1 Month Realized Volatility – a measure of how much movement is in the S&P500 over the last 30 days. Visit our Support Center here for our glossary and additional FAQ’s.
25D Risk Reversal
25D Risk Reversal measures the implied volatility of a 25 delta call – the implied volatility of a 25 delta put, both with 30 days to expiration. This reflects the demand of put options vs call options. Sharp changes in this ratio indicate a change in investor demand. When the ratio shifts towards 0 […]
Abs Gamma Strike
SpotGamma Absolute Gamma Strike SpotGamma Absolute Gamma Strike is the strike with the largest total gamma position for the underlying stock. A large amount of the options market makers hedging position may be tied to this level, and therefore it may function as a “magnet” and large liquidity area. This strike is a support/resistance […]
Absolute Gamma Strike
SpotGamma Absolute Gamma Strike SpotGamma Absolute Gamma Strike is the strike with the largest total gamma position for the underlying stock. A large amount of the options market makers hedging position may be tied to this level, and therefore it may function as a “magnet” and large liquidity area. This strike is a support/resistance […]
AGS
Absolute Gamma Strike It is the strike with the most total gamma on an absolute basis (meaning calls and puts are not netted). We see this as a large support/resistance area, and would anticipate increasing stock/futures flows when the market approaches this strike. Visit our Support Center here for our glossary and additional […]
AH
“After hours” refers to market action that takes place after the cash market close, which is defined as 9:30AM ET to 4:15PM ET. Visit our Support Center here for our glossary and additional FAQ’s.
ATM
At-The-Money Options with strikes which at trading near the current price of the underlying stock/index. These options generally have the highest gamma. Visit our Support Center here for our glossary and additional FAQ’s.
Call Open Interest
This is the total number of calls outstanding as of the close of business yesterday. The number of calls indicates how much investors believe in the market. This is not a proprietary SpotGamma metric and should be compared to the CP Gam Tilt and other SpotGamma Key Levels such as the Call Wall. This […]
Call Volume
Call Volume is the total number of calls which traded yesterday. The more calls that traded can often indicate a bullish tone of the market. This is not a proprietary SpotGamma metric and should be compared to the CP Gam Tilt and other SpotGamma Key Levels such as the Call Wall. Sentiment matters and […]
Call Wall
The Call Wall is the strike with the largest net positive Gamma in the underlying stock/ETF. It can act as resistance, indicating where sellers may enter the market. The Call Wall level lets you know where support lies for a stock, and a change in the price of the Call Wall can help you […]