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Obviously, not asking for a trading strategy, but do people successfully use options feed/microstructure data to trade equities intraday? What's the general framework for such strategies?

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I am sure that some people do this. Generally, there is some evidence that informed traders choose to trade in the option markets first (Easley et.al, 1998). This is especially true if an informed trader has bad news about a short-sale constrained stock. In this case the option market leads the equity market. Moreover, I was told that there are some people that extract option implied information (e.g. steepness of the volatility skew or changes in implied volatility) and trade equities based in this. There is a lot of academic literature on this e.g. AN et.al, 2014.

I never tried these strategies myself. Option data should be provided by your broker.

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The significant open position at some strike might be treated as a hope of those, who opened it that at expiration market will be there and further, so options will be in the money.

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  • $\begingroup$ Thank you for a prompt response. But there is no way to figure if there is a big open position there, or is there? Not from the feed data? $\endgroup$ – LazyCat May 4 '16 at 14:16
  • $\begingroup$ cmegroup.com/trading/equity-index/us-index/… This is just an example, how this kind of data looks at CME site. Scroll it down, there are information for options. I suppose the same can be found for another exchanges. $\endgroup$ – plkn May 5 '16 at 21:39

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