SPX 0-DTE Chart
Dark Pool Charts
Dark Pool Dashboard
SPX 0-DTE Chart
Dark Pool Charts
Dark Pool Dashboard
The following lists several of the many ways that our data helps categorize stocks at various points of their trade cycles. We've also included some common pitfalls of inexperienced options traders and a glossary of terms. Please also read our
for the data.
You may also want to read and subscribe to our free
Volatility and Gamma newsletter
for more details and timely information
Where does Market Maker Gamma come from?
What is Market Maker Gamma and how does it move stocks?
Gamma positioning determines what action Market Makers take as the price of a stock moves.
How do ratings work?
Ratings are updated once in the first 40 minutes of trading and again in the last 40 minutes of trading.
Ratings are based on the current state of the stock's gamma structure, IV, and Skew. There are currently 5 categories:
Bullish, Hold, Buy, Wait (no position), and Bearish
: Stock is in an uptrend but is trading at a gamma resistance level which may take time to work through, or can reject price to downside.
: Stock is in a downtrend but is trading at a gamma support level which may take time to work through, or can reject price to upside.
: Stock is trading in a range with no clear direction.
How is gamma important?
An option's Gamma is highest when the strike is near the underlying trade price. The impact of gamma decreases as share price moves away from a given strike price.
Large gamma levels at a given strike have a gravitational pull on the underlying trade price of a stock.The force is weaker if price is far away from a strike with large gamma.
The gamma structure of daily SPX index options provide insight into intraday movements in SPX. See our
Gamma Structure Cheat Sheet for SPX
"Gamma Call Ladder"
is formed for speculative stocks when there is relatively little put gamma across strikes, and there is a series of significant call gamma clustered across multiple strikes above the current share trading price. This results in high volatility conditions that can push the stock quickly higher or lower.
Daily increases in call gamma and shifts to higher strikes often signifies impending bullish price action.
: The price on a security has risen to a strike with large call gamma that is likely to help keep price contained at that level. (Price tends to overshoot the strike slightly.)
"Gamma Put Gravity"
is triggered when there is relatively little call gamma across strikes, and there is and a series of significant put gamma on multiple strikes below the current share trading price. This acts to hold price back or fall back to the zone of strikes where gamma exists.
is triggered when the price on a security has dropped down to a strike with large put gamma which is likely to help keep price above that level. (Note: Stocks with newly announced bad news can easily drop below this support, so do not think of it as a hard support level.)
action occurs when there is heavy call and put gamma at a given strike that is very close to the current trading price of the underlying, making it difficult for underlying price to move.
Daily increases in put gamma and shifts to lower strikes often signifies impending bearish price action.
Price surpassing the largest gamma strikes (above positive gamma or below negative gamma) is a sign price has moved too far and will come back towards the largest strike.
Some other ways to look at our data:
Gamma Call Ladder
(from our "Gamma Form" field) indicates heavy speculative call interest setting up a gamma squeeze.
--> A visual of the gamma structure from the GEX Charts page should show call gamma across multiple adjacent strikes (wider=better) and not much put gamma.
--> Large negative SA-GEX / Avg Trade Volume (less than -0.4) tells you there is a large percentage of the avg daily trade volume that Market Makers need to buy/sell to stay delta-neutral.
--> Stocks with large short interest (>30%) will add to the gamma squeeze with a short squeeze as shorts buy to cover their position.
SA-GEX state Change from positive to negative.
on the GEX Dashboard. Apply filters:
* SA-GEX: Negative
* Call Skew: Positive
* IV: gr than 126 or 75-125 (based on trader risk tolerance preference)
* Sort results by SA-GEX Change column.
--> Click through each ticker on list and look for meaningful trend shifts (from solidly positive to negative) for long positions.
--> Make sure a correlation exists between negative SA-GEX and RISING price. If history shows price falls during negative SA-GEX, or prices rises with positive SA-GEX, you can't use this strategy on this ticker.
Identify stocks that have consolidated and getting ready for next large move.
Use Skew Dashboard and apply filters:
* Call Skew: positive
* IV / BB Width: gr than 10.0
* IV: gr than 126
* Sort results by IV column
--> These are more speculative plays as a narrow Bollinger Band does not necessarily equate to moves higher.
--> More appropriate for straddles.
** Stocks under $5 generally have widely spaced option strikes relative to trade price (in percentage terms), which makes them prone to a larger margin of error in the GEX and SA-GEX calculations. These stocks are generally best avoided.
Strong Call Skew vs average, strong negative SA-GEX
and you're expecting prices to move higher.
--> Call spread.
Implied Volatility is abnormally low compared to a stock's historic IV and there is a large negative SA-GEX
so that you are expecting a big directional move in either direction.
--> Straddle with strikes about one standard deviation out-of-the-money.
Implied Volatility is abnormally high compared to a stock's historic IV and there is a large positive SA-GEX
(especially in major indexes) so that you are expecting prices to remain within a range.
--> Condor / butterfly / short strangle where your nearest calls and puts are about one standard deviation out-of-the-money.
***Other essential principles of trading options***
Have a defined process on your option trades
. What are the conditions to open the position? What is the structure of the trade? What are the conditions to close the position?
