Every institutional metric, transparent.
No black box. Every formula is documented and Black-Scholes-derived. Audit any number against the public chain.
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Net GEX & gamma regime
- • γ × OI × 100 × spot² × 0.01 — exact SqueezeMetrics convention
- • Per-strike net + cumulative + zero-gamma flip via linear interpolation
- • Long-γ vs short-γ regime label with directional implications
- • Gross γ available (|call| + |put|) for total exposure view
- • Filter by expiration (0DTE / weekly / all)
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Structural levels (17 metrics)
- • Call Wall + Put Wall — by both OI and GEX (SpotGamma & legacy conventions)
- • Max Pain — strike minimizing aggregate option-holder loss
- • LG1 / LG2 / LG3 / LG4 / LG0 — magnet, pin and gamma-hole detection
- • COG Call / Put / Global / Sentiment Mid — γ-weighted strike means
- • Gamma Flip (local + global), Vanna Flip, Charm Flip — via zero-cross
- • Vanna Trigger — short-term directional pivot from net vanna
- • Delta levels D.50 / D.25 / D.10 (calls + puts) on nearest expiration
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Ghost Δ & Risk-Reversal Skew
- • Ghost Delta = Σ(δ × OI × spot × 100) — net customer notional delta
- • Dealer bias = inverse, with bullish / bearish / extreme labels
- • RRS at 4 canonical delta levels (0.10, 0.15, 0.25, 0.40)
- • Bearish / bullish / neutral classification + intensity score
- • Sparkline of Avg RRS over the last 24 hours
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Advanced Greeks (3rd order)
- • Vanna ∂Δ/∂σ — vol-direction sensitivity
- • Charm ∂Δ/∂t — daily delta-decay (per-day scaled)
- • Speed ∂γ/∂S — gamma acceleration with spot moves
- • Vomma ∂Vega/∂σ — vol-of-vol convexity
- • Computed via Black-Scholes closed forms with dividend-yield refinement (q ≠ 0 for ETFs)
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Historical GEX heatmap
- • Strike × time matrix, color-coded by net γ
- • Spot ±range filter (2% / 5% / 10% / 15%)
- • Sub-sampled to 80 timestamps for fast render
- • Identify accumulation / unwind patterns intraday
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Backtest engine
- • Replay UnusualActivity signals against historized snapshots
- • Configurable filters (kind, side, ticker, score, premium)
- • Hold time + position sizing + transaction fees
- • Win rate, profit factor, max drawdown, equity curve
- • Per-trade detail table with entry / exit / P&L
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Alerts
- • Trigger on Vol/OI bursts, premium bursts, IV jumps, volume spikes
- • Structural alerts: ghost-flip, regime-flip, skew-invert
- • Filter by ticker, side (calls / puts), kind, magnitude
- • Real-time push via WebSocket — visible from any page
- • Audit log of fires per rule