Level 3Depth by strike
open interest fixed at today's OCC settle · gamma re-priced from Black-Scholes at each tick
Net gamma across spot
the book re-priced at every hypothetical spot across ±15% · blue is dealers long gamma, damping moves · red is dealers short gamma, amplifying them · the dashed grey line is where the curve stood at the open, before the day's theta
What moves the book
every number on the page re-prices from today's chain as you move these, in both modes · implied volatility, same-day open interest and the dealer sign can be changed while the tape runs · spot and the clock are yours only in sensitivity mode · same-day open interest stands in for the 0DTE flow that never reaches the OCC · inverting the book asks what the picture looks like if the dealer sign assumption is wrong
Gamma resting at each strikebn $ per 1%
each strike's net contribution, re-priced at the spot of the moment · the tallest bars are the walls
Gamma by days to expirybn $ per 1%
the published book by expiry, moved every tick by how the strikes within 2.5% of spot have re-priced · near-dated contracts carry the negative gamma
Equity, realised and open
Round trips
0
no trades yet
Realised$0
Open$0
Best traden/a
Worst traden/a
Drawdown$0
realised money plus the open position, marked every tick · dots mark exits · shading is the distance below the running peak
What moves with whatlast two hours
Pearson correlation over the last 120 one-minute observations, re-computed every tick · green moves with, red moves against · return and P&L are changes per minute, the rest are levels
Spot minus flip, in daily sigma
shaded band is the break zone, where nothing is traded · dashed lines are the fade levels · the line takes the colour of the regime
Realised against implied volatility
30 minute realised volatility of the tape, annualised, against today's at-the-money implied · the shaded excess is what a short gamma book pays for
Round trip results0 closed
dollars per closed trade, oldest on the left · dashed line is the mean