Market Structure Glossary
A professional dictionary linking options variables directly to workflows.
Gamma Exposure (GEX)
Net dollar exposure per 1% change in the underlying asset's price. Measures the aggregate hedging requirements of options dealers.
Net GEX
The cumulative Gamma Exposure aggregated across all strikes and expirations for a specific underlying asset, representing the net market maker positioning.
Gamma Flip
The spot price level where net dealer options exposure pivots from positive (long gamma) to negative (short gamma).
Dealer Hedging
The process by which options market makers buy or sell shares of the underlying stock to maintain delta-neutral books.
Delta Hedging
A risk management strategy that aims to neutralize the directional risk (delta) of a derivatives position by executing offsetting stock trades.
Call Wall
The strike price containing the highest concentration of call option open interest, acting as a ceiling for underlying spot price moves.
Put Wall
The strike price containing the highest concentration of put option open interest, acting as a floor for underlying spot price moves.
Vanna
A second-order option Greek that measures the sensitivity of Delta to changes in Implied Volatility (IV).
Charm
A second-order option Greek that measures the sensitivity of Delta to time decay (passage of time). Also known as delta decay.
Volatility Smile
The implied volatility curve across option strikes for a single expiration, showing higher IV for out-of-the-money options.
Volatility Skew
The difference in implied volatility between out-of-the-money puts and out-of-the-money calls for a specific expiration.
Volatility Term Structure
The curve displaying the implied volatility of options across different expiration cycles, showing expectations of volatility over time.
Volatility Risk Premium
The tendency for options implied volatility to exceed realized volatility, reflecting the premium paid by option buyers for portfolio protection.
Dealer Inventory
The net options inventory held by market makers, which dictates their dynamic delta and gamma rehedging requirements.
Liquidity Regime
The current liquidity environment, categorized by bid/ask spreads, order book depth, and market maker participation levels.
Order Flow
The stream of transactions executed on an exchange, analyzed to identify block trades and unusual options activity.
Market Maker
A financial intermediary or specialized trading desk that quotes both bid and ask prices in a stock or option, providing liquidity to facilitate continuous execution.
Open Interest
The total number of outstanding options contracts that have not been settled, expired, or closed.
Volume
The number of options contracts traded during the current trading session, indicating immediate liquidity interest.
Pinning Effects
The tendency for the underlying spot asset price to close exactly at a strike with high open interest on options expiration days.
Option Chain
A matrix layout displaying all available options contracts (calls and puts) for a specific underlying asset across strike prices and expiration dates.
0DTE Option
Zero-Days-to-Expiration options contracts that expire on the active trading day, generating extreme intraday Gamma sensitivity.
Volga (Vomit)
A second-order Greek measuring the rate of change of Vega with respect to changes in Implied Volatility (DvegaDvol).
Zomma
A third-order Greek measuring the sensitivity of Gamma to shifts in Implied Volatility (DgammaDvol).
Dark Pool Print
A large trade executed off-exchange without a public quote, reported to the tape afterwards. A US market structure: India has no off-exchange equity venue, so the nearest Indian evidence is NSE bulk and block deal disclosures.
Intermarket Sweep Order (ISO)
A US order type that takes displayed liquidity on several exchanges at once. It has no Indian equivalent, and NSE option chains carry no trade-level data that would reveal one.
Kalman Filter Spread
A recursive Bayesian state-space algorithm that dynamically calculates time-varying hedge ratios for statistical arbitrage pair trading.
Pre-Market Order Matching
The un-crossed multilateral auction matching process (9:00 AM - 9:08 AM) that discovers the official Equilibrium Opening Price.
Kyle's Lambda (λ)
Microstructure price impact coefficient measuring the expected spot price shift per crore of net signed aggressive order flow.
Amihud Illiquidity Ratio
An econometric liquidity ratio measuring the absolute return response of an asset relative to its trading turnover volume.
Dollar Delta Exposure (DEX)
The aggregate currency value of directional delta exposure currently held by options market makers across active option strikes.
Dealer Stress Index
A normalized metric (0-100) assessing market maker inventory imbalance and hedging capacity relative to underlying market liquidity.
Kelly Criterion
A mathematical formula for optimal capital allocation that maximizes long-term portfolio growth based on model winrate and risk-reward ratio.
Unusual Options Activity (UOA)
Option contracts trading far above normal for their position. Arkenwell compares each contract's volume with contracts at the same distance from spot and the same days to expiry in previous expiries, weighed with OI change and premium traded.
Structure of Arrays (SoA)
A high-performance memory layout organizing identical metric attributes contiguously in cache, enabling SIMD parallel vectorized calculations.
