{
  "meta": {
    "script": "trace_cluster_oi_enhanced.py",
    "description": "Positive-gamma cluster reach enhanced with intradayStrikeOI features",
    "date_run": "2026-03-24",
    "n_dates": 344,
    "n_events": 12703,
    "n_oi_events": 12703,
    "date_min": "2024-06-24",
    "date_max": "2026-03-20",
    "overall_reach_rate": 0.6785,
    "overall_null_rate": 0.6561
  },
  "test1_oi_quintiles": {
    "mm_net_oi": [
      {
        "label": "Q1",
        "N": 2541,
        "reach_rate": 0.7037,
        "null_rate": 0.7005,
        "lift": 0.0031,
        "p_value": 0.373638,
        "q_range": [
          -52869.0,
          11895.0
        ]
      },
      {
        "label": "Q2",
        "N": 2540,
        "reach_rate": 0.5906,
        "null_rate": 0.5756,
        "lift": 0.015,
        "p_value": 0.065931,
        "q_range": [
          11900.0,
          24692.0
        ]
      },
      {
        "label": "Q3",
        "N": 2541,
        "reach_rate": 0.5667,
        "null_rate": 0.5502,
        "lift": 0.0165,
        "p_value": 0.048844,
        "q_range": [
          24698.0,
          41405.0
        ]
      },
      {
        "label": "Q4",
        "N": 2540,
        "reach_rate": 0.6732,
        "null_rate": 0.6539,
        "lift": 0.0193,
        "p_value": 0.021186,
        "q_range": [
          41421.0,
          66573.0
        ]
      },
      {
        "label": "Q5",
        "N": 2541,
        "reach_rate": 0.8583,
        "null_rate": 0.8001,
        "lift": 0.0582,
        "p_value": 0.0,
        "q_range": [
          66576.0,
          192979.0
        ]
      }
    ],
    "mm_total_oi": [
      {
        "label": "Q1",
        "N": 2541,
        "reach_rate": 0.5057,
        "null_rate": 0.5124,
        "lift": -0.0067,
        "p_value": 0.756352,
        "q_range": [
          52342.0,
          637965.0
        ]
      },
      {
        "label": "Q2",
        "N": 2540,
        "reach_rate": 0.5201,
        "null_rate": 0.5118,
        "lift": 0.0083,
        "p_value": 0.207913,
        "q_range": [
          638053.0,
          1191318.0
        ]
      },
      {
        "label": "Q3",
        "N": 2541,
        "reach_rate": 0.6545,
        "null_rate": 0.6273,
        "lift": 0.0272,
        "p_value": 0.002377,
        "q_range": [
          1191625.0,
          1778251.0
        ]
      },
      {
        "label": "Q4",
        "N": 2540,
        "reach_rate": 0.7996,
        "null_rate": 0.763,
        "lift": 0.0366,
        "p_value": 6e-06,
        "q_range": [
          1778383.0,
          2726677.0
        ]
      },
      {
        "label": "Q5",
        "N": 2541,
        "reach_rate": 0.9126,
        "null_rate": 0.8658,
        "lift": 0.0468,
        "p_value": 0.0,
        "q_range": [
          2726690.0,
          6119764.0
        ]
      }
    ],
    "cust_net_oi": [
      {
        "label": "Q1",
        "N": 2541,
        "reach_rate": 0.7521,
        "null_rate": 0.6962,
        "lift": 0.0559,
        "p_value": 0.0,
        "q_range": [
          -126596.0,
          -35492.0
        ]
      },
      {
        "label": "Q2",
        "N": 2540,
        "reach_rate": 0.6787,
        "null_rate": 0.6614,
        "lift": 0.0173,
        "p_value": 0.033672,
        "q_range": [
          -35455.0,
          -18844.0
        ]
      },
      {
        "label": "Q3",
        "N": 2541,
        "reach_rate": 0.6128,
