Glossary

Exposure#

GEX — Gamma Exposure#

Dollar value of stock dealers must trade to stay delta-neutral for a 1% move in the underlying. Positive means they sell rallies and buy dips (dampening); negative means they chase in both directions (amplifying).

How to read it: Sign gives the regime. Magnitude gives how hard the regime bites — the same sign on a thin book barely matters.

DEX — Delta Exposure#

Dollar delta dealers carry. Unlike gamma it is directional: it says which way they are leaning right now, not how they react to a move.

How to read it: Large positive dealer delta means a standing supply of selling into strength.

VEX — Vanna Exposure#

How much dealer delta shifts per one point of implied volatility. The channel through which a vol move becomes a price move without spot doing anything first.

How to read it: Strongest into monthly OpEx, when term-structure roll-down drags IV lower and dealers buy back hedges. Check the OpEx window before trading it.

CHEX — Charm Exposure#

How much dealer delta decays per calendar day purely from time passing. The mechanical source of afternoon drift on heavy 0DTE days.

How to read it: Same seasonal window as vanna — it builds into OpEx and goes quiet after.

Levels#

Call Wall#

Strike at or above spot carrying the most call dollar-gamma. Acts as a ceiling: dealers sell into it to stay hedged.

How to read it: A wall holding on repeated touches is real. One that migrates every cycle was never a wall.

Put Wall#

Strike at or below spot carrying the most put dollar-gamma. Acts as a floor for the mirror-image reason.

How to read it: Break of the put wall on volume is the classic trapdoor setup — support disappears rather than bends.

Gamma Flip#

Price at which total dealer gamma crosses zero. Above it the book dampens moves; below it the book amplifies them.

How to read it: The single most consequential level on the screen — it separates two different market physics.

Max Pain#

Strike where the total value of expiring options is smallest — where the most open interest expires worthless.

How to read it: A gravity point into expiry, weak early in the cycle and stronger as expiry nears.

Highest OI Strike#

Strike carrying the most open interest, calls and puts combined.

How to read it: The standing crowd. Unlike Abs Gamma it does not drift toward spot during the day, so disagreement between the two is informative: the biggest position is not always the one dealers are hedging hardest.

Level Stack#

How tightly the three dealer-defended anchors agree — gamma flip, max pain, and the highest-OI strike. A graded pin score rather than a yes/no.

How to read it: Tight means three independent measures point at one strike — the cleanest pin setup. Dispersed means dealer flow is divided and pin trades become coin flips.

HVL — Volatility Trigger#

Where the full parsed book's net gamma flips sign, as opposed to the day-trade expiry alone.

How to read it: A slower, structural sibling of the gamma flip. When the two diverge, near-dated and full-book positioning disagree.

Regime#

Gamma Regime#

Whether dealers dampen or amplify moves, plus how one-sided the book is behind that verdict.

How to read it: +2B net on a 40B gross book is a balanced day where walls fight each other. +2B on 3B is one-sided and levels act hard.

OpEx Window#

Where today sits in the monthly options cycle, and whether the vanna/charm tailwind is active.

How to read it: Vanna and charm flows build through the fortnight into monthly OpEx and go dormant once that open interest expires. The same exposure number means different things inside and outside the window.

OI-Weighted DTE#

Open-interest-weighted average days to expiry across the book.

How to read it: How far out the crowd is positioned. A book concentrated in 0–2 DTE repositions violently and expires soon; one weighted to 30+ is slow and sticky, even at identical net GEX.

Greeks#

Gamma#

Rate of change of delta per $1 move in the underlying. Peaks for short-dated at-the-money options.

How to read it: The engine of every hedging flow on this platform.

Vanna#

Change in delta per one point of implied volatility.

How to read it: Links the vol surface to spot hedging demand.

Charm#

Change in delta per calendar day from time passing alone.

How to read it: Drives the mechanical drift as 0DTE deltas decay toward zero.

Vomma#

Vega's own convexity — how much vega changes per point of implied vol. Peaks in the wings, not at the money.

How to read it: High vomma means a vega hedge set at one IV stops working as IV moves. It is why wing positions misbehave in a vol shock.

Ultima#

Third order in volatility — the rate of change of vomma itself.

How to read it: Only matters in large vol shocks, where a vomma-based hedge is itself breaking down.

Veta#

How vega bleeds with the passage of time, quoted per calendar day.

How to read it: Negative for long options: vol exposure decays as expiry nears, so a vega position bought for an event shrinks while you wait for it.

Zomma#

Change in gamma per point of implied volatility.

How to read it: Tells you whether a vol move strengthens or erodes the gamma structure the levels rest on.

Speed#

Rate of change of gamma per $1 move — how quickly the gamma profile shifts as spot travels.

How to read it: High speed means today's wall map goes stale fast once price starts moving.

Color#

Change in gamma per calendar day.

How to read it: How fast the gamma structure ages — largest on the near expiry.

Volatility#

Expected Move#

The 1σ range implied by at-the-money implied volatility over the remaining horizon.

How to read it: A boundary, not a forecast — roughly a two-in-three chance of finishing inside it. For 0DTE it scales by the fraction of the session left.

VRP — Variance Risk Premium#

The spread between implied volatility and subsequently realized volatility.

How to read it: Persistently positive — the compensation for selling volatility. When it compresses, that cushion has gone and short-vol setups are being paid far less to carry the same risk.

Skew / Risk Reversal#

The IV difference between equidistant out-of-the-money puts and calls.

How to read it: Normally negative — puts bid for protection. Steepening skew often precedes vol expansion even while at-the-money IV stays calm.

IV Rank / Percentile#

Where current implied vol sits within its own trailing range (rank) or distribution (percentile).

How to read it: Rank is pulled by single outliers; percentile is not. Read percentile when the last year contains a shock.

Flow#

Flow vs OI Divergence#

Today's volume-weighted gamma against the standing open-interest-weighted gamma, and whether they agree.

How to read it: Agreement means the standing wall is being reinforced. Disagreement means today's tape is eating it, and the level is more likely to fail.

Net Premium / Net Diff#

Dollar premium classified by where each contract traded — on the bid or the offer — rather than by whether it is a call or a put.

How to read it: A put sold on the bid is bullish. Net premium, which calls all put dollars bearish, reads that backwards.

Pin Risk#

The tendency of price to gravitate toward a heavy strike into expiry as dealers hedge around it.

How to read it: Read alongside Level Stack — a tight stack is the setup where pinning is most likely to hold.