SPY

About

Five regular-trading-hours sessions of 30-minute candles with weekly and monthly VWAP, call and put walls, and a right-hand open-interest profile for strikes expiring in 10 days or less. Use it to read the week against walls, VWAPs, and the near-dated OI profile.

Instructions

Read the header badge first. Then read price against the overlay walls, flip, dealer-gamma peak and trough, and max pain. Compare the grey 1-day outline to the green and red OI fill.

Signals

• Calls / Puts / Neutral - Near-spot call share above 55%, below 45%, or 45-55%.

Chart overlay

• Call wall / Put wall - Solid green or red horizontal. Largest nearby call or put GEX. At most two per side, at least 2.5% of spot apart.
• Flip - Dashed blue horizontal. Dealer gamma changes sign at this price.
• GEX peak / GEX trough - Dotted green or red horizontal. Highest and lowest dealer gamma on the book.
• Max pain - Dotted orange horizontal. Strike that expires with the least option value. Not the flip.
• Weekly VWAP - Dotted yellow curve. Week-to-date regular-hours VWAP.
• Monthly VWAP - Dashed yellow curve. Month-to-date regular-hours VWAP.
• Overnight gap - Purple band. Gap from the prior regular-hours close; shrinks as price trades into it and stops when filled.
• Call OI / Put OI - Right-hand fill. Open interest on strikes that expire in 10 days or less.
• 1-day OI - Grey outline on the same profile. Open interest that expires in one day.

About

Thirteen weeks of daily price bars for SPX, ES, and SPY with quarterly VWAP, gamma-derived put floor and call ceiling, JPM collar strikes, COT cost basis, Fed fair value scenarios, and a lower VIX6M/VIX9D ratio panel (Yahoo has no VIX1Y chart history). Anchors include quarterly VWAP, dealer gamma walls, the disclosed JPM collar, COT cost basis from CFTC data, and Fed fair value from a dividend-discount model. The ratio panel flags sell above 1.6 and buy below 0.95 (current or prior bar).

Instructions

Read price against the quarterly VWAP to gauge intratrend bias. Watch how price reacts at the put floor and call ceiling for gamma-driven support or resistance. Compare the COT cost basis to current price to see if levered funds are underwater or in profit.

Signals

• RATIO SELL - VIX6M/VIX9D is above 1.6 on the current or prior bar.
• RATIO BUY - VIX6M/VIX9D is below 0.95 on the current or prior bar.
• RATIO NEUTRAL - VIX6M/VIX9D is between the buy and sell thresholds.
• ABOVE VWAP - Last close is above the quarter-to-date VWAP. Used when the ratio badge is missing.
• BELOW VWAP - Last close is below the quarter-to-date VWAP.
• AT VWAP - Last close equals the quarter-to-date VWAP.
• Quarterly VWAP - Solid yellow curve. Quarter-to-date volume-weighted average price.
• Put floor - Dotted red horizontal. Net GEX curve floor.
• Call ceiling - Dotted green horizontal. Net GEX curve ceiling.
• JPM short call - Solid green step. Disclosed collar short-call strike.
• JPM long put - Solid orange step. Disclosed collar long-put strike.
• JPM short put - Solid red step. Disclosed collar short-put strike.
• COT cost basis - Dotted rose horizontal. Levered-funds cost basis from COT.
• Fed fair value - Dotted cyan horizontal. Baseline Fed fair value.
• Fed scenarios - Dotted orange horizontals. Alternate Fed-move fair values.
• Ratio bands - Green fill below 0.95 and red fill above 1.6 on the lower panel.
• Ratio thresholds - Dotted white horizontals on the lower panel at 0.95 and 1.6.

About

Cumulative call and put premium paid on near-dated index options during NYSE regular hours, plotted against the underlying future. Use it to see which side is paying premium as the session unfolds.

Instructions

Read the two fills against price. Treat rising put drift while price falls as hedging that agrees with the move. Treat rising put drift while price holds as protection bought into strength.

Signals

• CALLS > PUTS - Session call premium drift leads put premium drift.
• PUTS > CALLS - Session put premium drift leads call premium drift.
• Call premium - Solid green line. Cumulative call premium paid, $M.
• Put premium - Solid red line. Cumulative put premium paid, $M.
• Price - Solid blue line. Underlying price on the right axis.
• Call volume - Green fill in the bottom panel. Cumulative call contracts, thousands.
• Put volume - Red fill in the bottom panel. Cumulative put contracts, thousands.

About

Estimated dealer hedging requirements derived from open interest, broken down by greek (gamma, vanna, charm, vomma) and expiration. The model assumes market makers stay delta-neutral and must continuously adjust hedges.

Instructions

Read gamma sign to see whether dealers dampen or amplify price moves. Read vanna against spot direction to gauge forced vol buying or selling. Watch charm ramp into expiration for predictable delta unwind flows.

Signals

• POSITIVE GAMMA / VANNA / CHARM / VOMMA / COMBINED - Net dealer exposure for the selected greek is at or above zero at spot.
• NEGATIVE GAMMA / VANNA / CHARM / VOMMA / COMBINED - Net dealer exposure for the selected greek is below zero at spot.

Tabs

• Gamma - Per-expiry dealer gamma exposure vs spot.
• Vanna - Per-expiry dealer vanna exposure vs spot.
• Charm - Per-expiry dealer charm exposure vs spot.
• Vomma - Per-expiry dealer vomma exposure vs spot.
• Combined - Sum of the greek exposures on one panel.

What to look at

Price at the green and red walls. Faded green and red rows are dealer gamma by strike. Green/red fill is near-term open interest. Grey outline is next Friday. The row below the chart is implied move, option IV, realized vol, and IV versus the stock.

What to look at

Front versus back. A downward slope is event vol. The dashed line is leftover vol after the event.

What to look at

Puts richer than calls is the crash bid. Compare the two expiries. Event-dated smiles steepen.

What to look at

Puts below spot are a cushion. Calls above are a lid. Max pain near spot on 0–2 DTE is pin risk.