Greek Exposure

Gamma · SPX
Vanna · SPX
Charm · SPX
Vomma · SPX
Combined · SPX
Gamma · NDX
Vanna · NDX
Charm · NDX
Vomma · NDX
Combined · NDX
Gamma · RUT
Vanna · RUT
Charm · RUT
Vomma · RUT
Combined · RUT
Gamma · SPY
Vanna · SPY
Charm · SPY
Vomma · SPY
Combined · SPY
Gamma · QQQ
Vanna · QQQ
Charm · QQQ
Vomma · QQQ
Combined · QQQ
Gamma · IWM
Vanna · IWM
Charm · IWM
Vomma · IWM
Combined · IWM
Gamma · DIA
Vanna · DIA
Charm · DIA
Vomma · DIA
Combined · DIA
Gamma · ES
Vanna · ES
Charm · ES
Vomma · ES
Combined · ES
Gamma · NQ
Vanna · NQ
Charm · NQ
Vomma · NQ
Combined · NQ

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.

Expiry Open Interest

SPX
NDX
RUT
SPY
QQQ
IWM
DIA
ES
NQ

About

Total open interest by expiration date from the latest option chain snapshot, with call open interest stacked on put open interest for each expiry. The view covers 0DTE through standard quarter-end expiries. Built from exchange-reported open interest by strike and expiry.

Instructions

Read column heights against each other to find where open interest is concentrated. Read the green-red split inside a column to see the call-put bias for that expiry. Note a tall column with a heavy call stack often marks a resistance zone; a heavy put stack often marks support.

Signals

  • Put-heavy OI - Puts are more than 55% of stacked open interest.
  • Call-heavy OI - Calls are more than 55% of stacked open interest.
  • Balanced OI - Neither side dominates.

Monthly OI Profile

SPX
NDX
RUT
SPY
QQQ
IWM
DIA
ES
NQ

About

Open interest profile for standard monthly expirations (third Friday, non quarter-end), summed across all matching expiries on the snapshot day. Built from end-of-day option chain snapshots with reported open interest by strike, aggregated into strike clusters.

Instructions

Read put and call OI against each other to see which side dominates at each strike. Note the brightest band marks the largest structural cluster, which often acts as a magnet or barrier. Compare this monthly profile with the weekly profile and dealer gamma views to separate rolling monthly positioning from near-term hedging flow.

Signals

  • Calls - Call open interest dominates near spot (>55% of near-spot OI).
  • Puts - Put open interest dominates near spot (>55% of near-spot OI).
  • Neutral - Call and put open interest near spot are within 45-55%.

Term Structure

Term Structure

About

The VIX term structure plots five cash implied-volatility indices - VIX9D, VIX, VIX3M, VIX6M, and VIX1Y - each derived from S&P 500 index options at a fixed tenor. Uses CBOE cash VIX indices at fixed tenors.

Instructions

Read the slope of the curve: when the front tenor (VIX9D or VIX) sits above the back tenors, near-term fear is priced higher than longer-dated risk, a condition called backwardation. Note when the curve slopes upward (contango), near-term volatility is lower than later tenors, which is the more common state. Compare adjacent tenors to see where the steepest kink occurs.

Signals

  • Contango - Upward-sloping cash VIX curve (VIX1Y above VIX9D). Normal carry environment.
  • Backwardation - Front month above back months. Near-term fear elevated.