Filter Options
Volume and PCR Screener: Pre-Trade Filtering with Price Confirmation
This screener is designed as a pre-trade filter. Use it to rank symbols by volume activity and PCR regime, then execute only after confirming price structure, liquidity quality, and clear invalidation. Volume and price are the primary intraday signals; OI provides structural context updated at end of day.
Desk Playbook
Volume-Driven Filtering
Start with volume-based metrics to find names where flow is active. High volume confirms participation; low volume makes signals unreliable regardless of PCR or OI readings.
Price Confirmation
Use price behavior to confirm volume signals. Volume without price follow-through is noise. Volume aligned with price direction gives conviction. This is the primary intraday filter.
OI as Structural Reference
Use OI-derived levels (support/resistance from high-OI strikes) as reference zones, not timing signals. Since OI updates EOD, confirm with live volume and price before executing.
PCR Regimes and Desk Interpretation
Low PCR (Below 0.70)
Call-heavy flow, often momentum-led optimism.
Desk view: Avoid chasing late highs. Prefer pullback continuation setups or hedged long structures once price confirms. Low PCR with rising volume is stronger than low PCR on thin volume.
Balanced PCR (0.70 to 1.20)
Two-way flow with lower directional consensus.
Desk view: Range logic and mean-reversion often work better until a clean boundary break appears with volume confirmation.
High PCR (Above 1.20)
Put-heavy flow with elevated hedging demand.
Desk view: Treat as defensive sentiment. If price holds support, reversal probability improves; if support fails, downside can accelerate. Use volume PCR for intraday timing, OI PCR for structural context.
Execution Workflow
1. Universe Narrowing
Start with filtered symbols showing high volume and clean PCR behavior. Volume is the first filter — no volume means no conviction.
2. Price and Volume Confirmation
Validate screener signals against actual price behavior and volume at key strikes. Screener output is a filter, not a trigger — price must confirm.
3. Entry and Invalidation
Define exact trigger and stop before entering. If boundary reclaim fails, exit early instead of averaging.
4. Position Management
Scale out into strength/weakness and reduce size when volume dries up or price action reverses against your thesis.
Common Process Errors to Avoid
- Using PCR as a standalone buy/sell trigger without price and volume confirmation.
- Treating OI levels as real-time signals when OI only updates at end of day.
- Taking boundary breaks in poor liquidity with wide spreads and low volume.
- Overfitting to one expiry when term structure is materially different.
- Increasing size after invalidation instead of respecting predefined risk.
Practical FAQ for Active Traders
Should I always treat high PCR as bullish reversal?
No. High PCR is context, not a trade signal by itself. Use price behavior, volume confirmation, and support levels to decide whether it signals reversal or continuation.
When is volume-based PCR better than OI-based PCR?
Volume-based PCR updates intraday and captures current session sentiment — use it for timing. OI-based PCR updates at EOD and reflects structural positioning — use it as a reference map of where key levels sit.
How should I combine volume and price for entries?
Higher quality setups are where volume and price align. Example: surging put volume at a support strike while the underlying price is falling is stronger bearish evidence than either metric alone.
Risk Disclosure: Options involve leverage and can lead to rapid losses. Screener output is analytical input, not financial advice.