SNAP_QUOTE (Mode 3)
High-throughput binary WebSocket stream delivering full OHLCV, cumulative open interest, and Level-2 Best-5 market depth tick-by-tick.
Delta Flow Velocity
The rate of change in net desk-level options delta buying or selling per minute, signaling impending directional breakout momentum.
Max Pain
The strike price at which the total financial loss across all expiring options contract buyers is maximized upon settlement.
DHFI (Dealer Hedging Flow Index)
A real-time proprietary metric calculating the exact monetary value (in ₹ Crores) of hedging flow that options market makers must transact in index futures or cash shares for every incremental shift in the underlying spot price.
GPI (Gamma Positioning Imbalance)
A normalized ratio measuring the net directional asymmetry between Call GEX and Put GEX across active strikes. A positive GPI indicates call-side dealer exposure dominates, while negative GPI indicates put-side dominance.
KDI (Kalman Directional Index)
A quantitative directional momentum oscillator derived from the Kalman filter state vector, measuring the velocity and statistical conviction of the underlying asset's price trend relative to its equilibrium basis.
25Δ Risk Reversal (25Δ RR)
The difference in implied volatility between a 25-delta call option and a 25-delta put option. Used by quantitative desks to measure directional volatility skew and determine whether downside put insurance is overpriced relative to upside calls.
25Δ Butterfly (25Δ BF)
A measure of volatility smile curvature (kurtosis) calculated by comparing the average implied volatility of 25-delta calls and puts against At-The-Money implied volatility. Indicates market expectations of fat-tail market moves.
Transmission DAG
A Directed Acyclic Graph (DAG) visualizing how macroeconomic, regulatory, or commodity catalyst events propagate through supply chains, currency rates, and domestic sector indices into benchmark equity futures.
Probability Cone
A graphical projection of 1-sigma (68.2%) and 2-sigma (95.4%) standard deviation boundaries outward across time, calculated from live implied volatility to identify statistical price dispersion limits.
True Basis
The exact premium or discount of near-month index futures relative to cash spot price, expressed in basis points (bps) after normalizing for theoretical cost of carry and dividend yields.
Liquidity Vacuum
A market microstructure state where the required dealer delta rehedging flow exceeds available resting limit orders in the central order book, resulting in violent multi-tick price slippage and rapid expansion.
Futures Buildup
The classification of futures open interest and price changes into four actionable cycles: Long Buildup (price up, OI up), Short Buildup (price down, OI up), Short Covering (price up, OI down), and Long Unwinding (price down, OI down).
Payoff Diagram
An interactive risk curve displaying the monetary profit or loss (in ₹ INR) of an options strategy across a range of underlying spot price movements at expiration, highlighting exact breakeven and maximum risk zones.
Nifty GEX
The net gamma exposure of NIFTY 50 index options, expressed as the rupee value of index exposure option dealers would need to hedge for a 1% move in the index.
Bank Nifty GEX
The net gamma exposure of BANKNIFTY options. The mechanics match Nifty GEX, but the index is concentrated in bank stocks, so its gamma profile is sharper and its values are not comparable with NIFTY's.
DEX vs GEX
DEX is the level of directional exposure in the modelled dealer book. GEX is the slope: how much that exposure changes for a 1% move. One is built from delta, the other from gamma.
Positive Gamma
A regime in which option dealers are modelled as net long gamma. Their hedging leans against index moves, which tends to compress realised volatility and support range-bound trading.
Negative Gamma
A regime in which option dealers are modelled as net short gamma. Their hedging adds to index moves, which tends to extend trends and widen intraday ranges.
Long Gamma
A position whose delta moves against the market: delta rises as the index rises and falls as it falls, so rebalancing means selling rallies and buying dips.
Short Gamma
A position whose delta moves with the market, so rebalancing means buying as the index rises and selling as it falls, which adds to the move.
Gamma Squeeze
A fast move in which hedging by short-gamma dealers reinforces the price change, forcing further hedging in the same direction.
Zero Gamma Level
Another name for the gamma flip: the spot level at which modelled net dealer gamma changes sign between positive and negative.
Gamma Profile
The net gamma exposure plotted against spot price or strike, used to locate where hedging flow is concentrated and where the gamma flip sits.
Put-Call Ratio (PCR)
Put open interest or volume divided by call open interest or volume. It describes the balance of positioning; it does not say who holds the contracts or how dealers will hedge.
Change in Open Interest
The session-on-session change in open contracts at a strike. Rising open interest means new positions are being opened; falling means positions are closing.
Lot Size
The number of units in one derivatives contract, set by the exchange and revised periodically. Exposure calculations that use open interest must apply the lot size in force and must not apply it twice to a figure already in units.