        "null_rate": 0.5962,
        "lift": 0.0165,
        "p_value": 0.046441,
        "q_range": [
          -18837.0,
          -11141.0
        ]
      },
      {
        "label": "Q4",
        "N": 2540,
        "reach_rate": 0.6772,
        "null_rate": 0.6543,
        "lift": 0.0228,
        "p_value": 0.007983,
        "q_range": [
          -11133.0,
          -3744.0
        ]
      },
      {
        "label": "Q5",
        "N": 2541,
        "reach_rate": 0.6718,
        "null_rate": 0.6722,
        "lift": -0.0004,
        "p_value": 0.526233,
        "q_range": [
          -3739.0,
          27915.0
        ]
      }
    ],
    "cust_total_oi": [
      {
        "label": "Q1",
        "N": 2541,
        "reach_rate": 0.6549,
        "null_rate": 0.6497,
        "lift": 0.0051,
        "p_value": 0.302131,
        "q_range": [
          -302516.0,
          20499.0
        ]
      },
      {
        "label": "Q2",
        "N": 2540,
        "reach_rate": 0.5744,
        "null_rate": 0.5709,
        "lift": 0.0035,
        "p_value": 0.366964,
        "q_range": [
          20511.0,
          63404.0
        ]
      },
      {
        "label": "Q3",
        "N": 2542,
        "reach_rate": 0.5673,
        "null_rate": 0.5374,
        "lift": 0.0299,
        "p_value": 0.001314,
        "q_range": [
          63415.0,
          113315.0
        ]
      },
      {
        "label": "Q4",
        "N": 2539,
        "reach_rate": 0.6766,
        "null_rate": 0.6566,
        "lift": 0.0201,
        "p_value": 0.017069,
        "q_range": [
          113327.0,
          191627.0
        ]
      },
      {
        "label": "Q5",
        "N": 2541,
        "reach_rate": 0.9193,
        "null_rate": 0.8658,
        "lift": 0.0535,
        "p_value": 0.0,
        "q_range": [
          191634.0,
          560272.0
        ]
      }
    ],
    "firm_net_oi": [
      {
        "label": "Q1",
        "N": 2541,
        "reach_rate": 0.7875,
        "null_rate": 0.7371,
        "lift": 0.0504,
        "p_value": 0.0,
        "q_range": [
          -91848.0,
          -18663.0
        ]
      },
      {
        "label": "Q2",
        "N": 2540,
        "reach_rate": 0.6626,
        "null_rate": 0.639,
        "lift": 0.0236,
        "p_value": 0.006789,
        "q_range": [
          -18660.0,
          -10571.0
        ]
      },
      {
        "label": "Q3",
        "N": 2541,
        "reach_rate": 0.6104,
        "null_rate": 0.5903,
        "lift": 0.0201,
        "p_value": 0.020615,
        "q_range": [
          -10570.0,
          -4446.0
        ]
      },
      {
        "label": "Q4",
        "N": 2540,
        "reach_rate": 0.6173,
        "null_rate": 0.6142,
        "lift": 0.0031,
        "p_value": 0.380454,
        "q_range": [
          -4444.0,
          214.0
        ]
      },
      {
        "label": "Q5",
        "N": 2541,
        "reach_rate": 0.7147,
        "null_rate": 0.6997,
        "lift": 0.015,
        "p_value": 0.051781,
        "q_range": [
          215.0,
          39461.0
        ]
      }
    ],
    "procust_net_oi": [
      {
        "label": "Q1",
        "N": 2541,
        "reach_rate": 0.7682,
        "null_rate": 0.7505,
        "lift": 0.0177,
        "p_value": 0.020052,
        "q_range": [
          -27050.0,
          -4309.0
        ]
      },
      {
        "label": "Q2",
        "N": 2541,
