Options Flow & Greeks
Gamma Exposure (GEX)
GEX measures how much dealers need to hedge. When GEX is positive, dealers are long gamma — they buy dips and sell rips, which suppresses volatility. When GEX is negative, dealers are short gamma — they sell into dips and buy into rips, which amplifies moves.
- Gamma Flip Point — The price level where dealer gamma switches from positive to negative. Above it, price is "pinned" and moves are dampened. Below it, moves accelerate.
- Positive GEX: Expect mean-reversion, lower realized vol, range-bound action.
- Negative GEX: Expect trend continuation, higher realized vol, larger daily ranges.
Implied Volatility Surface
- ATM IV — At-the-money implied vol. The market's best estimate of future realized vol over the next ~30 days.
- 25-Delta Skew — How much more expensive puts are vs calls. Steep skew = heavy hedging demand = fear is priced in (often a contrarian buy signal).
- Term Structure — Near-term vs far-term IV. Negative slope (backwardation) = immediate fear. Positive slope (contango) = calm.
Sweep Flow
A sweep order hits 3+ exchanges simultaneously to fill quickly — it signals urgency and conviction. The heatmap shows net daily sweep premium (calls minus puts) normalized by total premium.
Contrarian signal: Heavy put sweeps tend to mark bottoms (61% next-day win rate for SPY). Heavy call sweeps predict 5-day gains (74% win rate).
Confirmation signal: When sweep flow aligns with GEX regime, moves tend to be larger and more sustained.
Max Pain
The strike price where total option holder losses are maximized (and dealer profits maximized). Price often "gravitates" toward max pain as expiration approaches, especially for weekly/monthly expirations.
Price vs Gamma Flip Point
How to read: The blue line is the stock price. The orange dotted line is the gamma flip point.
When price is above the flip, dealers dampen moves (expect range-bound pinning).
When price is below the flip, dealers amplify moves (expect acceleration and larger daily ranges).
The purple dashed line is max pain — price tends to gravitate here near expiration.
GEX Regime & Level
How to read: Green bars = positive gamma (vol suppressed, mean-reverting, low realized vol).
Red bars = negative gamma (vol amplified, trending, ~70% higher daily stdev).
Extended stretches in one regime often precede a sharp reversal. The magnitude shows dealer exposure — larger bars = stronger pinning/acceleration.
Implied Volatility — ATM IV & 25-Delta Skew
How to read: ATM IV (left axis) = market's expected annualized move over 30 days. 20% IV means the market expects ~1.25% daily moves.
25-delta skew (right axis) = how much more expensive put protection is vs calls. High skew = hedgers are scared = fear is priced in (contrarian buy signal).
When skew spikes while IV stays low, institutions are quietly buying protection before a public move.
IV Term Structure (Near vs Far)
How to read: Red = near-term IV (14-30 day options), green = far-term IV (60-120 day options).
Normal (contango): far > near. Markets are calm, risk is priced for the future.
Inverted (backwardation): near > far. Fear is happening right now. Historically, buying into inversions has produced +1.25% over 10 days vs +0.53% during normal contango — panic is usually overdone.
Put/Call Ratio & Max Pain Distance
How to read: P/C Ratio (left axis) = put open interest / call open interest. Above 1.0 = more puts outstanding = hedged/bearish positioning.
Z-Score (right axis) = how extreme today's reading is vs its 20-day rolling mean. Z > 2.0 = extreme bearish positioning (often a contrarian buy). Z < -2.0 = extreme bullishness (caution).
The dotted line at 1.0 on the ratio axis is the neutral level.
Sweep Flow Heatmap (Top 10) — Green = Call-Heavy, Red = Put-Heavy
How to read: Each cell shows the net sweep direction for that symbol on that day. Sweeps are large orders hitting 3+ exchanges simultaneously (minimum $25K premium) — they indicate urgency and conviction.
Bright green = dominant call sweeps. Bright red = dominant put sweeps. Dark = balanced.
Contrarian insight: Heavy put sweep days on SPY have historically preceded +0.22% next-day returns (61% win rate). Institutional hedging marks bottoms more often than tops.
Recent Unusual Activity
How to read: These are symbols where today's options volume or open interest is significantly above their 20-day baseline.
Volume spike: > 2x average or z-score > 2.5 — someone is making a large bet.
OI spike: > 2x average — new positions being established (not just day-trading).
OI collapse: < 0.5x average — mass closing of positions (could signal resolution of a catalyst).
Higher ratios and z-scores indicate more extreme/unusual events. Cross-reference with the symbol's chart to see if this aligns with a breakout or breakdown.