Neutral / Fairly Priced Volatility
Elevated downside put demand (crash hedging posture).
| Call Options | Center | Put Options | ||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Delta | Gamma | Theta | Vanna | Charm | IV | Vol | OI | Bid/Ask | Chg% | Strike | Bid/Ask | Chg% | OI | Vol | IV | Charm | Vanna | Theta | Gamma | Delta |
| Select expiration to populate options data... | ||||||||||||||||||||
Strike-by-Strike Dollar Gamma Exposure ($M per 1% Move)
Dealer convention: naive · Continuous flip level revalued over 201-point spot grid
Key Gamma Concentration Strikes
| Strike | Net GEX ($M) | Call GEX | Put GEX | Share % | Structural Role |
|---|---|---|---|---|---|
| $765.0 | -2446.87M | 369.60M | -2816.46M | 12.9% | Support / Floor |
| $755.0 | -1406.23M | 63.91M | -1470.14M | 7.4% | Support / Floor |
| $767.0 | -1003.90M | 484.40M | -1488.30M | 5.3% | Support / Floor |
| $770.0 | -992.77M | 1946.47M | -2939.24M | 5.3% | Volatility Accelerator |
| $760.0 | -920.42M | 275.37M | -1195.79M | 4.9% | Support / Floor |
ATM Implied Volatility Term Structure
Slope: -0.017 (FLAT)
3D Volatility Surface Mesh
Moneyness (K/S) × Days to Expiry (DTE) × Implied Volatility (%)
Multi-Window Realized Volatility vs. Current ATM IV
Close-to-Close HV vs Yang-Zhang (1998) jump-adjusted estimator across 10D to 90D horizons
1σ Expected Move Calibration
Under standard log-normal Black-Scholes assumptions, 1-sigma daily expected moves should bracket ~68.2% of market sessions. Current coverage confirms pricing efficiency.
Empirical GEX Validation & Touch-and-Reversal Event Study
Historical price action test at key gamma boundaries vs. 25-iteration Monte Carlo random baseline (p < 0.05)
Support bounce win rate of 37.5% across 24 touches vs 55.5% random baseline (p=0.9562, Not Significant).
Resistance rejection win rate of 53.6% across 28 touches vs 40.8% random baseline (p=0.1295, Not Significant).
Volatility expansion win rate of 66.7% across 3 touches vs 55.5% random baseline (p=0.1439, Not Significant).
Volatility & Skew Profile
Expected Move & Key Levels
Open Interest & Flow Sentiment
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Options Terminal Methodology & Mathematical Assumptions
1. Dollar Gamma Exposure (GEX) Formula
GEX_$1% = Γ × s × Contracts × 100 × Spot² × 0.01 / 1,000,000
Where Γ is Black-Scholes gamma, \(s\) is the dealer-positioning sign convention, and Spot² scales contract delta hedging requirements to dollar market cap per 1% underlying shift.
2. 0DTE Volume Weighting
Because the OCC publishes official open interest overnight, 0DTE options typically display stale zero open interest during the trading day despite massive intraday volume. For any contract where \(DTE = 0\), contract weight defaults to same-day volume rather than stale OI.
3. Dealer Sign Conventions
- Naive Convention: Assumes institutional and retail clients are net buyers of puts and net sellers/overwriters of calls (\(s_{call} = +1, s_{put} = -1\)).
- Short Wings Convention: Assumes market makers are short out-of-the-money options (puts below spot, calls above spot) to satisfy customer tail hedges (\(s_{OTM} = -1, s_{ITM} = +1\)).
4. Continuous Grid-Revalued Gamma Flip
Rather than holding gamma static, the zero-gamma flip level is determined by dynamically re-evaluating Black-Scholes gamma across a 201-point spot price grid from \(0.5 \times Spot\) to \(1.5 \times Spot\) and interpolating the zero crossing.
5. Yang-Zhang (1998) Realized Volatility
A minimum-variance, drift-independent estimator combining overnight jumps, continuous open-to-close drift, and Rogers-Satchell high-low intraday components over 30-day and 90-day windows.
6. Empirical Touch-and-Reversal Event Study
Evaluates whether underlying price action historically respects structural levels: Put Wall support (reversal upwards), Call Wall resistance (reversal downwards), and Gamma Flip crossing (volatility expansion). Benchmarked against a 25-iteration Monte Carlo random price level baseline with one-tailed z-test significance testing (p < 0.05).