        "reach_rate": 0.6753,
        "null_rate": 0.6647,
        "lift": 0.0106,
        "p_value": 0.132611,
        "q_range": [
          -4307.0,
          -1907.0
        ]
      },
      {
        "label": "Q3",
        "N": 2542,
        "reach_rate": 0.6349,
        "null_rate": 0.6129,
        "lift": 0.022,
        "p_value": 0.011707,
        "q_range": [
          -1906.0,
          -350.0
        ]
      },
      {
        "label": "Q4",
        "N": 2538,
        "reach_rate": 0.6407,
        "null_rate": 0.6281,
        "lift": 0.0126,
        "p_value": 0.097677,
        "q_range": [
          -349.0,
          1164.0
        ]
      },
      {
        "label": "Q5",
        "N": 2541,
        "reach_rate": 0.6734,
        "null_rate": 0.6242,
        "lift": 0.0492,
        "p_value": 0.0,
        "q_range": [
          1165.0,
          15346.0
        ]
      }
    ],
    "bd_net_oi": [
      {
        "label": "Q1",
        "N": 2541,
        "reach_rate": 0.7194,
        "null_rate": 0.6702,
        "lift": 0.0492,
        "p_value": 0.0,
        "q_range": [
          -14218.0,
          -2392.0
        ]
      },
      {
        "label": "Q2",
        "N": 2541,
        "reach_rate": 0.658,
        "null_rate": 0.6442,
        "lift": 0.0138,
        "p_value": 0.076108,
        "q_range": [
          -2391.0,
          -603.0
        ]
      },
      {
        "label": "Q3",
        "N": 2569,
        "reach_rate": 0.6322,
        "null_rate": 0.617,
        "lift": 0.0152,
        "p_value": 0.058802,
        "q_range": [
          -602.0,
          39.0
        ]
      },
      {
        "label": "Q4",
        "N": 2519,
        "reach_rate": 0.6288,
        "null_rate": 0.6256,
        "lift": 0.0032,
        "p_value": 0.379344,
        "q_range": [
          40.0,
          1081.0
        ]
      },
      {
        "label": "Q5",
        "N": 2533,
        "reach_rate": 0.7544,
        "null_rate": 0.7236,
        "lift": 0.0308,
        "p_value": 0.000249,
        "q_range": [
          1082.0,
          12179.0
        ]
      }
    ],
    "dte0_oi_share": [
      {
        "label": "Q1",
        "N": 2541,
        "reach_rate": 0.7025,
        "null_rate": 0.6757,
        "lift": 0.0268,
        "p_value": 0.001992,
        "q_range": [
          0.0,
          0.2
        ]
      },
      {
        "label": "Q2",
        "N": 2540,
        "reach_rate": 0.7122,
        "null_rate": 0.6988,
        "lift": 0.0134,
        "p_value": 0.073232,
        "q_range": [
          0.2,
          0.2
        ]
      },
      {
        "label": "Q3",
        "N": 2541,
        "reach_rate": 0.6797,
        "null_rate": 0.6556,
        "lift": 0.024,
        "p_value": 0.005571,
        "q_range": [
          0.2,
          0.3
        ]
      },
      {
        "label": "Q4",
        "N": 2540,
        "reach_rate": 0.6618,
        "null_rate": 0.6433,
        "lift": 0.0185,
        "p_value": 0.026698,
        "q_range": [
          0.3,
          0.3
        ]
      },
      {
        "label": "Q5",
        "N": 2541,
        "reach_rate": 0.6364,
        "null_rate": 0.6068,
        "lift": 0.0295,
        "p_value": 0.001189,
        "q_range": [
          0.3,
          0.4
        ]
      }
    ],
    "call_oi_share": [
      {
        "label": "Q1",
        "N": 2541,
        "reach_rate": 0.6246,
        "null_rate": 0.608,
        "lift": 0.0165,
