you'd have to give me the RSI data (since it depends on what parameters you pick :) ). No idea if this beats RSI, but the fact it works by itself (remember, this is purely option flows intraday) is kind of incredible.
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How do you figure that? It is literally volume weighted delta over share volume. You could argue price has some impact on delta, but that doesn't explain at all on low spread days how NOPE still shifts over time.
can you clarify, do you update the delta as spot moves or do you fix the delta at the time the option was traded?
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We update the delta as the spot moves.
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It doesn't change the trackingness much from what I remember, although in the context of the hypothesis it makes no sense.
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