# Options Analytics Glossary

## Exposure

**GEX (Gamma Exposure)** — Signed aggregate dollar-gamma per 1% move in spot. The default `convention` model computes each contract as `gamma × OI × multiplier × spot² × 0.01`, with calls positive and puts negative. This is a structural, OI-based polarity convention, not a measurement of actual dealer holdings. The optional `flow` model instead uses `gamma × dealer_pos × multiplier × spot² × 0.01`, where `dealer_pos` is the dealer-inventory change inferred from the current session's classified tape, not an absolute dealer book. The `multiplier` is 100 for equities and index options but contract-specific for futures (ES is 50), so hardcoding 100 mis-scales futures. The trailing `× 0.01` makes the result dollar-gamma per 1% move; dropping it overstates the result 100-fold.

**DEX (Delta Exposure)** — Aggregate dealer delta across all strikes and expiries; reflects the net directional hedge dealers must carry. A large positive DEX implies dealers are long delta and will sell on rallies.

**VEX (Vanna Exposure)** — Aggregate dealer vanna (dΔ/dσ). When vol changes, vanna drives systematic delta hedging; positive VEX means a vol spike forces dealers to sell delta (bearish flow).

**CHEX (Charm Exposure)** — Aggregate dealer charm (dΔ/dt). As time passes, charm bleeds delta and forces time-decay-driven hedging; accelerates into OPEX and 0DTE expirations.

**DAG (Delta-Adjusted Gamma)** — GEX weighted by the option's delta, giving more weight to in-the-money strikes that carry both meaningful gamma and delta hedge requirements.

**Net Exposure Sign Convention** — Positive GEX means the selected model is longer gamma, with a stabilizing, counter-trend hedge response; negative GEX means it is shorter gamma, with an amplifying, pro-trend response. In the default `convention` model, that sign comes from the fixed calls-positive/puts-negative rule and must not be read as proof of actual dealer inventory. In the `flow` model, it describes only the inventory change inferred since the session open.

**Gamma Flip** — The spot level at which aggregate GEX under the selected model crosses zero. It marks a transition between modeled positive-gamma (counter-trend) and negative-gamma (pro-trend) hedge responses. Check the accompanying net GEX or regime field for the sign on each side rather than treating the level as proof of actual dealer inventory. Also called the zero-gamma level.

**Positive Gamma Regime** — The selected model's net GEX is positive, implying a counter-trend hedge response (buy dips, sell rips) that tends to compress realized volatility.

**Negative Gamma Regime** — The selected model's net GEX is negative, implying a pro-trend hedge response (sell dips, buy rips) that tends to expand realized volatility and enable larger directional moves.

**Call Wall** — The strike with the highest call OI (or largest positive call-side GEX concentration under the default convention); often treated as a resistance or pinning reference. The convention models calls as positive gamma, whose counter-trend hedge response sells underlying as spot rises and buys as spot falls. It does not establish that dealers are actually short calls.

**Put Wall** — The strike with the highest put OI (or largest negative put-side GEX concentration under the default convention); often treated as a support or pinning reference. The convention models puts as negative gamma, whose pro-trend hedge response sells underlying as spot falls and buys as spot rises. It does not establish that dealers are actually short puts.

**Max Pain** — The expiry price at which the total dollar value of all outstanding options (calls + puts) is minimized; the level at which the maximum number of contracts expire worthless. Often treated as an OPEX gravity point.

**Pin Risk** — The risk that spot converges to a strike at expiration, leaving options delta ambiguous and hedges unstable; highest at high-OI strikes near the money into close.

**Highest-OI Strike** — The single strike with the greatest open interest across all expiries (or within a target expiry); a key reference for dealer positioning and pin-risk analysis.

**0DTE (Zero Days to Expiration)** — Options expiring on the current trading day. 0DTE contracts have extreme gamma (near-ATM gamma spikes sharply) and pure theta, making them highly sensitive to intraday spot moves and a dominant driver of intraday GEX swings.

**OI Simulator / Flow-Adjusted (Effective OI)** — A model that adjusts settled open interest intraday by netting against live trade flow (buys vs. sells). Effective OI feeds the live GEX/DEX calculations, bridging the gap between yesterday's published OI and current positioning.

**Gross vs. Net GEX** — Gross GEX sums the magnitude of every contract's GEX; net GEX applies the sign convention (calls positive, puts negative) so offsetting contracts cancel. A strike or expiry can hold a large gross share while contributing little net. Shares of concentration (`gross_share_pct`) use gross; the legacy `pct_of_chain_gex` uses absolute expiry-level net.