        "p_value": 0.04559,
        "q_range": [
          0.1,
          0.4
        ]
      },
      {
        "label": "Q2",
        "N": 2540,
        "reach_rate": 0.6961,
        "null_rate": 0.6752,
        "lift": 0.0209,
        "p_value": 0.01272,
        "q_range": [
          0.4,
          0.5
        ]
      },
      {
        "label": "Q3",
        "N": 2541,
        "reach_rate": 0.7757,
        "null_rate": 0.7501,
        "lift": 0.0256,
        "p_value": 0.00141,
        "q_range": [
          0.5,
          0.6
        ]
      },
      {
        "label": "Q4",
        "N": 2540,
        "reach_rate": 0.8539,
        "null_rate": 0.8197,
        "lift": 0.0343,
        "p_value": 2e-06,
        "q_range": [
          0.6,
          0.7
        ]
      },
      {
        "label": "Q5",
        "N": 2541,
        "reach_rate": 0.4423,
        "null_rate": 0.4274,
        "lift": 0.015,
        "p_value": 0.066467,
        "q_range": [
          0.7,
          0.9
        ]
      }
    ],
    "mm_net_oi_0": [
      {
        "label": "Q1",
        "N": 2542,
        "reach_rate": 0.6294,
        "null_rate": 0.6338,
        "lift": -0.0043,
        "p_value": 0.682553,
        "q_range": [
          -25052.0,
          4789.0
        ]
      },
      {
        "label": "Q2",
        "N": 2539,
        "reach_rate": 0.629,
        "null_rate": 0.6298,
        "lift": -0.0008,
        "p_value": 0.541616,
        "q_range": [
          4793.0,
          8889.0
        ]
      },
      {
        "label": "Q3",
        "N": 2541,
        "reach_rate": 0.6824,
        "null_rate": 0.658,
        "lift": 0.0244,
        "p_value": 0.00487,
        "q_range": [
          8892.0,
          14110.0
        ]
      },
      {
        "label": "Q4",
        "N": 2541,
        "reach_rate": 0.6962,
        "null_rate": 0.6576,
        "lift": 0.0386,
        "p_value": 1.9e-05,
        "q_range": [
          14112.0,
          22448.0
        ]
      },
      {
        "label": "Q5",
        "N": 2540,
        "reach_rate": 0.7555,
        "null_rate": 0.7012,
        "lift": 0.0543,
        "p_value": 0.0,
        "q_range": [
          22453.0,
          129190.0
        ]
      }
    ],
    "cust_net_oi_0": [
      {
        "label": "Q1",
        "N": 2541,
        "reach_rate": 0.7194,
        "null_rate": 0.6698,
        "lift": 0.0496,
        "p_value": 0.0,
        "q_range": [
          -115424.0,
          -17748.0
        ]
      },
      {
        "label": "Q2",
        "N": 2541,
        "reach_rate": 0.6686,
        "null_rate": 0.6403,
        "lift": 0.0283,
        "p_value": 0.001482,
        "q_range": [
          -17730.0,
          -10113.0
        ]
      },
      {
        "label": "Q3",
        "N": 2540,
        "reach_rate": 0.7122,
        "null_rate": 0.6795,
        "lift": 0.0327,
        "p_value": 0.000201,
        "q_range": [
          -10112.0,
          -6011.0
        ]
      },
      {
        "label": "Q4",
        "N": 2540,
        "reach_rate": 0.6878,
        "null_rate": 0.6756,
        "lift": 0.0122,
        "p_value": 0.097762,
        "q_range": [
          -6010.0,
          -2709.0
        ]
      },
      {
        "label": "Q5",
        "N": 2541,
        "reach_rate": 0.6045,
        "null_rate": 0.6151,
        "lift": -0.0106,
        "p_value": 0.868818,
        "q_range": [
          -2707.0,
