Trading Glossary
Key terms for options flow analysis, gamma exposure, dark pool trading, and institutional order flow.
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0DTE
Zero Days to Expiration — options contracts expiring on the current trading day. 0DTE options now account for over 40% of SPX options volume.
B
Backwardation
When futures prices are lower than the spot price, creating a downward-sloping curve. VIX backwardation signals extreme current fear and is often seen during market crashes.
Block Trade
A large options order negotiated privately between two parties, then reported to the exchange. Blocks typically involve 10,000+ contracts.
C
Call Wall
The strike price with the highest call gamma above the current spot price. Acts as a resistance level because dealer hedging creates selling pressure.
Contango
When futures prices are higher than the spot price, creating an upward-sloping curve. In VIX futures, contango is the normal state and means the market expects future volatility to be higher.
D
Dark Pool
A private exchange where institutional investors trade large blocks of shares without displaying orders publicly. About 40% of US equity volume trades through dark pools.
Delta
The rate of change in an option's price per $1 move in the underlying asset. A delta of 0.50 means the option moves $0.50 for every $1 move in the stock. Also used as a proxy for probability of expiring in-the-money.
DIX
Dark Index — a measure of dark pool sentiment from SqueezeMetrics. Higher DIX readings suggest institutional buying; lower readings suggest selling.
G
Gamma Squeeze
A rapid price move caused by market makers hedging their short gamma positions. As price rises, dealers buy more stock to hedge, pushing price higher — a feedback loop.
GEX
Gamma Exposure — measures the total gamma risk held by options market makers. Positive GEX means dealers suppress volatility; negative GEX means they amplify it.
GEX Flip
The price level where net gamma exposure changes sign from positive to negative. Below the flip, expect amplified moves; above it, expect dampened moves.
H
HIRO
Hedging Impact Real-time Oscillator by SpotGamma. Measures real-time hedging flows to predict short-term price direction.
I
Implied Volatility
The market consensus forecast of future price movement, derived from options prices. Higher IV means the market expects larger price swings.
IV Crush
A sharp drop in implied volatility after a known event (earnings, FDA decision, etc.) has passed. Options lose value rapidly even if the stock moves in the expected direction.
M
Market Breadth
Measures how broadly a market move is supported. Strong breadth means many stocks participating; weak breadth means few stocks driving the index.
Max Pain
The strike price at which the most options contracts would expire worthless, causing maximum loss to options holders. Markets sometimes gravitate toward max pain at expiration.
O
Open Interest
The total number of outstanding (unclosed) options contracts. Rising OI with rising price is bullish; rising OI with falling price is bearish.
Order Flow
The analysis of buy and sell orders to gauge market sentiment and predict short-term price direction. Includes tracking sweeps, blocks, dark pool prints, and aggressive orders hitting the bid or ask.
P
Put Wall
The strike price with the highest put gamma below spot. Acts as support because dealer hedging creates buying pressure.
Put/Call Ratio
The ratio of put volume to call volume. Readings above 1.0 suggest bearish sentiment; below 0.7 suggest bullish sentiment. Extreme readings often mark reversal points.
S
Sector Rotation
The movement of investment capital from one sector to another based on the economic cycle. Early cycle favors cyclicals; late cycle favors defensives.
Skew
The difference in implied volatility between out-of-the-money puts and calls. Steep skew means the market is pricing in more downside risk. Also called the volatility smile or smirk.
Sweep
An options order that simultaneously hits multiple exchanges to get filled quickly. Sweeps indicate urgency and are considered aggressive institutional activity.
T
Term Structure
The relationship between implied volatility and expiration dates. Normal term structure shows higher IV for longer expirations. Inverted term structure signals near-term fear.
Theta
Time decay — the rate at which an option loses value each day as it approaches expiration. Theta accelerates in the final weeks before expiry, especially for at-the-money options.
V
Vega
The sensitivity of an option's price to a 1% change in implied volatility. High-vega options benefit from rising IV; selling high-vega options profits from IV contraction.
VIX
The CBOE Volatility Index measures expected 30-day volatility of the S&P 500. Often called the "fear gauge." Readings above 20 indicate elevated fear; below 15 indicates complacency.
Vol Trigger
SpotGamma concept — the strike price that separates positive gamma territory (above = low vol) from negative gamma territory (below = high vol).
VWAP
Volume-Weighted Average Price — the average price a security has traded at throughout the day, weighted by volume. Institutional traders use VWAP as a benchmark for execution quality.
Y
Yield Curve
A graph plotting Treasury yields across maturities. An inverted curve (short-term rates higher than long-term) has preceded every recession since the 1970s.