Dealer gamma exposure, max pain, open interest, the greeks — what each number actually measures, where it comes from, and where it stops being useful. Every claim here is one I checked against real collected data, and where it turned out to be wrong, that is in the article too.
Unusual volume is supposed to be the market's tell — size before the news. I ran our own detector against every day we've collected and checked what price did next: the flagged direction, 51.1% of the time. A coin flip.
Two facts about a chain — which way dealer hedging pushes, and how close the boundary is — collapsed into one word. The full definition, the thresholds behind it, the window they are measured over, and the point where it stops being useful.
The theory says price gets pulled toward the strike where option holders lose the most. I had the chains, so I measured instead of arguing — and the answer came out backwards, with one caveat that matters more than the result.
Over one weekend not one of 14,230 SPY contracts changed price, volume or open interest — and implied volatility moved on 13,727 of them. What that says about weekend theta, and why you can only see it if something was recording.
One number in your P&L is four bets added together. You can only take them apart after the trade is closed — here is a real GLD call that lost 95% while gold rose 8.6%, split greek by greek.
Not a signal for sale, not a black box — just what the number is, where it comes from, and where it stops being useful.
Every number in these articles is one GammaGrid computes. The hosted version is open and free while it is in beta — sign in, add a few symbols, and the collecting happens on our side.
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