Options glossary

The vocabulary of dealer positioning and options flow, each term defined in a paragraph with an example, the data page where it is live, and the long read that goes deeper.

• GEX (gamma exposure)

  GEX, or gamma exposure, is the number of shares options dealers must buy or sell to stay hedged for a 1% move in the underlying, summed across every strike.

• Gamma squeeze

  A gamma squeeze is a sharp, self-reinforcing rally caused by dealer hedging: heavy call buying forces dealers who sold those calls to buy shares as the price rises, which lifts the price further and forces more buying.

• 0DTE options

  0DTE means zero days to expiration: an option that expires at the close of the current session.

• Dealer positioning

  Dealer positioning is the net options exposure market makers carry after selling the public its calls and puts, and therefore the share buying or selling they must do to stay hedged.

• Call wall

  The call wall is the strike carrying the largest positive gamma exposure in an option chain, usually the strike with the most call open interest above spot.

• Put wall

  The put wall is the strike carrying the most negative gamma exposure in an option chain, usually the strike with the most put open interest below spot.

• Gamma flip

  The gamma flip is the price at which cumulative dealer gamma exposure crosses from positive to negative.

• Max pain

  Max pain is the strike at which the total intrinsic value of all open calls and puts for an expiration is lowest, the settlement price that pays option buyers the least.

• Expected move

  The expected move is the price range the options market implies for an underlying over a period, derived from implied volatility: spot × IV × √(time).

• Unusual options activity

  Unusual options activity is trading in a contract that is far larger than its normal volume or its open interest, often in sweeps that hit several exchanges at once.

• Options flow

  Options flow is the stream of executed options trades, each print showing the contract, size, premium and whether it traded at the bid or the ask.

• OPEX (options expiration)

  OPEX is options expiration, most often the monthly expiration on the third Friday when the largest block of open interest settles.

• Delta

  Delta is how much an option's price changes for a $1 move in the underlying: a 0.40 call gains about $0.40 per share when the stock rises $1.

• Gamma

  Gamma is how fast delta changes for a $1 move in the underlying.

• Theta

  Theta is the amount an option loses per day from the passage of time alone, with everything else unchanged.

• Vega

  Vega is how much an option's price changes for a one-point change in implied volatility: with vega 0.12, a rise in IV from 30% to 31% adds $12 per contract.

• Implied volatility (IV)

  Implied volatility is the annualised volatility an option's price implies under a pricing model: the market's estimate of how much the underlying will move.

• IV rank

  IV rank places today's implied volatility within its own range over the past year: 0 means IV is at its 52-week low, 100 at its high.

• Volume vs open interest

  Volume is the number of contracts traded today; open interest is the number of contracts that exist and remain open, updated once a day.

• DEX (delta exposure)

  DEX, or delta exposure, is the net directional position options dealers carry: open interest × delta × 100 summed across the chain, signed by calls and puts.

• Vanna

  Vanna is how an option's delta changes when implied volatility changes, and equivalently how vega changes with price.

• Charm

  Charm is how an option's delta changes with the passage of time alone.

• Open interest

  Open interest is the number of option contracts that exist and have not been closed or exercised, reported once a day by the OCC.

• Put/call ratio

  The put/call ratio divides put volume (or open interest) by call volume for a ticker or the whole market.

• Probability of profit

  Probability of profit is the model-estimated chance that a position makes at least $1 at expiration: the probability the underlying finishes beyond the breakeven, not beyond the strike.