Always be aware of event risks for a stock
such as earnings reports. Earnings report days often have a large amount of implied volatility that is priced in, and that IV falls significantly after the event.
Plan and identify price levels where you want to buy options
. For example, don't decide to buy some calls on a day when the stock is up a bunch and chase price higher.
- IV, Delta, and Theta are important to understand when buying options, but they are critical when buying OTM options. You can still lose money on options even if you make the right call on the underlying directional move.
Theta hurts an option's value the most in the week of expiration.
Options with more than 60 DTE have smaller theta. Once there is less than 20 DTE theta really starts to increase. Deep in the money options have the least theta since those options are mostly intrinsic value there isn't much theta to decay (Theta is the decay of extrinsic value).
Generally you don't want to hold options until expiration
. Instead, sell after hitting your price objective or reaching your max loss. Sell/roll at least a few days prior to expiration if needed.
- The fewer the days to expiration the less room for error you have.
- Zero Days-to-Expiration (0DTE) options are high risk and have severe price fluctuations. Intraday price fluctuations make stops almost impossible to use and it's better to size-down your position instead of using a stop. For example, rather than use a stop at 50% just reduce your trade size by half with the assumption that it expires worthless.
Notes on Gamma Exposure (GEX)
- "GEX($ per 1% move)" is given as
, meaning that it is calculated under assumptions that Market Makers are buying calls and selling puts.
- A stock's Call Skew influences the
"Skew Adjusted GEX" (SA-GEX)
, which changes to reflect estimated MM exposure. A positive Call Skew is common in stocks which have outsized speculative call buying.
- Positive Skew Adjusted GEX: Daily movement subdued as Market Makers re-hedge by buying as stock price falls, and adding to their short as stock price rises.
- Negative Skew Adjusted GEX: Daily movement accentuated as Market Makers re-hedge by buying as stock price rises, and adding to their short as stock price falls.
(For additional details, see notes below and
this blog post
GEX Data Table Details
- Our data looks at all options with less than 94 days to expiration.
is calculated by summing gamma from calls at each strike (gamma * Open Interest * 100) and puts (gamma * Open Interest *-100).
"GEX($) per 1% move"
the equivalent dollar value of GEX for a 1% move in the underlying stock. This is how much of a stock MMs must buy/sell per 1% move in order to remain neutral in their positions.
is the ratio for GEX (in shares) to the daily average trade volume (in shares).
is the level where gamma changes from positive to negative, or vice versa.
is the Normalized EMA of its Dark Pool Indicator
- "Naive GEX" calculations assume that investors are primarily selling calls and buying puts (Market Markers buy the calls and sell the puts, then hedge their positive delta by shorting shares).
- The accuracy of Naive GEX on a given security depends on the validity of the base GEX assumptions, specifically whether investors are selling calls and buying puts.
- Stocks under $5 generally have widely spaced option strikes relative to trade price (in percentage terms), which makes them prone to a larger margin of error in the GEX and SA-GEX calculations. These stocks are generally best avoided.
Data Download notes: There is a "Rating" column in the csv sheets when you download historical data. Below is the code:
1 = "Bearish"
2 = "Wait" ( no position )
3 = "Buy"
4 = "Hold"
5 = "Bullish"
Notes on Skew and Delta data:
- Based on the price of options, each stock has an Implied Volatility (IV). The Implied Volatility defines the one standard deviation move over a given period of time.
- "Expected Move" is defined as a One Standard Deviation Move, derived from the stock's current Implied Volatility.
- We take measurements of Put and Call Deltas for options that are one standard deviation out-of-the-money with ~ 30 days to expiration. (The "Delta" for a given contract is defined as the probability that the option will expire in the money.)
Interpretation of Data:
- A stock with a positive Call Skew has option demand skewed toward calls.
- A stock with a negative Call Skew has option demand skewed toward puts.
- The Current Call Skew should be evaluated with respect to its Average Call Skew.
- Sentiment can be evaluated by comparing the Current Call Skew to the Average Call Skew.
chart displays the Implied Volatility (IV) and Delta for each Out-Of-The-Money put and call contract.
Note: The "Delta" at a given contract is the probability that the option will expire in the money.
Call Skew History
chart tracks the "Call Skew", which is the delta of calls at
One Standard Deviation above current stock price
minus the delta of puts at
One Standard Deviation below
the current price with 30 days to expiration.
Bollinger Band compression:
- Stocks will generally see their Bollinger Bands (parameters: 10 days & 2 std) compress while price consolidates prior to next breakout.
- Measurement of Bollinger Band width helps people see at a glance what stocks are currently in a compression phase to identify a more ideal time to buy options.
- High IV : BB Width --> Stock is moving less than usual with recent compression in daily price movement.
Implied Volatility Changes:
- Large changes in IV that are not accompanied by large price changes in the underlying are often a prelude to underlying price movements.
Skew Data Table Details
- Our data looks at all options with less than 94 days to expiration.
"1 Standard Deviation"
is calculated using an average of IVs around the At-The-Money strikes, and then converted to dollars of share price for the given period.