Masscrest accuracy

In this piece we provide more context on how the data are sourced and transformed, and present accuracy tests.

1. The US option market

Masscrest publishes investor flow data across every US listed equity option. For each print we identify the side, whether the investor is buying or selling against a market maker, and the investor type: retail, institutional, or a market maker trading against another market maker. Knowing net buying pressure matters, because these volumes are large and options move the underlying indirectly through dealer hedging. Knowing the investor type also matters, because retail, institutional, and market makers behave in different ways and have different objectives and risk aversion. Splitting demand by investor type gives cleaner inputs for systematic trading and for market context, instead of relying on noisy volume based indicators of sentiment (like call to put ratios). See our options market overview for more context.

This piece focuses on validating our data. Validation is what sets Masscrest apart from other options data vendors, and it is the work we spend the most time on.