Advanced Analysis and Market Positioning
41 words you meet in options, each one explained plainly.
0DTE Options
0DTE options are option contracts on their final trading or expiration day, meaning they have approximately zero days remaining until expiration.
At the Ask
At the ask describes a transaction executed at or around the displayed ask price.
At the Bid
At the bid describes a transaction executed at or around the displayed bid price.
Block Trade
A block trade is a large transaction involving a substantial quantity of securities or contracts, typically handled according to the relevant marke...
Charm Exposure
Charm exposure relates to how Delta changes as time passes, all else equal.
Closing Flow
Closing flow refers to options activity believed to be reducing or eliminating existing positions.
Dealer
An options dealer is a professional market participant that facilitates options trading and manages the exposures created by its positions.
Dealer Gamma
Dealer Gamma refers to the estimated Gamma exposure held by options dealers as a result of their options positions.
Dealer Positioning
Dealer positioning refers to estimates of the options exposures held by dealers and the potential hedging activity associated with those exposures.
Delta Hedging
Delta hedging is the process of offsetting some or all of a position's directional Delta exposure using the underlying asset or another instrument.
Dispersion Trading
Dispersion trading is a relative value approach involving volatility exposure to an index and its individual components, often seeking to exploit d...
Dynamic Hedging
Dynamic hedging is the process of repeatedly adjusting a hedge as the exposures of a position change.
Gamma Exposure
Gamma exposure describes how strongly Delta is expected to change as the underlying price moves. At the market level, Gamma exposure metrics attemp...
Gamma Flip
A Gamma flip is an estimated underlying price level where a model of aggregate or dealer Gamma exposure changes sign.
Gamma Hedging
Gamma hedging refers to managing the changes in Delta associated with Gamma, typically as part of a broader dynamic hedging process.
Gamma Risk Near Expiration
Gamma risk near expiration refers to the potential for an option's Delta to change very rapidly as the underlying moves when little time remains, p...
Gamma Squeeze
A Gamma squeeze describes a market dynamic in which options related hedging can contribute to accelerating price movement as the underlying moves a...
Gamma Wall
Gamma wall is a market analysis term commonly used for a strike or price region associated with unusually large estimated Gamma exposure or options...
Implied Correlation
Implied correlation is an estimate of the correlation among components of a basket or index inferred from option market pricing under a particular...
Implied Probability Distribution
An implied probability distribution is an estimate of the distribution of future underlying prices inferred from option prices under a particular f...
Max Pain
Max Pain is an options market calculation intended to identify the underlying price at which aggregate option holder intrinsic payouts at expiratio...
Negative Gamma Environment
A negative Gamma environment generally refers to a market regime in which estimated dealer positioning implies negative aggregate Gamma under the m...
Opening Flow
Opening flow refers to options activity believed to be establishing new positions rather than closing existing ones.
Options Flow
Options flow refers to trading activity across the options market and the analysis of transactions to understand where significant activity may be...
Options Flow Scanner
An options flow scanner is a tool that filters and highlights options transactions according to criteria such as size, premium, volume, strike, exp...
Options Open Interest by Expiration
Open interest by expiration shows how outstanding option contracts are distributed across expiration dates.
Options Open Interest by Strike
Open interest by strike shows how outstanding option contracts are distributed across strike prices.
Options Positioning
Options positioning refers to the distribution and characteristics of outstanding options exposure across strikes, expirations, calls, puts and oth...
Options Premium Flow
Options premium flow refers to the dollar value of option transactions being analyzed across contracts or groups of contracts.
Positive Gamma Environment
A positive Gamma environment generally refers to a market regime in which estimated dealer positioning implies positive aggregate Gamma under the m...
Put Call Open Interest Ratio
The put call open interest ratio compares outstanding put open interest with outstanding call open interest.
Put Call Ratio
The put call ratio compares put activity with call activity over a specified market, security or period. Depending on the dataset, it may be calcul...
Put Call Volume Ratio
The put call volume ratio compares put trading volume with call trading volume during a specified period.
Risk Neutral Probability
Risk neutral probability is a probability concept used in derivative pricing under which expected discounted asset values are evaluated within a ri...
Risk Reversal
Risk reversal can refer to an options structure combining a call and put with different strikes, and it is also used as a volatility market measure...
Skew Analysis
Skew analysis examines differences in implied volatility across strikes and how those differences change over time.
Sweep Order
A sweep order is an order designed to seek execution rapidly across available liquidity, potentially accessing multiple venues or price levels.
Trade Classification
Trade classification is the process of estimating characteristics of an options transaction, such as whether buying or selling pressure appears to...
Unusual Options Activity
Unusual options activity describes options trading that appears significantly different from the contract's normal or expected activity. This might...
Vanna Exposure
Vanna exposure describes sensitivity associated with the interaction between changes in implied volatility and Delta, or equivalently the interacti...
Volatility Arbitrage
Volatility arbitrage is a broad term for strategies seeking to exploit perceived differences between the volatility embedded in derivative prices a...