          27874.0
        ]
      }
    ]
  },
  "test2_counterparty": {
    "cust": {
      "net_sold_to_mm": {
        "label": "cust net-sold to MMs",
        "N": 11441,
        "reach_rate": 0.6783,
        "null_rate": 0.6537,
        "lift": 0.0246,
        "p_value": 0.0
      },
      "net_bought_from_mm": {
        "label": "cust net-bought from MMs",
        "N": 1262,
        "reach_rate": 0.6807,
        "null_rate": 0.6775,
        "lift": 0.0032,
        "p_value": 0.417867
      }
    },
    "firm": {
      "net_sold_to_mm": {
        "label": "firm net-sold to MMs",
        "N": 9986,
        "reach_rate": 0.6676,
        "null_rate": 0.6431,
        "lift": 0.0245,
        "p_value": 0.0
      },
      "net_bought_from_mm": {
        "label": "firm net-bought from MMs",
        "N": 2717,
        "reach_rate": 0.7184,
        "null_rate": 0.7037,
        "lift": 0.0147,
        "p_value": 0.04798
      }
    },
    "procust": {
      "net_sold_to_mm": {
        "label": "procust net-sold to MMs",
        "N": 8316,
        "reach_rate": 0.6893,
        "null_rate": 0.6734,
        "lift": 0.0159,
        "p_value": 0.001012
      },
      "net_bought_from_mm": {
        "label": "procust net-bought from MMs",
        "N": 4387,
        "reach_rate": 0.6581,
        "null_rate": 0.6232,
        "lift": 0.0349,
        "p_value": 1e-06
      }
    },
    "bd": {
      "net_sold_to_mm": {
        "label": "bd net-sold to MMs",
        "N": 7272,
        "reach_rate": 0.6756,
        "null_rate": 0.648,
        "lift": 0.0276,
        "p_value": 0.0
      },
      "net_bought_from_mm": {
        "label": "bd net-bought from MMs",
        "N": 5391,
        "reach_rate": 0.6854,
        "null_rate": 0.6698,
        "lift": 0.0156,
        "p_value": 0.007624
      }
    }
  },
  "test3_unreached_oi_profile": {
    "mm_net_oi": {
      "reached_median": 36089.0,
      "unreached_median": 27949.5,
      "diff": 8139.5,
      "chi2_p": 0.0
    },
    "mm_total_oi": {
      "reached_median": 1799230.0,
      "unreached_median": 982346.5,
      "diff": 816883.5,
      "chi2_p": 0.0
    },
    "cust_net_oi": {
      "reached_median": -15054.0,
      "unreached_median": -13647.5,
      "diff": -1406.5,
      "chi2_p": 4.1e-05
    },
    "firm_net_oi": {
      "reached_median": -8269.0,
      "unreached_median": -6538.5,
      "diff": -1730.5,
      "chi2_p": 0.0
    },
    "procust_net_oi": {
      "reached_median": -1201.0,
      "unreached_median": -776.5,
      "diff": -424.5,
      "chi2_p": 0.0
    },
    "dte0_oi_share": {
      "reached_median": 0.24,
      "unreached_median": 0.25,
      "diff": -0.01,
      "chi2_p": 0.0
    },
    "call_oi_share": {
      "reached_median": 0.56,
      "unreached_median": 0.56,
      "diff": -0.0,
      "chi2_p": 0.989716
    }
  },
  "test4_oi_growth_indicator": {
    "gamma_growing": {
      "label": "Gamma growing",
      "N": 553,
      "reach_rate": 0.7613,
      "null_rate": 0.7324,
      "lift": 0.0289,
      "p_value": 0.066998
    },
    "gamma_stable": {
      "label": "Gamma stable",
      "N": 306,
      "reach_rate": 0.6405,
      "null_rate": 0.598,
      "lift": 0.0425,
      "p_value": 0.071832
    },
    "gamma_shrinking": {
      "label": "Gamma shrinking",
      "N": 268,
      "reach_rate": 0.3694,
      "null_rate": 0.3694,
      "lift": 0.0,
      "p_value": 0.523031
    },
    "gamma_growing_oi_OIgrowing": {
