Knowledge Base
Data sources, core indicators, and methodology behind the GAMMAFRAME terminal.
Data Sources
The platform is powered by professional-grade options market data, sourced from a top-tier institutional data provider and continuously updated throughout the trading session.
Our options data — including strikes, expirations, Greeks, open interest, and volume — drives derived metrics such as GEX, which are computed and refreshed in real time, ensuring accuracy and completeness. When the connection is healthy, the terminal header displays the exact time of the most recent update.
K-Line (Candlestick) Data is sourced from professional U.S. market data feeds and updated every minute. Each 1-minute OHLCV bar is ingested as soon as it closes.
VIX Data is sourced from an authoritative volatility-index data feed. Note: VIX data may carry a 15-minute delay depending on the data tier.
Gamma Exposure (GEX)
GEX (Gamma Exposure) measures the aggregate gamma hedging pressure that market makers face at each strike price. Because market makers are typically short options, they must delta-hedge — and the size and direction of that hedging depends on gamma.
Positive Gamma Environment (price above Gamma Flip): Market makers hedge against the move — they sell into rallies and buy into dips. This creates a mean-reverting, low-volatility regime.
Negative Gamma Environment (price below Gamma Flip): Market makers hedge with the move — they sell into selloffs and buy into rallies. This creates a trend-amplifying, high-volatility regime.
The platform visualizes GEX as a heatmap overlaid on the price chart, showing how gamma concentration shifts across strikes over time. Dense zones indicate strong hedging walls; sparse zones indicate price can move freely.
On the heatmap, yellow zones mark strikes with positive net GEX (dealers dampening volatility), and violet zones mark negative net GEX (dealers amplifying moves). Grey appears where positive and negative strikes sit close together, near the Gamma Flip. Brightness reflects the magnitude of gamma concentration.
Delta Exposure (DEX)
DEX (Delta Exposure) measures the directional hedging pressure on market makers at each strike. While GEX tells you about volatility regime, DEX tells you about directional bias.
Positive DEX at a strike means market makers are net short delta there — they need to buy the underlying to hedge, creating upward pressure.
Negative DEX means they need to sell to hedge, creating downward pressure.
Gamma Flip / Gamma Threshold
Gamma Flip is the price level where aggregate dealer gamma transitions from positive to negative. It is arguably the single most important structural level derived from options positioning.
- Above the Flip: Dealers are long gamma → they suppress volatility. Price tends to consolidate and mean-revert.
- Below the Flip: Dealers are short gamma → they amplify moves. Price tends to trend and gap.
Calculation: For each strike and expiration, the platform computes gamma using the Black-Scholes model, then aggregates across the entire chain, weighted by open interest. The zero-crossing of this aggregate curve is the Gamma Flip.
Call Wall & Put Wall
Call Wall is the strike with the highest positive gamma concentration from call options. It acts as a resistance magnet — market makers hedging short calls at this strike create selling pressure as price approaches.
Put Wall is the strike with the highest gamma concentration from put options. It acts as a support magnet — market makers hedging short puts create buying pressure at this level.
Together, Call Wall and Put Wall define the most likely trading range for the session. Price tends to oscillate between these two levels in a positive gamma environment.
The platform also tracks the Put/Call Ratio in two dimensions:
- Full-chain: Total puts vs calls across all strikes
- Near-the-money (±2%): Puts vs calls within 2% of the current price — more sensitive to short-term sentiment shifts
Beyond the walls, the platform marks the key GEX nodes on the chart: King is the strike carrying the largest absolute GEX, Gatekeeper the second-largest. Major Positive and Major Negative are the strongest nodes on each side of the flip and bracket the day's core range.
Nodes are not permanent: each time price tests a node, some of the hedging pressure behind it is spent, so a level tapped several times is more likely to give way on the next attempt. When King and Gatekeeper sit close together the structure is concentrated; when they are far apart price can drift between them with less friction.
Max Pain
Max Pain (Maximum Pain Point) is the strike price at which the total dollar value of all outstanding options (both puts and calls) would expire worthless — causing the maximum aggregate loss for option buyers.
As expiration approaches, there is a well-documented tendency for the underlying to gravitate toward Max Pain. This “gravity effect” is strongest in the final 1-2 days before expiration.
Max Pain is recalculated daily at 9:30 AM ET when fresh open interest data becomes available.
Implied Volatility & Greeks
Implied Volatility (IV) reflects the market's expectation of future price movement, derived from option prices via Black-Scholes inversion. Higher IV means the market expects larger moves.
Rate of change of option price with respect to the underlying. Also approximates the probability of expiring in-the-money.
Rate of change of Delta. Measures how rapidly delta-hedging pressure shifts as price moves. This is the foundation of GEX.
Time decay — the daily erosion of option value. Accelerates as expiration approaches.
