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Every option that somebody buys is sold by somebody else. Most of the time the seller is a dealer (a market maker). A dealer does not want to bet on direction, so he hedges: he buys or sells the stock itself to stay neutral. When the price moves, his hedge has to move too.

We read the whole option chain of each ticker after the close and reduce it to 121 daily series. The pages of the site are different views of those series:

• The Viewer — one ticker in depth: the chart, the levels and a reading in words.
• The Scanner — every ticker on one row, to find which one to open.
• Tonight — only what changed since the session before.
• Market — all the tickers added up, sector by sector.
• Trade — a spread or a condor priced on last night's quotes, and measured before it is trusted.

Dealer gamma and the gamma flip

Gamma says how fast a hedge has to change when the price moves. Add the gamma of every open contract, from the dealers' side, and you get GEX (gamma exposure): the dollars of stock dealers must trade when the price moves 1%.

The gamma flip is the price where net gamma changes sign. Above it dealers are long gamma, below it short. “vs flip +2%” means the close is 2% above that level.

Walls and max pain

The call wall is the strike above the price with the most call open interest. The put wall is the strike below the price with the most put open interest. Hedging is concentrated at these strikes, so the price often stalls or turns around them.

• Distance — “call wall 250 +3.9%” is a wall 3.9% above the close. A wall further than about 15% away has no practical pull; the site calls it “far”.
• A wall moved — the biggest strike is a different one tonight: positions were opened somewhere else, or closed here.
• Closed through a wall — the price closed beyond the previous session's wall. The level did not hold, and the walls are drawn again from the new price.

Max pain is the price at which the options expiring next would be worth the least in total. Some traders watch whether the price drifts toward it as the expiry comes near. The site shows it for the front expiry, with its distance from the close.

Implied volatility

Implied volatility (IV) is the price of options, written as a yearly percentage: how big a move the options are charging for. “IV 30d” is the figure for options about 30 days away.

From IV to an expected move

Expected move ≈ price × IV × √(days ÷ 365). A $100 stock with IV 30% over 30 days: 100 × 0.30 × √(30 ÷ 365) ≈ ±$8.60. That is one “standard move”: the price stays inside it about two times in three. The site prints it as “Exp. move”, in % of the price.

How to read an IV number

Every ticker has its own normal: 25% is high for a utility and low for a small biotech. That is what IV rank is for — where today's IV sits in the ticker's own one-year range, from 0 (the year's low) to 100 (its high).

The other volatility readings

Open interest and flow

Vanna and charm (VEX and CHEX)

A dealer's hedge changes with the price (that is gamma), but also when implied volatility changes and when time passes.

Both matter most in the days before a large expiry, when a lot of short-dated contracts lose their time value at once. The Viewer shows them for the whole book and for the expiries inside 14 days.

“Unusual” and “IV rank”: a ticker against its own history

A raw number says little by itself. GEX of $1 billion is ordinary for SPY and enormous for a small stock. So the site compares each reading with the same ticker's own past:

• σ (sigma) — how far today is from the ticker's own last 60 sessions. 0 is normal, ±1 is high or low, ±2 and more is unusual. Only earlier sessions are used, so today never helps set its own normal.
• Unusual (a count) — how many of the Viewer's readings are unusual tonight: beyond 3σ of their own last 60 sessions AND among the most extreme 2.5 % of their own year. Most tickers have none on a given night, so a count of 3 or more stands out.
• IV rank — the same idea over one year, from 0 to 100.

How to read the Scanner

The Scanner answers one question: which ticker should I open? Each row is one ticker's last session.

The move grade

The grade says how much movement the options and the price point to, against the ticker's own year. It is a sum of points, each for a fact you can check on the ticker's card:

6 points and more is Much bigger, 4–5 Bigger, 2–3 A little more, 0–1 Normal, below zero Quiet.

Working with it

• Chips are questions (“Short gamma”, “Within 1.5% of a wall”). Several can be on at once; each shows how many tickers it would keep.
• Columns switches between four sets: Overview, Dealers & levels, Volatility, Flow. Click a heading to sort.
• ☆ puts a ticker on your list. “★ My list” then shows only yours, here and in “Tonight”. The list is kept in your browser.
• Click a row for the ticker's card: the levels from the top, why it has its move grade, what is unusual, and a button to open it in the Viewer.
• Option market A / B / C says how busy the ticker's options are. On a C ticker a few contracts can swing a reading; use “A + B” when you want sturdy numbers.

