Article by Reinis Fals and Oskars Vainovskis

Nowadays, when investing in different financial assets there are hundreds of available technical indicators which help to determine the range, direction, and duration of a particular price movement in the short term. In this article, we will explore a promising new quantitative indicator that was created in the year 2020 by Lily Francus that goes by the name of NOPE.

Screenshot from Michael Burry’s Twitter account, where he tweeted about NOPE.

What kind of financial animal is NOPE?

NOPE stands for Net Options Pricing Effect and, essentially, it is a quantitative indicator based on the flow of options contracts for a specific stock. The calculation of NOPE involves determining the net delta of both call and put options for all outstanding contracts weighted by daily traded volume and dividing everything by the total traded share volume during the market session.
Delta is one of the main factors which determines the price of the options contract by indicating an incremental price movement in an option for a 1-point price change in the underlying security. This means that a $1 increase in the price of a stock will increase the price of the call option by delta but decrease the put option’s price by the corresponding delta value, everything else being equal. For reference, a regular share of a stock has a delta of 1.

When calculating NOPE it is also important to remove the acquired values close to a stock’s ex‑dividend date as it tends to inflate the volume of put and call options due to some market participants engaging in dividend arbitrage.

The fun part – how to interpret/use it?

While the market is far too complicated for one index to explain it all, NOPE is especially worthy of one’s attention when it comes to predicting market divergence before it happens and the bottoms of market crash when it occurs. The index can also predict intraday SPY ETF reverse points, false rallies/intraday selloffs, estimate next day behaviour (red/green), predict higher/lower monthly returns, detect how much volatility to expect the next day.

Essentially, NOPE measures intraday options flow. To put it more simply, NOPE compresses market makers information and moves to stay delta neutral in an indicator. For example, if you buy a call option, the HFT market makers selling it will have to hedge this position to stay indifferent in case the option goes past the strike price, and the number of shares they will have to buy depends on the options delta. The delta depends on how likely the stock is to hit the strike price of the option, and the option’s expiration date.


Here we will analyze NOPE data from the 10th of June 2021 for SPY. The first notable thing we see is that the price of the underlying is on the right side of the graph and the NOPE magnitude is measured on the left. The second thing we see is that each day NOPE starts at 0. The general consensus when it comes to intraday inversions is acting bearish when NOPE reaches levels past 50 and acting bullish when NOPE drops down to -70. If it moves past these levels then most likely there will be a bigger reversion.

Right at the beginning of the day, we can see this huge jump, where NOPE goes past 50 at around 4:40 PM. This is a bearish sign and means that most likely we will see an inversion and that is true, NOPE has a small reversion in the next 10 minutes and a much bigger reversion in the next 1 hour. Around 6 PM NOPE drops all the way down to -120, here it is a really bullish sign and we see a huge reversal in the next half an hour.


Next day and beyond


However, when looking at NOPE to predict next-day behaviour, moderate behaviour ranging from 0-30 NOPE predicts healthy bullish rallies and indicates that next day SPY will move in a green direction. The part where it gets interesting is when NOPE increases to 40+, this has shown a really high chance that the next day SPY will move in a negative direction, indicating possible corrections or crashes. Positive end of the day NOPE is tied to decreased next day volatility. Negative NOPE in regards to next day behaviour does not have such clear correlations with the underlying assets price movements, although there are potential use cases.


NOPE can be a good measure of the market sentiment and the sensitivity of a particular ticker; however, it is important to remember that this indicator is relatively new and is still not explored enough to base trading decisions purely on the position of NOPE. Nevertheless, it tends to display certain market movements with good accuracy, for instance, through analyzing historical data, NOPE seemed to predict earnings direction on the SPY tickers with an accuracy of about 70-80%. Furthermore, NOPE has massive potential if analyzed further and it is starting to attract some mainstream knowledge as Lily, the creator, has participated in a Bloomberg interview where she raised the awareness of the options market impact on the stock price.



The Content in this article is for informational purposes only, you should not construe any such information or other material as legal, tax, investment, financial, or other advice. Nothing contained in this article constitutes a solicitation, recommendation, endorsement, or offer by the authors or any third party service provider to buy or sell any securities or other financial instruments in this or in any other jurisdiction in which such solicitation or offer would be unlawful under the securities laws of such jurisdiction.




Bloomberg. (2021, February 13). ‘NOPE’ Indicator Shows Options Market Impact on Price: Lily Francus. Retrieved June 16, 2021, from


NOPE Chart. (n.d.). NOPE Chart | Net Option Pricing Effect Tracker. Retrieved June 10, 2021, from


Francus, L. (2020, November 14). No gods, no kings, only NOPE — or divining the future with options flows. [Part 3: Hedge Winding, Unwinding, and the NOPE]. Retrieved June 16, 2021, from


Francus, L.  (2020, November 28). Interpreting the NOPE: A Brief User’s Guide. Retrieved June 16, 2021, from


Francus, L. (2021, January 17). Let’s talk about the NOPE. Retrieved June 16, 2021, from


Francus, L. (2020, December). Investigating Delta-Gamma Hedging Impact on SPY Returns 2007–2020. Retrieved June 16, 2021, from


Armstrong, R. (2021, April 10). The Nope theory to explain volatility in equity markets. Retrieved June 16, 2021, from