium (VRP) term structure.

Forecast: EWMA (λ = 0.94) • VRP Metric: IV² − RV²

NEAR ATM IV

— —

FORWARD RV (EWMA)

— λ = 0.94

IV − FORWARD RV

— Spread

VRP VARIANCE PROXY

— IV² − RV²

MONITORED FLOW

— Active Sweeps

■ Real-Time Options Order Flow Anomalies 0 anomalies

Symbol	Strike	Type	LTP (₹)	Spread %	Vol 1m	Vol 5m	Vol / OI	Turnover	SCORE ⓘ	Triggers / Microstructure Signals
Loading options flow anomalies...

■ Variance Risk Premium Expiry Buckets Ranking

Sorted by Expiry Tenor

Expiry Date	Tenor	ATM Strike	ATM IV (%)	Fwd RV (%)	Spread (% pts)	VRP Proxy	Status
Loading VRP ranking...

■ VRP Term Structure Curve (IV² − RV²)

■ Mathematical Basis: Variance Risk Premium Harvest

Variance Risk Premium (VRP) reflects the structural spread between options implied volatility and subsequently realized return variance: VRP = IV² − RV². A positive spread signals that market participants are overpaying for downside protection and volatility insurance, offering a systematic carry premium to delta-neutral volatility sellers through structured Iron Condors and Strangles.

■ Algorithmic Trade Ideas & Volatility Strategy Setups

Automated strategy synthesis combining live tenor-matched VRP edge, order flow velocity sweeps, and skew convexity.

Synthesizing live options order flow and VRP curve for trade setups...

■

100-Point Options Activity Scoring Model

Quantitative multi-factor flow anomaly ranking engine

The Activity Score (0–100) aggregates 6 quantitative market micro-structure pillars to detect institutional volume accumulation, sweeps, and aggressive unwinding in real time.

1. 5m Volume Velocity Max 35 pts

Measures rolling 5-minute pace relative to peer strikes.
• ≥ 4.0x peer median: 35 pts
• ≥ 2.5x peer median: 25 pts
• ≥ 1.5x peer median: 15 pts

2. Volume / OI Ratio Max 25 pts

Detects aggressive positioning relative to existing open interest.
• Vol/OI ≥ 3.0x: 25 pts
• Vol/OI ≥ 1.5x: 18 pts
• Vol/OI ≥ 0.8x: 12 pts

3. Premium Turnover Max 20 pts

Capital committed in ₹ Crores (Premium × Volume).
• Turnover ≥ ₹25.0 Cr: 20 pts
• Turnover ≥ ₹10.0 Cr: 15 pts
• Turnover ≥ ₹2.0 Cr: 10 pts

4. OI Shift / Unwinding Max 15 pts

Significant accumulation or unwinding of contracts.
• |ΔOI| ≥ 25% (OI ≥ 1k): 15 pts
• |ΔOI| ≥ 10% (OI ≥ 1k): 8 pts

5. Price & IV Momentum Max 10 pts

Vol shock and premium repricing velocity.
• |Option Price Chg| ≥ 20%: 5 pts
• |IV Shift| ≥ 3.0% pts: 5 pts

6. Spread Quality +5 / -10 pts

Liquidity confidence adjustment factor.
• Spread ≤ 3.0%: +5 pts bonus
• Spread ≥ 20.0%: -10 pts penalty

Classification Rank Tiers

CRITICAL / HIGH ≥ 75 ELEVATED 50 – 74 MODERATE 25 – 49 BASELINE < 25

■

Option Activity Diagnostic

Scoring attribution & micro-structure audit