Reading the surface
Chapter 1 treated dealer gamma as a single number. In reality it is spread across dozens of expiries and hundreds of strikes, and where it sits matters as much as how much there is. The four analytics panels below the Terminal chart exist to show you that distribution — and to stop you drawing conclusions from an aggregate that hides what is actually driving it.
Gamma by expiry, and the 0DTE problem
Gamma is not spread evenly through time. It concentrates violently in the nearest expiry, because an option about to expire has the sharpest possible transition between worthless and in-the-money. A contract expiring today can swing from 0.2 delta to 0.8 delta on a move that a 60-day contract barely notices.
This creates two practical problems. The first is that a headline gamma number is dominated by contracts that may not exist tomorrow. Same-day options build enormous gamma through the session and then vanish entirely at the close. A wall that looked immovable at 2pm is simply gone the next morning, and traders who treated it as durable structure are left explaining a level that no longer has anything behind it.
The second is that 0DTE gamma intensifies as expiry approaches. The hedging it forces gets more violent through the afternoon, which is why pinning tends to tighten into the close on heavily traded index products, and why the last hour behaves differently from the first.
This is what the expiry picker on the Terminal is for. Selecting a single expiry recomputes the headline levels for that expiration alone. Comparing "0DTE only" against "near-term" answers a question the blended view cannot: is this wall a structural level built from real multi-week positioning, or an artefact of today's lottery tickets?
- Wall present in both views — durable. Longer-dated open interest is holding it, and it is likely to still matter tomorrow.
- Wall only in 0DTE — intraday only. Tradeable today, meaningless as an overnight level, and it will not appear on tomorrow's chart.
The cumulative gamma curve
The profile chart shows gamma at each strike independently. The cumulative curve adds them up as you move across strikes, which answers a different question: not "where is the gamma" but "what is the net position of the whole book if price gets to here".
Two features carry information. The crossing point is the flip, derived properly rather than eyeballed. The slope tells you how decisive the regime is: a curve that rises steeply through the flip means a small move takes the market firmly into long-gamma territory, while a curve that hugs zero over a wide range means the regime is fragile and could switch on modest movement.
A flat, near-zero cumulative curve across a wide band of strikes is worth respecting. It means dealer positioning gives you very little information that day — and knowing when your indicator has nothing to say is more valuable than forcing a reading out of it.
Open interest by strike
Open interest is the number of contracts that exist at each strike — positions opened and not yet closed. Unlike volume, which resets daily, open interest is the accumulated map of where people are actually positioned.
It is the raw material every gamma calculation is built from, and looking at it directly tells you whether a wall rests on genuine size or on a thin strike that happened to score well. Large round strikes attract open interest disproportionately, and the largest concentrations often sit where hedgers rather than speculators are working.
One caveat that governs how you should use every level in this product: open interest updates once per day, overnight. Intraday, the walls and flip you see are computed from yesterday's positioning with today's implied volatility applied. That is perfectly serviceable for structure, which changes slowly — but it means these are zones that shift between sessions, not live prices, and a wall that broke this morning may already be stale.
The implied volatility term structure
The final panel plots at-the-money implied volatility across expiries. It describes what the options market expects, and — more usefully — when it expects it.
- Normal (upward sloping)
- More time means more uncertainty, so further expiries price higher volatility. This is the default state and tells you little on its own — which is exactly why departures from it are informative.
- Event hump
- One expiry sits visibly above the curve around it. The market has identified a dated catalyst — earnings, a scheduled decision — and priced it into that specific expiration. The hump is a map of when the market expects to be surprised, and it is one of the cleanest readings available because it isolates a date rather than a direction.
- Inverted (stress)
- Near-dated volatility exceeds long-dated. Something is happening now. Inversions usually accompany short-gamma conditions, and the two together describe a market that is both fast and structurally inclined to accelerate.
The interaction matters more than either reading alone. High near-term implied volatility plus negative net gamma is the combination behind disorderly sessions: the market is pricing movement, and dealer hedging will amplify whatever movement arrives. The opposite pairing — low front-end volatility with strong positive gamma — is the classic pinned, grinding tape.
Putting the four together
The panels are designed to be read as a sequence, and the questions are ordered deliberately.
- By expiry — is the structure I am looking at durable, or does it expire today?
- Cumulative — how firmly is the current regime established, and how far is the flip?
- Open interest — is the gamma wall backed by real positioning, or is it a thin strike?
- Term structure — is a dated catalyst about to reset all of the above?
An earnings date inside your holding period invalidates most of this analysis. Positioning rebuilds completely afterwards, walls relocate, and the term-structure hump collapses the moment the news lands. Check the term structure before trusting any structural level that has to survive an event.