Black-76 Model
An option pricing model that takes the forward price of the underlying directly as an input. It suits European-style index options priced off a forward and is used to derive implied volatility and Greeks.
Put-Call Parity
The no-arbitrage relationship between a European call and put with the same strike and expiry. It lets the forward price be inferred from the option chain itself.
Implied Forward
The forward price of the underlying inferred from put-call parity on the option chain, rather than assumed from spot plus a financing and dividend estimate.
Dealer Sign Convention
The assumption about which side of open interest dealers hold. Exchange data shows open interest but not ownership, so every GEX or DEX figure depends on this modelling choice.
Implied Volatility (IV)
The volatility that, put into an option pricing model, reproduces an option's market price. It is the market's price for expected movement, not a forecast.
Realized Volatility
The annualised standard deviation of the underlying's actual returns over a past window, used to compare against implied volatility.
India VIX
NSE's volatility index, calculated from NIFTY option prices. It reflects the market's expectation of annualised volatility over the next 30 days.
Implied Volatility Rank (IVR)
Where current implied volatility sits within its own range over a past window, usually a year. A high rank means volatility is expensive relative to its own history.
Volatility Regime
A persistent state of market volatility, such as low and stable or high and unstable, identified from realised and implied measures.
Expected Move
The index move implied by option prices over a period, often approximated from the at-the-money straddle. It is a market-implied range, not a forecast of direction.
Delta
The change in an option's price for a one-unit change in the underlying. Calls have positive delta and puts have negative delta.
Gamma
The change in an option's delta for a one-unit change in the underlying. It is highest for at-the-money options close to expiry.
Vega
The change in an option's price for a one-point change in implied volatility.
Theta
The change in an option's price as one day passes, holding everything else constant. Also called time decay.
Option Greeks
The sensitivities of an option's price to its inputs: delta to spot, gamma to delta, vega to volatility, theta to time, plus higher-order measures such as vanna and charm.
Moneyness
How a strike relates to spot: in-the-money, at-the-money or out-of-the-money. It determines an option's delta, gamma and sensitivity to volatility.
Delta-Neutral
A position whose net delta is zero, so small index moves leave its value unchanged. Dealers rebalance futures hedges to stay delta-neutral.
Hedging Flow
The futures or underlying trades option dealers make to keep their books delta-neutral as the index moves.
Pin Risk
The tendency of the index to settle near a strike with heavy open interest into expiry, driven by hedging and by expiring-option dynamics.
Cash-Settled Option
An option settled in rupees against the index value at expiry, with no delivery of any underlying. NIFTY and BANKNIFTY options are cash-settled.
European Option
An option exercisable only at expiry. NSE index options are European-style, which is why Black-76 applies.
NIFTY 50
NSE's benchmark index of 50 large Indian companies and the underlying of the most liquid index options and futures in India.
BANKNIFTY
NSE's Nifty Bank index, made up of large and liquid Indian banking stocks. Its options are concentrated in financials and trade with higher volatility than NIFTY.
Options Analytics Terminal
Software that turns exchange option-chain data into analysis such as Greeks, implied volatility, dealer positioning and flow, so users can judge risk and market structure.
GEX
Short for gamma exposure: an estimate of how much option dealers must buy or sell to stay hedged as the market moves. Positive GEX tends to dampen moves, negative GEX tends to amplify them.
DEX
Short for dealer delta exposure: the rupee value of directional exposure in the modelled dealer book. It is the level of exposure, where GEX is how fast that exposure changes.
Dealer Gamma
The gamma of option positions held by dealers, usually estimated from open interest under an assumption about which side dealers hold. It determines whether their hedging dampens or amplifies moves.
Delta Exposure
The total directional exposure of an options book expressed in currency, found by weighting each contract's delta by open interest, contract size and spot.
IV Percentile
The share of days in a past window, usually one year, on which implied volatility was below today's level. Less sensitive to one-off spikes than IV rank.
Long Buildup
Price rising together with open interest rising, indicating new long positions are being opened.
Short Buildup
Price falling together with open interest rising, indicating new short positions are being opened.
Short Covering
Price rising while open interest falls, indicating existing short positions are being closed.
Long Unwinding
Price falling while open interest falls, indicating existing long positions are being closed.
FINNIFTY
NSE's Nifty Financial Services index, the underlying of FINNIFTY index options and futures. Its option chains are thinner than NIFTY's, so gamma profiles are noisier.
MIDCPNIFTY
NSE's Nifty Midcap Select index, the underlying of MIDCPNIFTY index options and futures.
SENSEX
The benchmark index of the Bombay Stock Exchange. SENSEX options trade on BSE, with their own liquidity and expiry pattern.