Which way does hedging push?
Sign first, size second. This is the one group to read before any level.
NET GEX Overview +70.7K Cr REGIME Overview Positive Gamma FLIP Overview 56,420 NET Γ Gamma +70.7K Cr STANDING OI Delta −1.42L ΔOI FLOW Delta +18.60K HEDGING · PER 1% MOVE Flows +₹8k VANNA · PER +1PT IV Flows +₹3k
How sharp are the levels?
Whether a strike is a real level or a label on a flat book.
HHI Gamma 0.412 HHI CALL Gamma 0.298 HHI PUT Gamma 0.361 PERCENTILE Gamma 74th CONVICTION Pin 64% MARGIN Pin 34.2 pts CONCENTRATION Delta 18.4%
Where are the levels?
The strikes the book is built around, from both the gamma and the OI side.
SPOT Overview 56,748 PIN Overview 57,500 CEILING Overview 57,800 FLOOR Overview 56,200 PIN Pin 57,500 RUNNER-UP Pin 57,000 +Γ PEAK Gamma 57,500 −Γ PEAK Gamma 56,200 ZERO-Δ LEVEL Delta 57,000 MAX PAIN OI 57,200 ATM PIN OI 57,500 CALL WALL OI 58,500 PUT WALL OI 55,800
Is the book building or emptying?
Direction of travel. A level being rebuilt is not the same object as one standing still.
TOTAL OI OI 24.1M DAY ΔOI OI −2.1M VOL/OI OI 0.39 Δ1D HHI Gamma +0.035 Δ vs MEAN Gamma +0.081 POSITIONING · ΔOI Flows +1.4M CHARM · PER SESSION Flows −₹4k CONVERGENCE Delta OPPOSITE SIGN
How heavy is it?
Size and balance of what is actually written on the board.
GEX AT PIN Pin 4.18L Cr CALL OI OI 13.5M PUT OI OI 10.6M PCR OI 0.79 PCR Overview 0.79 IN CONTRACTS Delta −0.83M
What is the yardstick?
The values that turn a distance in points into a distance that means something.
SIGMA Pin 612 DTE Overview 5 BOOST Pin 1.12x FRONT ATM IV IV 13.2% BACK ATM IV IV 14.5% TERM SLOPE IV +1.3 pts SKEW IV +2.8 pts