Glossary

32 terms behind the charts, the levels and the files

What each reading on FirmTape measures, in which unit and from which book. These are definitions: none of them is a trade signal, a forecast or investment advice. The longer explainers are on Learn, every feature is written up in the docs, and every archive field is in the data dictionary. This page is also served as Markdown.

Dealer gamma and the books

Dealer gamma

Also: gamma exposure, GEX

The rate at which options dealers' hedge must change as the index moves, summed over the strikes and expiries in view.

Gamma is the rate at which an option's delta changes with the price of the underlying. A dealer who hedges an option book adjusts that hedge as the market moves, so the book's gamma is also the rate at which the hedge must change. FirmTape measures it per strike and per minute in three separate books.

Unit: dollars of gamma per index point; FirmTape's fields are $M per index point
Is not: A forecast of direction. The sign describes a hedging regime, not a buy or sell signal.

Book

Also: dealer book

The gamma, per strike, of the option positions dealers are taken to hold, summed over the expiries in view.

FirmTape keeps three books, never mixed: the volume book, the open-interest book and the measured book. Every line, column and field names the book it comes from (VOL, OI or MEAS); an unqualified level means the volume book.

Is not: Comparable in size across books. Compare a book with itself over time, or compare signs and levels between books, never magnitudes.

Volume book

Also: VOL

The book that weights each strike's gamma by today's cumulative traded volume, calls counted positive and puts negative.

The conventional public gamma object, built here from the tape. It is the default book: every flip and wall the site states (the chart by default, /now, the session pages, the screener, the MCP tools) is the volume book's. Its levels and net gamma are read on the 0DTE expiry.

Book: volume
Is not: A measured dealer position. The sign is a convention (a call counts as a call), not a reading of who bought and who sold.

Open-interest book

Also: OI

The same construction as the volume book, weighted by the morning's open interest instead of today's volume.

Open interest is published once a day, so this book holds yesterday's positions all session. Its net gamma is summed over four expiries, so its size is not comparable with the 0DTE books.

Book: open interest
Is not: Updated through the day by trading; it changes only with the next morning's open interest.

Measured book

Also: MEAS

FirmTape's own SPX book, signed print by print from the trade tape against the prevailing quote.

Each print is signed by the side of the quote it traded against, single legs and reconstructed multi-leg packages, and accumulated into a dealer position. It covers the 0DTE expiry and the three nearest. It is SPX only: the other symbols have no signed tape. The three books disagree about the regime on a large share of minutes, and the disagreement is shown, not resolved.

Book: measured
Is not: Certain about each print's side: per-print signing on SPX 0DTE is close to a coin flip, so no directional claim is made from it.

Ladder

Also: gamma ladder, ladder column

One book at one time, strike by strike: each row a strike, level with its price on the chart.

In the terminal a ladder column shows one book, one expiry scope and one metric (net gamma, delta, gross gamma or a contract count). The figure on a row is that strike's value; the bar's length is its size against the column's largest. Green bars are positive gamma, red negative.

Unit: dollars per index point for gamma
Is not: A direction. A heavy bar near price is concentration.

Read more: Ladder columns

Net gamma

Also: NET GEX

A book's ladder summed with each strike's sign kept.

Its sign says whether the book is long gamma (positive: hedging leans against moves) or short gamma (negative: hedging adds to them).

Unit: $M per index point

Gross gamma

Also: ABS GEX

A book's ladder summed with every strike taken unsigned: how much gamma there is, whatever its sign.

Unit: $M per index point

Read more: Ladder columns

Contract count

Also: OI COUNT, VOL COUNT

The contracts per strike with no greek and no book weighting: open interest, or volume since the open, calls and puts apart.

Shown as net (calls minus puts), split (calls one side of the axis, puts the other) or total (the sum).

Unit: contracts
Is not: A book: nothing in a contract count is a dealer position or a hedge.

Read more: Ladder columns

Expiry scope

Also: ALL, 0DTE, NEXT

Which expiries a ladder, a column or a band sums: every expiry in the book, today's alone, or the next one.

Read more: Ladder columns

Levels

Zero-gamma flip

Also: flip, gamma flip

The price at which a book's net gamma, recomputed at that price, crosses zero.

Above it the book is long gamma, below it short. It moves through the day as the book changes, and each book has its own; the default flip is the volume book's, on the 0DTE expiry. It is empty when the book is one-sided and never crosses zero.

Book: each book has its own; unqualified means the volume book
Unit: index points (futures points on ES, NQ and RTY)
Is not: Support, resistance or a trade signal. Price crosses it freely; it marks a regime boundary.

Call wall

Also: call resistance, CR

The strike holding a book's largest positive gamma near spot.

For the default walls: the peak positive volume-book gamma strike within 2.5% of spot, on the 0DTE expiry. Each book has its own call wall, and it moves through the day. The labels "call resistance" and CR are names for the strike, not a claim that price stops there.

Book: each book has its own; unqualified means the volume book
Unit: strike, in index points
Is not: A price target or a ceiling. Measured on the archive, price holds at a wall no more often than at a random line the same distance away.

Put wall

Also: put support, PS

The strike holding a book's largest negative gamma near spot.

For the default walls: the peak negative volume-book gamma strike within 2.5% of spot, on the 0DTE expiry. The levels API's version 1 names it put_support; the label is a name for the strike, not a claim that price stops there.

Book: each book has its own; unqualified means the volume book
Unit: strike, in index points
Is not: A floor. It migrates with the book.

