I developed a script which calculates the market order depth for the SPY, and when there is a large imbalance, at least 80/20 for me, then this is a great time to buy 0dte options. The large imbalance in volume is the key.
Market Depth Imbalance 0dte Options
byu/ArchieBunker_GR25 inoptions
Posted by ArchieBunker_GR25
1 Comment
Huh? Please explain what you mean by market depth “for the SPY?” I understand what depth of the order book means, but which order book are you talking about? Did you mean *share* volume or did you mean *contract* volume, and if the latter, which contract? Or do you mean all of them, across all expirations?
What are your buy volume and sell volume numbers based on? It doesn’t make sense that those two numbers would be an order of magnitude different, if what you are talking about is daily share volume.