Sensitivity to implied volatility. A 1-point increase in IV changes the option price by approximately Vega dollars.
The platform uses Greeks internally to compute GEX, DEX, and structural analysis. Individual Greeks are not displayed as raw numbers; instead, they are synthesized into actionable levels and visual indicators.
Open Interest & Volume
Open Interest (OI) represents the total number of outstanding option contracts that have not been settled. OI data is updated once daily at 9:30 AM ET when the exchanges publish the prior day's final figures.
Volume is the number of contracts traded during the current session. Unlike OI, volume is cumulative intraday and resets each morning.
The Turnover Heatmap uses volume data as its foundation, visualizing where trading activity concentrates relative to the price chart. During regular hours, it shows incremental flow; in pre-market review mode, it displays the last locked pre-market snapshot.
On the Turnover Heatmap, cyan marks strikes where call trading dominates and rose marks put-dominated strikes; balanced or low-volume strikes stay white.
Update Frequency
| Data Type | Frequency | Notes |
|---|---|---|
| Options chain | Real-time | Live during market hours |
| K-lines | Every 1 min | 1-min OHLCV bars |
| Open Interest | Daily | 9:30 AM ET reset |
| Pre-market snapshot | Once | Locked 30 minutes before open |
| VIX | Real-time | Authoritative volatility-index feed |
Trading Handbook
How to use the three radars, read signals, and interpret resonance & filters. Structural description only — not trading instructions.
Orientation
Read this first. Every radar, signal, grade and resonance in this handbook is an objective description of market structure and relative strength — not trading advice and not an investment instruction. Any wording like "opportunity / risk" refers to structural form, not a cue to buy or sell. Whether to trade and how large to size is your own judgment, at your own risk.
GAMMAFRAME's monitoring system is built from three radars, each covering a different "face" of the market:
- Opportunity Radar: scans the trend structure of stocks across the whole market and lists names currently satisfying the "blue above yellow + first green:yellow" structure. It answers "which stocks are strengthening structurally".
- Index Risk / Opportunity Radar: watches the opportunity-structure and risk-structure signals of the major indices (SPX / Nasdaq / Dow / Russell / Semis). It answers "is the broad market leaning toward opportunity or risk".
- Capital Flow Radar: views capital-rotation relative strength and ranking across three layers — 11 sector ETFs → sub-themes → individual stocks. It answers "which sectors is money rotating into".
Suggested order: first use the Index Risk / Opportunity Radar to judge the broad-market structural environment → use the Capital Flow Radar to find leading sectors → use the Opportunity Radar to see which stocks inside those leading sectors are hitting structure. When all three point the same way the structural signal is clearer; when they diverge, take an extra look.
Opportunity Radar (stock structure scan)
What it shows. The Opportunity Radar runs multi-period trend-structure calculations on every stock in the scan pool and lists the names that currently meet the structural conditions. The core structure is "blue line above the yellow line + first green:yellow": the moving-average channel turns into a bullish alignment, and the first bar that meets the trigger is recorded as one structural signal.
Periods. Seven periods are supported: 30m / 1h / 2h / 3h / 4h / 1d / 1w. The larger the period, the more reliable the signal: 30m is noisy and only for intraday reference; daily/weekly are large-scale structure.
Grouping. Hits are split into P1 / P2 / P3 by momentum and resonance strength (P1 is strongest). Groups can be expanded/collapsed. Each row carries meta: sector (industry/theme), hit period, strength score, signal time (ET).
How to use it. The list is a "candidate pool of structures that are strengthening", not a "buy list". Read it together with the broad-market environment from the Index Risk / Opportunity Radar and the sector strength from the Capital Flow Radar; entries, sizing and stops are your own decision.
Index Risk / Opportunity Radar
What it shows. It watches two kinds of structural signals on the major indices: opportunity structure (green) and risk structure (red). It covers the S&P, Nasdaq, Dow, Russell 2000, Semiconductors and more, computed via the corresponding ETF proxies.
Tab pulse dot. The "Index Risk / Opportunity Radar" tab button at the bottom has a pulsing dot on its left that reflects the latest still-valid signal, so you can read the broad market at a glance without opening it:
- Green = the latest valid signal is an opportunity structure
- Red = the latest valid signal is a risk structure
- Copper (still) = no valid signal right now, don't over-interpret
The brighter the color and the faster the pulse = the higher the signal grade (1H low → 2H medium → 4H high → 1D/1W very high).
The table. Columns are Time / Index / Direction / Period / Grade / Type / Invalidation·Last. Type is mapped from direction and grade:
- Opportunity: Big opportunity (high/very high) / Opportunity (medium/low)
- Risk: Top divergence (price makes a new high, volume doesn't follow) / Red-to-green (energy bars turn from rising to falling) / Big pullback · or pullback (by grade)
How to read this table (structural description, not an instruction):
- A small-scale opportunity structure (medium/low) appearing after a large-scale risk structure (high/very high): often the first support zone after a pullback — watch whether it stabilizes.
