This is a proprietary measurement of the total amount of gamma in the underlying asset. A large positive figure estimates future volatility is low. A large negative figure indicates volatility may be high. The range is from 4 to –4.
Where there is a large positive reading, traders may elect to play smaller moves in markets, and estimate that current prices are well supported by options market maker hedging. A large negative reading infers much larger price movement and rapid directional changes.
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