Demand for Option Order Delta

The explosive growth of the equity options market in the wake of the pandemic has sparked massive interest from media and investors in derivatives phenomena. Meme stock manias have been attributed to the gamma effect. The Nasdaq “whale” was labeled the primary suspect in the melt-up of summer 2020. While it is evident options order flow influences underlying stock behavior, its less apparent exactly which hedging indicators or greek exposures have predictive power for underlying stock returns. In this paper, we introduce a straightforward measure dubbed Demand for Option Order Delta (DOOD).