Methodology

Institutional Funds Flow Intelligence — how we read the signal.

What this report is

OptionSpy.ai is a daily options research report. It tracks institutional positioning across the 11 sector ETFs that represent the US economy, and surfaces bull put spread and iron condor candidates that align with the dominant flow.

What this report is not

OptionSpy does not receive direct institutional flow data, 13F filings, dark-pool prints, or proprietary order-book feeds. The signals are inferred from price action using a Van Metre-style systematic trend-following model — the same methodology that systematic trend-following funds themselves use to decide when to buy and sell.

How the model works

• Step 1 — Two EMAs. Fast EMA (21-day) and slow EMA (63-day) of daily closing prices.
• Step 2 — Gradient. Day-over-day change of each EMA — measures momentum of the trend.
• Step 3 — RSI of the gradient. Rather than applying RSI to price, we apply 14-period RSI to the gradient itself. This measures whether the trend is accelerating or decelerating.
• Step 4 — Position buckets. The RSI value is mapped to one of seven discrete buckets: +100%, +55%, +35%, +15%, −15%, −55%, −100%. These represent approximate institutional positioning.

Trade selection

For each ETF the model decides whether to surface a bull put spread, an iron condor, or skip the symbol entirely:

• Bull put spread when Fast ≥ +35% and Slow ≥ +15% — CTAs are committed bulls, implied floor.
• Iron condor when both signals are in the neutral band — range-bound, collect theta.
• Skip at maximum long crowding or confirmed downtrend.

Frequency and timing

The daily snapshot is captured at 3:00 PM Eastern / 12:00 PM Pacific on US market trading days. The publish is delivered to subscribers each morning before the opening bell.