**Expiry Impact (Expiry Exclusion)** — The current chain's gamma compared with the same captured inputs after removing one expiry, spot, Greeks and OI held fixed. It shows how much of today's concentration depends on that maturity; it is not a forecast of the post-expiry chain or dealer hedging. Exposed by `/v1/exposure/expiry-impact/{symbol}`.

**Strike Dependency** — One exact strike's gross and net gamma broken down by expiry, with the dominant expiry's share. A level that lives mostly in one expiry can fade after that expiry; the share describes concentration, not a support/resistance probability. Exposed by `/v1/exposure/strike-dependency/{symbol}`.

## Volatility

**VRP (Volatility Risk Premium)** — The spread between implied volatility (what the market prices in) and subsequent realized volatility. Persistently positive VRP means options are expensive relative to realized moves; sellers collect a structural premium.

**Variance VRP vs. Volatility VRP** — Variance VRP is the spread in variance units (σ²), capturing the convexity premium separately from the linear vol spread. Volatility VRP is the simpler IV − RV difference in annualized vol points.

**IV (Implied Volatility)** — The annualized vol that, when plugged into a BSM pricing model, reproduces the observed market option price. It is a forward-looking market consensus on expected move magnitude, not direction.

**Realized Vol (Historical Vol)** — Annualized standard deviation of log-returns over a trailing window (commonly 10d, 20d, or 30d). The ex-post measure that IV is compared against to calculate VRP.

**Range-based realized estimators** — Estimators that use the daily high/low/open/close (not just the close) to estimate realized variance with far less noise (5–8× more statistically efficient than close-to-close). **Parkinson** uses the high-low range only. **Garman-Klass** adds the open-close move. **Rogers-Satchell** is drift-independent (unbiased when the underlying trends). **Yang-Zhang** combines overnight, open-close and Rogers-Satchell variance and is the most efficient, handling overnight gaps. Exposed by `/v1/volatility/realized/{symbol}`.

**EWMA (RiskMetrics)** — Exponentially weighted moving-average variance: `σ²_t = λ·σ²_{t-1} + (1−λ)·r²_{t-1}`, with λ=0.94 for daily data. A simple conditional-vol forecast; its h-step forecast equals the current level (no mean reversion).

**HAR-RV** — Heterogeneous AutoRegressive model of realized vol (Corsi 2009): regresses realized variance on its daily, weekly (5-day) and monthly (22-day) lagged averages. Captures volatility's long-memory with a simple OLS fit.

**GARCH(1,1)** — Conditional-variance model `σ²_t = ω + α·r²_{t-1} + β·σ²_{t-1}` fitted by maximum likelihood (Gaussian or Student-t innovations). Captures volatility clustering and mean reversion. Persistence = α+β (must be <1 for stationarity); long-run variance = ω/(1−α−β). The workhorse vol forecast. EWMA, HAR-RV and GARCH are exposed by `/v1/volatility/forecast/{symbol}`.

**Realized variance (5-minute)** - The sum of squared log returns of stock mids on a 5-minute grid from the open to the close. Adding the squared overnight return gives close-to-close realized variance, the measure the realized-variance forecast models use.

**Realized quarticity** - `RQ = (M/3)·Σ r⁴` over the same `M` 5-minute returns. It measures how noisy that day's realized variance is.

**HAR-IV** - HAR-RV with 30-day implied variance added as a regressor, so the regression weighs recent realized variance against what options price. Returned as `har_iv` in `realized_models`.

**HARQ** - HAR-RV with an extra term, `RV_t·(√RQ_t − mean √RQ)`, that lowers the weight on yesterday's realized variance when it was measured with more noise (Bollerslev, Patton and Quaedvlieg 2016). Returned as `harq`.

**Realized GARCH** - A GARCH model that updates conditional variance from realized variance, with a measurement equation linking the two (Hansen, Huang and Shek 2012). The log-linear (1,1) form is fitted by Gaussian maximum likelihood. Returned as `realized_garch`.

**HEAVY** - Two equations driven by intraday realized variance: one for the variance of close-to-close returns and one for realized variance itself, each fitted by Gaussian quasi-maximum likelihood (Shephard and Sheppard 2010). Returned as `heavy`.

**IV Rank** — Current IV expressed as a percentile of its range over the past 52 weeks: `(IV − 52w_low) / (52w_high − 52w_low)`. Tells you where IV sits relative to its own recent history on a 0–100 scale.

