Level Stack
Canonical definition, formula, interpretation, and API reference.
A composite read of how tightly three dealer-defended price anchors cluster: the gamma flip, max pain, and the highest-open-interest strike. Tight stacks produce strong magnet pressure on spot; dispersed levels mean no single target dominates.
cluster = tight if spread_pct < 0.30
clustered if < 0.75 else dispersed
Levels included: gamma_flip, max_pain, highest_oi_strike.
- Tight (< 0.30%): all forces point to one strike, strong pin candidate
- Clustered (0.30 to 0.75%): partial alignment, moderate magnet
- Dispersed (> 0.75%): no single target, low magnet pressure
API Reference
Why Level Stack Matters for Trading
A tight level stack means three independent measures of dealer-defended price all point at the same strike. That is the cleanest pin setup. A dispersed stack means dealer flow is divided and pin trades become coin flips.
How to read the stack
- Spread under 0.30%
- Flip = max pain = OI peak
- Strong magnet pressure
- Best pin-play setup
- Spread 0.30 to 0.75%
- Partial agreement
- Moderate magnet
- Size down setups
- Spread over 0.75%
- Conflicting forces
- Trend regime risk
- Avoid pin plays
Rules of thumb
- Stack tightness rises into expiry. The closer to OPEX, the tighter the cluster typically gets.
- Pair with pin risk score. Stack tells you where dealer levels agree; pin risk weights the magnet effect.
- Spot relative to the stack matters. Inside the stack = pin pressure. Outside = breakout risk.
- Single-stock stacks are noisier than index. SPX and SPY are the most reliable; small-caps frequently misalign.
Related Concepts
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