      "label": "Gamma growing + OI growing",
      "N": 420,
      "reach_rate": 0.7786,
      "null_rate": 0.7286,
      "lift": 0.05,
      "p_value": 0.011087
    },
    "gamma_growing_oi_OIshrinking": {
      "label": "Gamma growing + OI shrinking",
      "N": 133,
      "reach_rate": 0.7068,
      "null_rate": 0.7444,
      "lift": -0.0376,
      "p_value": 0.862319
    },
    "gamma_stable_oi_OIgrowing": {
      "label": "Gamma stable + OI growing",
      "N": 156,
      "reach_rate": 0.641,
      "null_rate": 0.609,
      "lift": 0.0321,
      "p_value": 0.231041
    },
    "gamma_stable_oi_OIshrinking": {
      "label": "Gamma stable + OI shrinking",
      "N": 150,
      "reach_rate": 0.64,
      "null_rate": 0.5867,
      "lift": 0.0533,
      "p_value": 0.106262
    }
  },
  "test5_enhance_static": {
    "baseline_growing": {
      "label": "Gamma growing",
      "N": 6347,
      "reach_rate": 0.8103,
      "null_rate": 0.7801,
      "lift": 0.0303,
      "p_value": 0.0
    },
    "baseline_stable": {
      "label": "Gamma stable",
      "N": 2692,
      "reach_rate": 0.6724,
      "null_rate": 0.6445,
      "lift": 0.0279,
      "p_value": 0.001279
    },
    "baseline_shrinking": {
      "label": "Gamma shrinking",
      "N": 2957,
      "reach_rate": 0.4224,
      "null_rate": 0.4183,
      "lift": 0.0041,
      "p_value": 0.333765
    },
    "baseline_unknown": {
      "label": "Gamma unknown",
      "N": 707,
      "reach_rate": 0.5898,
      "null_rate": 0.5813,
      "lift": 0.0085,
      "p_value": 0.338144
    },
    "nongrow_mm_total_oi_high": {
      "label": "mm_total_oi \u2265 median",
      "N": 2825,
      "reach_rate": 0.7338,
      "null_rate": 0.7083,
      "lift": 0.0255,
      "p_value": 0.001427
    },
    "nongrow_mm_total_oi_low": {
      "label": "mm_total_oi < median",
      "N": 2824,
      "reach_rate": 0.3492,
      "null_rate": 0.3438,
      "lift": 0.0053,
      "p_value": 0.282368
    },
    "nongrow_cust_net_oi_high": {
      "label": "cust_net_oi \u2265 median",
      "N": 2825,
      "reach_rate": 0.5253,
      "null_rate": 0.5175,
      "lift": 0.0078,
      "p_value": 0.209133
    },
    "nongrow_cust_net_oi_low": {
      "label": "cust_net_oi < median",
      "N": 2824,
      "reach_rate": 0.5577,
      "null_rate": 0.5347,
      "lift": 0.023,
      "p_value": 0.007428
    },
    "nongrow_procust_net_oi_high": {
      "label": "procust_net_oi \u2265 median",
      "N": 2825,
      "reach_rate": 0.4853,
      "null_rate": 0.4637,
      "lift": 0.0216,
      "p_value": 0.011276
    },
    "nongrow_procust_net_oi_low": {
      "label": "procust_net_oi < median",
      "N": 2824,
      "reach_rate": 0.5977,
      "null_rate": 0.5885,
      "lift": 0.0092,
      "p_value": 0.164766
    },
    "nongrow_dte0_oi_share_high": {
      "label": "dte0_oi_share \u2265 median",
      "N": 2826,
      "reach_rate": 0.4996,
      "null_rate": 0.4873,
      "lift": 0.0124,
      "p_value": 0.097092
    },
    "nongrow_dte0_oi_share_low": {
      "label": "dte0_oi_share < median",
      "N": 2823,
      "reach_rate": 0.5834,
      "null_rate": 0.565,
      "lift": 0.0184,
      "p_value": 0.025135
    },
    "best_nongrow_subset": {
      "label": "High MM OI + Low 0DTE share (non-growing)",
      "N": 1786,
      "reach_rate": 0.7312,
      "null_rate": 0.71,
      "lift": 0.0213,
      "p_value": 0.024634
    }
  }
}