- Several indices showing large-scale risk structure at once: systemic risk-structure signals are increasing.
- No signals at all recently: market structure is calm.
Capital Flow Radar
What it shows. Three-layer drill-down into capital rotation: L1 the 11 sector ETFs (relative to SPY) → L2 sub-themes (relative to the parent ETF) → L3 member stocks. There is also a custom lookup: enter any US ticker to compute its capital rotation relative to SPY in real time (no cross-sectional ranking).
Two metrics. Capital rotation Rel = the entity's strength relative to the benchmark (positive = leading, negative = lagging); Own trend = the entity's own capital-momentum trend. The trend chart overlays the two lines.
Ranking trajectory shows how the entity's rank within its layer changes over time (higher = stronger); you can switch windows (daily 20D/60D/120D, weekly 26W/52W/All).
Drill-down interaction. Click a row to expand details; double-click a row or click the arrow ▸ to go one layer deeper; the breadcrumb returns layer by layer; the All / Positive / Negative filter sits above the list. The daily/weekly toggle is at the top right.
Scope note: the Capital Flow Radar only shows relative strength and ranking; it is not a buy/sell signal or investment advice. "Leading" means capital momentum is relatively ahead — it does not mean you should buy.
Reading Signals
Periods. Larger is more reliable: small intraday periods (30m/1h) are noisy with limited reference value; 4h is a half-day trend confirmation; 1d/1w are large-scale structure and carry the most weight.
Grade (low/medium/high/very high). Derived from direction, period and signal type combined; a higher grade means a larger structural scale. On the index radar: opportunity 1H low / 2H medium / 4H high / 1D·1W very high; risk red-to-green 1D·1W low/medium, top divergence 1D·1W high/very high.
Type. See the "Type" column in each radar table (opportunity: big opportunity / opportunity; risk: top divergence / red-to-green / big pullback). Type is a name for the structural form, for quick classification.
Strength score. The score on each Opportunity Radar row combines structural quality and resonance, used for sorting and grouping (P1/P2/P3); it is not a win-rate or return forecast.
Last-price deviation. The last price / deviation next to the invalidation price in the table helps you see where price has gone since the signal fired and how far it is from the invalidation line.
Resonance (period + sector)
Period resonance: the same symbol hits structural signals on several periods at once. Agreement across periods = the structure confirms itself on different time scales, making the signal more solid.
Sector resonance: several symbols in the same theme sector (grouped by theme_primary) hit at once. When many names in one sector strengthen together it often means capital is concentrating into that theme.
Resonance is only an objective description of "increased structural consistency", not a stronger buy signal. High-resonance names are placed in earlier groups (P1) so you can review them first.
Filters & Presets
- Period filter: tick the periods you want (multi-select) to show only hits on those periods.
- Pool layer:
curated(the curated list) /auto(whole-market liquidity filter) / all. - Preset views: built-in common combinations (such as the "blue above yellow" structure hit) apply the filter conditions with one click.
- Valid only: hide signals that have already been invalidated (price has broken the invalidation line).
- Sort: order by strength/time and more.
- Stale tag: hits with older data are marked stale to flag timeliness.
The Index Risk / Opportunity Radar additionally has direction (opportunity/risk), multi-select grade and a "valid only" checkbox. The Capital Flow Radar member table has an All/Positive/Negative filter.
Invalidation Price
Definition. The invalidation price takes the extreme of the signal bar and the 4 bars before it: an opportunity structure takes the lowest price of those 5 bars (the structure's lower edge); a risk structure takes the highest price (the upper edge).
Invalidation. After a signal fires, if price later breaks below/above this invalidation line, the signal is marked invalidated (greyed out + struck through in the table). Invalidation is an objective verdict on "whether the original structure still holds", not a stop-loss suggestion.
The table shows the last price next to the invalidation price so you can see how far price is from the line. The pulse dot on the index radar tab also takes the "latest still-valid" signal — those invalidated in a batch are skipped automatically.
Neutral Boundary Statement
All radars, signals, grades, resonance and rankings on this platform are objective, educational descriptions of market structure and relative strength, and do not constitute investment advice, trading instructions or any promise of returns.
Wording such as "opportunity / risk / leading / strengthening" refers to structural form or relative strength — it is not a directive to buy or sell any instrument.
Market data may be delayed, incomplete or contain errors; past structure does not predict future performance. Whether to trade, which instruments, position sizing and risk control are entirely your own decisions, at your own risk.
For legal and compliance details, see the Disclaimer and Terms of Service.
Explore the public knowledge layer
Start with neutral concept explanations or read the latest completed-session summaries for QQQ, SPX and SPY.