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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.

Also known as:vol regimelow/medium/high volvol state

The same signal carries different weight at different volatility levels. A 1% intraday move in a 6% realized-volatility tape is a regime-defining event; the same move in a 35% RV tape is normal noise. Without conditioning signals on the volatility regime, false positives multiply in high-vol environments and false negatives multiply in low-vol environments.

ChartGEX's regime conditioning

ChartGEX classifies the current regime using 20-day realized volatility into three buckets: low (< 10% annualized RV), medium (10–30%), and high (> 30%). Dealer-structure detection thresholds scale with this regime — what counts as a significant VPIN spike or IV trough in low vol is set tighter than in high vol. The result is a more even false-positive rate across regimes.

Related Terms

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).

IV 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.

Volatility Surface

The four-dimensional function describing implied volatility across strikes and expirations. Used to identify mispricings, dealer positioning signatures, and regime changes.

Gamma 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.