Options Glossary
The definitive reference for the 19 terms Chart GEX uses to read dealer positioning, options flow, and volatility structure. Each entry is the source of truth — concise, formula-backed, and cross-linked.
Gamma & Dealer Positioning
8 termsGamma Exposure (GEX)
The dollar-gamma carried by market makers from their net options position. Positive aggregate GEX implies a mean-reverting regime; negative implies a trending regime.
Gamma Flip
The underlying-price level at which aggregate dealer gamma exposure crosses zero. Above the flip, dealers are long gamma and the market behaves as mean-reverting; below it, dealers are short gamma and moves amplify.
Call Wall
The strike with the largest call-side gamma concentration. Acts as mechanical resistance because dealers short the calls must sell the underlying as price approaches.
Put Wall
The strike with the largest put-side gamma concentration. Acts as mechanical support because dealers long the puts must buy the underlying as price approaches.
Dealer Positioning
The aggregate state of market makers' options inventory — long or short gamma, long or short vega, long or short delta — that determines how they must hedge in the underlying.
0DTE Options
Options that expire on the same trading day they trade. 0DTE options now account for 40%+ of SPX volume on many sessions and have outsized intraday gamma impact.
Max Pain
The strike at which the most options expire worthless — the price at which option holders collectively lose the most. Often acts as a magnet near OPEX in positive-gamma regimes.
Delta Hedging
The continuous process by which market makers buy or sell the underlying to keep their net delta near zero. The mechanical activity that makes gamma exposure predictive of price action.
Options Greeks
2 termsVanna
The second-order Greek that measures how an option's delta changes when implied volatility changes. ∂Δ/∂σ. Drives slow grinds, pre-event drifts, and IV-collapse rallies.
Charm
The second-order Greek that measures how an option's delta decays as time passes. ∂Δ/∂t. Drives intraday pinning and end-of-day positioning flows.
Volatility
4 termsIV Skew
The difference in implied volatility across strikes at the same expiration. Most equity index options exhibit a put-side skew — out-of-the-money puts price at higher IV than equivalent calls.
IV Rank
A normalized measure of where current implied volatility sits within its 52-week range. IV Rank = (IV − IV_low) / (IV_high − IV_low).
Volatility Surface
The four-dimensional function describing implied volatility across strikes and expirations. Used to identify mispricings, dealer positioning signatures, and regime changes.
Volatility Regime
A discrete classification of the current volatility environment. ChartGEX classifies low (< 10% realized), medium (10–30%), and high (> 30%) and conditions dealer-structure thresholds accordingly.
Flow & Sentiment
2 termsVPIN (Volume-Synchronised Probability of Informed Trading)
A measure of order-flow toxicity introduced by Easley and de Prado. Classical VPIN is computed on tick data; ChartGEX implements a VPIN-inspired variant for options flow.
DIX (Dealer Index)
A daily dealer-sentiment series published by SqueezeMetrics that estimates the share of dark-pool volume traded on the buy side, used as a proxy for institutional positioning.
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