**IV Percentile** — Fraction of days in the lookback window on which IV was below its current level. More robust than IV Rank to outlier spikes.

**ATM IV** — The implied volatility of the at-the-money option (strike closest to current spot) for a given expiry; the most liquid and cleanest read on expected move magnitude.

**Constant-Tenor IV** — Implied volatility interpolated to a fixed horizon (30, 60 or 90 calendar days) from the two listed expiries that bracket it, interpolating total variance (`σ²T`). Makes daily readings comparable even as listed expiries roll; FlashAlpha never extrapolates beyond the bracketing expiries.

**Forward Variance** — The variance implied between two horizons: `(σ₂²T₂ − σ₁²T₁) / (T₂ − T₁)`. Negative forward variance means the term structure is internally inconsistent at those points and is reported, not clipped.

**25-Delta Skew / Risk Reversal** — The IV differential between the 25-delta put and 25-delta call for the same expiry. Negative skew (puts expensive) indicates demand for downside protection; positive skew indicates call-side premium.

**Butterfly** — The IV of the average of 25-delta put and call minus ATM IV: `0.5×(IV_25P + IV_25C) − ATM_IV`. Measures the curvature/kurtosis of the vol surface; high butterfly means fat-tailed implied distribution.

**Term Structure (Contango / Backwardation)** — The shape of ATM IV across expiries. Contango (normal) = near-term IV < longer-dated IV. Backwardation (inverted) = near-term IV > longer-dated IV, typical in stress events when short-dated demand spikes.

**SVI Surface** — Stochastic Volatility Inspired parametric fit to the vol smile per expiry. Five parameters (a, b, ρ, m, σ) produce a smooth, no-butterfly-arb smile; FlashAlpha fits SVI to live market quotes.

**Arbitrage-Free Surface** — A vol surface with no calendar spread arbitrage (prices non-decreasing in time) and no butterfly arbitrage (local vol remains positive). FlashAlpha flags violations in the advanced vol endpoint.

**Dispersion / Implied Correlation** — Dispersion trading compares index IV against a weighted basket of constituent IVs. Implied correlation = (index var − weighted sum of constituent vars) / cross terms. When implied correlation is high, index vol is rich relative to single-name vol.

**Expected Move / Straddle-Implied** — The market's consensus ±1σ range for a given expiry, extracted from the at-the-money straddle price: `EM ≈ 0.84 × straddle_mid`. Used to assess whether a stock is expected to move more or less than its historical tendency.

**Vanna** — Second-order greek: sensitivity of delta to a change in implied volatility (dΔ/dσ), or equivalently sensitivity of vega to spot (dV/dS). Drives hedging flows when vol moves.

**Charm** — Second-order greek: sensitivity of delta to passage of time (dΔ/dt). Causes options to bleed delta as expiry approaches, generating systematic hedging flow into OPEX.

**VIX State** — A regime classifier based on the current VIX level vs. realized SPX volatility and historical VIX percentile. FlashAlpha segments into Low/Normal/Elevated/Stress regimes to contextualize dealer behavior.

**Spot-Vol Correlation** — The rolling correlation between spot returns and IV changes. Strongly negative correlation (typical for equities) means a drop in price drives a spike in vol, reinforcing dealer short-gamma feedback loops.

## Flow

**Liquidity / Execution Score** — A per-expiry and chain-level score combining bid-ask spread, volume/OI ratio, and market depth. High score = tight markets, easier execution; low score = wide spreads, slippage risk.

**LIS (Line-in-the-Sand)** — A key price level where dealer hedging transitions sharply — often the gamma flip or a high-OI strike that acts as a magnetic support/resistance. Breaching it can trigger accelerated directional flow.

**Unusual Flow / Sweeps / Blocks** — Large or aggressive option trades that deviate from normal market activity. Sweeps hit multiple exchanges rapidly (urgency signal). Blocks are single large prints (institutional positioning). Both may signal informed directional conviction.

**Opening vs. Closing Premium** — Opening premium is new positions being initiated (increasing OI); closing premium is existing positions being unwound (decreasing OI). Net opening premium indicates conviction; net closing into an event may signal hedges being lifted.

## Levels

**Gamma Flip** — See Exposure section. The most important dynamic level on the FlashAlpha levels endpoint; recalculated continuously as spot and OI change.

**Call Wall / Put Wall** — See Exposure section. Used as primary support/resistance levels in the levels and flow/levels endpoints.

**Max Pain** — See Exposure section. Featured in `/v1/maxpain` and `/v1/flow/levels` as an OPEX gravity anchor.