Industry signal

A long-only US industry rotation signal that chases institutional net option buying.

1. Summary

The strategy invests in US industries that show abnormal institutional options flow. Institutional net option buying, measured as net delta-adjusted notional, is summed across the constituents of an industry and z-scored against that industry's own recent history. When the print goes extreme, the strategy overweights the industry through its liquid constituents, then unwinds as the flow fades.