# FirmTape glossary

> 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 page: <https://firmtape.com/glossary>. One anchor a term: https://firmtape.com/glossary#<term>.

## Dealer gamma and the books

### [Dealer gamma](https://firmtape.com/glossary#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](https://firmtape.com/glossary#book).

- 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.
- Read more: [What is gamma exposure (GEX)?](https://firmtape.com/learn/what-is-gex), [How dealer hedging moves the market](https://firmtape.com/learn/dealer-hedging)

### [Book](https://firmtape.com/glossary#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](https://firmtape.com/glossary#volume-book), the [open-interest book](https://firmtape.com/glossary#open-interest-book) and the [measured book](https://firmtape.com/glossary#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.
- Read more: [The three books](https://firmtape.com/docs/live#the-book), [Three books in every file](https://firmtape.com/docs/dataset#three-books), [Open interest vs volume in options](https://firmtape.com/learn/open-interest-vs-volume)

### [Volume book](https://firmtape.com/glossary#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.
- Read more: [The three books](https://firmtape.com/docs/live#the-book), [Data dictionary, by book](https://firmtape.com/dataset/dictionary)

### [Open-interest book](https://firmtape.com/glossary#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.
- Read more: [The three books](https://firmtape.com/docs/live#the-book), [Open interest vs volume in options](https://firmtape.com/learn/open-interest-vs-volume)

### [Measured book](https://firmtape.com/glossary#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](https://firmtape.com/glossary#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.
- Read more: [The three books](https://firmtape.com/docs/live#the-book), [Three books in every file](https://firmtape.com/docs/dataset#three-books)

### [Ladder](https://firmtape.com/glossary#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](https://firmtape.com/docs/live#ladder-columns)

### [Net gamma](https://firmtape.com/glossary#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
- Read more: [Ladder columns](https://firmtape.com/docs/live#ladder-columns), [What is gamma exposure (GEX)?](https://firmtape.com/learn/what-is-gex)

### [Gross gamma](https://firmtape.com/glossary#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](https://firmtape.com/docs/live#ladder-columns)

### [Contract count](https://firmtape.com/glossary#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](https://firmtape.com/docs/live#ladder-columns)

### [Expiry scope](https://firmtape.com/glossary#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](https://firmtape.com/docs/live#ladder-columns)

## Levels

### [Zero-gamma flip](https://firmtape.com/glossary#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.
- Read more: [The zero-gamma flip line, explained](https://firmtape.com/learn/zero-gamma-flip), [Walls and levels](https://firmtape.com/docs/live#walls-and-levels)

### [Call wall](https://firmtape.com/glossary#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.
- Read more: [Call resistance and put support](https://firmtape.com/learn/call-wall-put-support), [Walls and levels](https://firmtape.com/docs/live#walls-and-levels)

### [Put wall](https://firmtape.com/glossary#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.
- Read more: [Call resistance and put support](https://firmtape.com/learn/call-wall-put-support), [Walls and levels](https://firmtape.com/docs/live#walls-and-levels)

### [Levels of interest](https://firmtape.com/glossary#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.
- Read more: [Walls and levels](https://firmtape.com/docs/live#walls-and-levels), [Level card](https://firmtape.com/docs/live#level-card)

### [Session levels](https://firmtape.com/glossary#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
- Read more: [Session levels](https://firmtape.com/docs/live#session-levels)

## Readings

### [Regime](https://firmtape.com/glossary#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.
- Read more: [Header chip and REGIME](https://firmtape.com/docs/live#header-chip), [READOUTS drawer](https://firmtape.com/docs/live#readouts)

### [Gamma percentile](https://firmtape.com/glossary#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.
- Read more: [The three books](https://firmtape.com/docs/live#the-book), [Data dictionary, by book](https://firmtape.com/dataset/dictionary)

### [Expected move](https://firmtape.com/glossary#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.
- Read more: [The expected move](https://firmtape.com/docs/live#expected-move), [Header chip and REGIME](https://firmtape.com/docs/live#header-chip)

### [Flow by strike](https://firmtape.com/glossary#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.
- Read more: [READOUTS drawer](https://firmtape.com/docs/live#readouts)

### [Cumulative volume delta](https://firmtape.com/glossary#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
- Read more: [CVD](https://firmtape.com/docs/live#cvd)

## Options terms

### [0DTE](https://firmtape.com/glossary#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.

- Read more: [What are 0DTE options?](https://firmtape.com/learn/0dte-options)

### [Open interest](https://firmtape.com/glossary#open-interest)

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

- Unit: contracts
- Read more: [Open interest vs volume in options](https://firmtape.com/learn/open-interest-vs-volume)

### [Volume](https://firmtape.com/glossary#option-volume)

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

- Unit: contracts
- Read more: [Open interest vs volume in options](https://firmtape.com/learn/open-interest-vs-volume)

### [Dealer hedging](https://firmtape.com/glossary#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](https://firmtape.com/glossary#dealer-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.
- Read more: [How dealer hedging moves the market](https://firmtape.com/learn/dealer-hedging)

### [Delta exposure](https://firmtape.com/glossary#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
- Read more: [Ladder columns](https://firmtape.com/docs/live#ladder-columns), [Data dictionary, by book](https://firmtape.com/dataset/dictionary)

### [Vega exposure](https://firmtape.com/glossary#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.
- Read more: [Ladder columns](https://firmtape.com/docs/live#ladder-columns), [Data dictionary, by book](https://firmtape.com/dataset/dictionary)

### [Vanna](https://firmtape.com/glossary#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.

- Read more: [Vanna and charm: the second-order flows](https://firmtape.com/learn/vanna-and-charm)

### [Charm](https://firmtape.com/glossary#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
- Read more: [Vanna and charm: the second-order flows](https://firmtape.com/learn/vanna-and-charm)

### [Implied volatility skew](https://firmtape.com/glossary#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
- Read more: [Implied volatility skew explained](https://firmtape.com/learn/implied-volatility-skew)

## Futures and other symbols

### [Basis](https://firmtape.com/glossary#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
- Read more: [How SPX dealer gamma maps onto ES and NQ futures](https://firmtape.com/learn/es-nq-gamma-levels), [Futures views: ES, NQ, RTY, GC, SI, ZB, CL](https://firmtape.com/docs/live#futures-views)

### [Futures view](https://firmtape.com/glossary#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.

- Read more: [ES, NQ and RTY levels](https://firmtape.com/docs/replay#futures-levels), [Futures views: ES, NQ, RTY, GC, SI, ZB, CL](https://firmtape.com/docs/live#futures-views), [How SPX dealer gamma maps onto ES and NQ futures](https://firmtape.com/learn/es-nq-gamma-levels)

### [Ticker book](https://firmtape.com/glossary#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.
- Read more: [Gamma by symbol](https://firmtape.com/docs/replay#symbols-on-the-site)