Levels of interest

Also: LEVELS, C1, C2, P1, P2

Strikes that keep standing out in the volume or open-interest book, ranked C1, C2 on the call side and P1, P2 on the put side.

A level of interest stays on the chart for the day once its strike has held up. Open-interest standouts at the open are levels from the first minute; the rest appear once their strike has stood out for a while. Line width is the strike's share of the book's near-money gamma.

Book: volume and open interest
Is not: A claim that price is drawn to them; that has not been measured here.

Session levels

Also: PDH, PDL, PDC, ORH, ORL

Reference prices of the sessions around the one on screen: the prior day, the opening range, the premarket, the overnight range, the prior week and the month to date.

They come from prices, not from a book. Where one lands on a wall or a level of interest they share one line on the chart.

Unit: index points

Readings

Regime

Also: REG

Where spot stands against each book's flip: POS above it, NEG below it, SPLIT when the books disagree, AT FLIP on it.

Positive gamma means the book's hedging leans against moves, negative means it adds to them.

Is not: A forecast. A regime is a position against a level.

Gamma percentile

Also: gpct

A book's net gamma ranked against the same minute of the prior 20 sessions, from 0 to 100.

Ranked against the same minute so the time of day does not drive it. It is empty when fewer than ten earlier sessions carry that minute.

Unit: percentile; read it as a decile, the sampling error is about 11 points either way at the median
Is not: A measured edge: none survives once the time of day is held fixed.

Expected move

Also: EM

The move the options market prices for the session, read from the at-the-money 0DTE straddle.

Used so far is the share of the opening expected move the day has already travelled, in either direction; left to close is the expected move from the current straddle to 16:00 ET.

Book: none: it is the market's price, not one of the books
Unit: index points; EM used in percent
Is not: Directional. It is about magnitude, never about which way.

Flow by strike

Also: gamma added, gamma shed

The strikes where a book's gamma grew or shrank over the last 5, 15 or 30 minutes.

Is not: Anyone's trade. "Gamma added" and "gamma shed" describe the book.

Cumulative volume delta

Also: CVD, volume delta

Call contracts printed minus put contracts printed, per bar, totalled from the 09:30 open.

Counted by right, in the expiry scope the band names. A call can be opened or closed by anyone, so the count says nothing about which side traded.

Unit: contracts

Options terms

0DTE

Also: zero days to expiry

Options that expire at the end of the trading day they are traded on.

Gamma per contract grows as expiry nears, so the 0DTE chain carries most of the intraday SPX book and its gamma concentrates around spot through the afternoon.

Open interest

The number of contracts outstanding: opened and not yet closed, published once a day after the close.

Unit: contracts

Volume

The number of contracts traded in the session so far; it starts again from zero every day.

Unit: contracts

Dealer hedging

The trades an options dealer makes in the underlying or its futures to offset the changing delta of an option book.

The hedge is never finished: delta changes as the index moves, at the rate gamma sets, so every move reopens it. Its direction depends on the sign of the aggregate position.

Is not: A forecast. FirmTape infers the positions; it does not see dealers' accounts.

Delta exposure

Also: DEX

The dealer delta inventory of a book: how much of the underlying the book is long or short.

Book: measured (a signed position is needed, so tickers have none)
Unit: millions of index units in the minute series; multiply by spot for dollars

Vega exposure

Also: VEX

The dealer vega inventory of a book: how much the book gains or loses when implied volatility moves one point.

Book: measured (a signed position is needed, so tickers have none)
Unit: $M per vol point
Is not: Not vanna. Vanna is how delta changes with volatility; vega exposure is how the book's value changes with it.

Vanna

The change in an option's delta when implied volatility moves.

When implied volatility moves, every option's delta moves with it, and a hedged book must be adjusted with no move in price.

Charm

The change in an option's delta as time passes.

Out-of-the-money deltas decay toward zero and in-the-money deltas toward one as expiry nears, so a hedged book is adjusted on a clock rather than on a move.

Unit: FirmTape's measured charm is in $Bn of delta per day

Implied volatility skew

Also: skew, 25-delta risk reversal

The difference in implied volatility between puts and calls equally far from the money, quoted at equal delta.

Quoted as the 25-delta put's implied volatility minus the 25-delta call's. Positive, the ordinary shape on an index, means the downside is priced higher.

Book: none: a market quantity
Unit: volatility points

Futures and other symbols

Basis

Also: premium

The future minus the index for ES, NQ and RTY, measured from put-call parity on the index options that settle with the future.

A call minus a put at the same strike and expiry gives the forward; the median over the strikes nearest the index, as the day's running median, rounded to the future's tick, is the basis. It moves the SPX, NDX and RUT levels onto ES, NQ and RTY. No futures exchange data is used. Before the bell the premarket estimate says it as the future's premium.

Unit: futures points

Futures view

Also: ES, NQ, RTY, MES, MNQ, M2K

A future drawn from its index's book: every level of the SPX, NDX or RUT book moved by the day's basis onto the future's price.

Only prices move: the regime, the expected move and every gamma size are the index book's own. The micros trade the same prices. Regular session only. When no basis was measured for the day, the levels show in index points and say so.

Ticker book

Also: symbol book

The volume and open-interest books of a symbol beyond SPX, built from a snapshot of its whole option chain every five minutes.

About a hundred index, ETF and stock option chains, each with its own flip and walls. A trust grade says how much of the book the chain supports.

Book: volume and open interest only
Is not: A tape-signed book: tickers have no measured book.