Chapter 6
Glossary
Terms & definitions across options, Greeks, GEX/VEX, dealer positioning, heatmap concepts, and trading
📚 Options Fundamentals
| Term | Definition |
|---|---|
| Call Option | A contract giving the buyer the right to buy the underlying at the strike price |
| Put Option | A contract giving the buyer the right to sell the underlying at the strike price |
| Strike Price | The fixed price at which the option can be exercised |
| OTM (Out of the Money) | A call with strike above spot, or a put with strike below spot. No intrinsic value. |
| ATM (At the Money) | An option with strike approximately equal to spot |
| ITM (In the Money) | A call with strike below spot, or a put with strike above spot. Has intrinsic value. |
| Open Interest (OI) | The total number of outstanding option contracts at a given strike and expiration |
| Implied Volatility (IV) | The market's expectation of future price movement, derived from option prices |
| 0DTE | Zero Days to Expiration — options expiring on the current trading day |
| OPEX | Options Expiration — the third Friday of each month for standard monthly options |
𝛤 Greeks
| Term | Definition |
|---|---|
| Delta (Δ) | How much an option's price changes per $1 move in the underlying. Also represents the hedge ratio. |
| Gamma (Γ) | How fast delta changes per $1 move in the underlying. Delta's "acceleration." |
| Vanna | How much delta changes per 1% change in implied volatility. The link between IV and delta. |
| Theta (Θ) | How much an option's price decays per day. Time decay. |
📈 GEX / VEX
| Term | Definition |
|---|---|
| GEX (Gamma Exposure) | The dollar-weighted gamma across all strikes, representing the hedging pressure dealers create when price moves. Also called Gamma Notional. |
| Market GEX | The dollar-weighted gamma distribution inferred from public open interest (OI) data. Represents a market-wide gamma landscape, not a direct measurement of dealer positions. This is what GEXFlow currently displays. |
| Dealer GEX | The dollar-weighted gamma based on dealers' actual positions, derived from exchange-disclosed data (e.g., CBOE Open-Close, KRX investor classification) or order-flow inference. Represents directly observed dealer hedging exposure. Planned for a future Pro tier release. |
| VEX (Vanna Exposure) | The dollar-weighted vanna across all strikes, representing the hedging pressure dealers create when IV changes. |
| NET GEX | The sum of all strike-level GEX values. Positive = stabilizing market. Negative = volatile market. |
| NET VEX | The sum of all strike-level VEX values. Determines the impact of IV changes on dealer hedging. |
| +GEX Strike | The strike with the largest positive GEX — the primary stabilization/pin level |
| −GEX Strike | The strike with the largest negative GEX — the primary volatility/acceleration level |
| Gamma Flip | The price level where NET GEX transitions from positive to negative |
🏢 Dealer Positioning
| Term | Definition |
|---|---|
| Dealer / Market Maker | The counterparty that provides liquidity by taking the other side of customer trades and hedging the resulting risk |
| Long Gamma | Dealer bought options. Hedge by selling into strength and buying into weakness. Stabilizes price. |
| Short Gamma | Dealer sold options. Hedge by buying into strength and selling into weakness. Amplifies price movement. |
| Delta Hedge | Buying or selling the underlying to offset the directional risk (delta) of an options position |
🔥 Heatmap Concepts
| Term | Definition |
|---|---|
| Node | A strike price on the heatmap with a measurable GEX or VEX value |
| Anchor | The node with the largest absolute value — where dealers hold the greatest exposure. Marked with ★. |
| Barrier | A secondary node that blocks price from reaching the Anchor. Acts as a deflection point. |
| Hedge Node | A large, distant node that appears during macro events. Functions as insurance rather than an active magnet. |
| Void | A zone of $0 or near-$0 nodes between larger nodes. Price moves through these with minimal resistance. |
| Yang (양) | Positive GEX/VEX node (green). Dealer positioning absorbs price movement. Lower volatility interaction. |
| Yin (음) | Negative GEX/VEX node (purple). Dealer positioning amplifies price movement. Higher volatility interaction. |
| Midpoint | The center of a range between two major nodes. Poor R:R — avoid for directional trades. |
| Pin / Pinning | Price gravitating to and getting stuck near a major positive node, typically near expiration |
| Reshuffle | Rapid change in the heatmap structure as dealers adjust positioning. Signals new market structure. |
| Confluence | When GEX and VEX (or multiple indices) agree at the same level, increasing conviction |
🎯 Trading Concepts
| Term | Definition |
|---|---|
| Fade | Trading against the current move — e.g., selling into a rally at a resistance node |
| R:R (Risk-to-Reward) | The ratio of potential loss to potential gain on a trade. Asymmetric R:R (small risk, large reward) is the goal. |
| Rate of Change | How quickly a node's value is growing or shrinking. Reveals urgency behind dealer adjustments. |
| Rolling Ceiling | Upper nodes moving to lower strikes — bearish signal |
| Rolling Floor | Lower nodes moving to higher strikes — bullish signal |
| Drive-Off | MMs pushing price away from the Anchor early in the session |
| Vol Crush | Rapid decline in IV, typically after a catalyst event (earnings, FOMC). Significantly impacts VEX. |
| Gamma Squeeze | A feedback loop where dealer gamma hedging forces buying (or selling) that pushes price further, triggering more hedging. |