How to read “Tonight”

Tonight lists changes, not states. A ticker whose IV rank has been 95 for two weeks is not on it; a ticker whose IV rank crossed 90 tonight is. Each change is listed once, on the night it happens.

Under them, the most unusual books is a state, not a change: the tickers with the most unusual readings (beyond 3σ, and rare for their year).

How to read Trend & Channel

Trend & Channel answers a chart question for the whole library at once: where do the swing points of this chart line up, and where is the price against them? Each row is a ticker's last session, drawn on its own candles with what was fitted.

Working with it

• Chips are questions (“On a trend line”, “At the channel top”, “Closed through a line”). Several can be on at once; each shows how many tickers it would keep.
• Live (the number at the right of a row) ranks how close a decision is: a close through a line in the last three bars scores highest, then sitting on a line, then a channel wall.
• List or Cards shows the same picture small or large. Draw switches the channel, the trend lines and the ABC channel on and off.
• Click a picture for the big one with its price scale, the pivots on each line, the numbers behind them and a button to open the ticker in the TA Chart.

How to read the Market page

Market adds every ticker up. The six figures at the top describe tonight; the two charts show the same two figures over one year.

• Share in short gamma — how many tickers have dealers short gamma. A high share means the amplifying kind of hedging is widespread.
• Median IV rank — whether options are expensive across the market, each ticker judged against its own year.
• vs market — in the table of groups, a group's share of short-gamma tickers divided by the market's share. 1.0× means the group does what the market does. A big sector tops any raw count just by its size, so the rate is the number to read.

The year of breadth is drawn on the same tickers on every date, so the line follows the market and not our list getting longer.

One ticker: the chart and its pages

A ticker is read in two places, and they are the same reading at two depths. Under the chart is the short version — what the latest session says, in a few answers. Each part then has a page of its own for the full study. A row of links under the chart, and at the top of each of those pages, takes you from one to the other with the ticker kept.

Simple and Detailed

Every one of these pages has the switch Simple | Detailed at the top. Simple shows the headline and the main chart; every other part of the page is a closed bar that says what is inside, and opens with a click. Detailed opens everything at once and adds the numbers behind each reading. Nothing is removed in Simple — it is the same page, folded. The choice is kept in your browser for all the pages.

On the charts the same idea applies to the tools: the first line holds what most readers change — the timeframe and which option line is drawn — and ⚙ More tools opens the rest (smoothing, indicators, percentile bands, more levels, drawing tools).

How much history a page reads

A page opens on the ticker's last two years of sessions, which is what a reading of today needs, so it opens quickly. Scroll the chart back past its first bar, press ◀ older, or pick a longer window in “show last”, and the older sessions are read then. The whole history since 2008 is always in the files of ⬇ Data.

How to read the Trade pages

Four pages of the tools price an option structure — a spread, a condor, a butterfly — on the last session's own quotes: the bid and the ask of every contract at that close. Nothing is priced at a model's middle price, because a structure looks better there than it can be bought.

Three numbers that are easy to mix up

• POP — the chance the structure ends in profit at expiry. It says nothing about the days in between.
• P(touch) — the chance the price reaches a strike you sold at any time before expiry. It is about twice the chance of finishing beyond that strike. A trade that is closed when its strike is touched lives on this number, not on POP.
• EV — what the structure makes on average. The pages show it more than one way: under the move the market itself prices (close to minus the cost of trading — a check, not an edge), under the move the ticker really made lately, and over the ticker's own past windows of the same length.

Click any row on these pages and one window opens with the whole trade: its payoff today, later and at expiry, every leg with its quote and its greeks, and the same shape at other strikes and other expiries.

What this data can and cannot tell you

Everything here is a description of positioning at the close: where the contracts are, what they ask of the dealers, how the options are priced. It is the end-of-day picture, built from each night's full option chain.

• It speaks about size better than about direction. In our own tests on this data, option prices and dealer positioning said something about how big the next moves tend to be, and nothing dependable about whether they go up or down. That is why no page of this site calls a direction.
• Open interest trails by one session. The positions you see are those of the session before.
• A thin option market swings by itself. Check the option-market grade before trusting a reading on a small ticker.
• Dealers are assumed to be long calls and short puts — the usual convention. It is a good description of an index and a rougher one of a single stock.
• A capture can fail. When a night's chain is incomplete, the site says so and reads the last good one instead of showing wrong numbers.

Glossary

Every page of the site also has its own help — what it shows, how to read each number, and a tip — in the Help centre, or from the ❓ Help button at the bottom right of the page. A longer glossary is here.

The 121 series themselves are defined one by one on The series.