EigenHedge™
PROGreeks & Risk · WebSocket Streaming · Pro Tier
Partial Implementation Notice: Backend eigenvalue decomposition is actively being implemented. The current version provides the EigenHedge conceptual framework, guide content, and AI-generated considerations while the core PC1/PC2/PC3 computation pipeline is finalized. Full streaming metrics will be available in a future update. Trading decisions should not rely solely on this window until the full computation has been deployed.
Overview
EigenHedge applies eigenvalue decomposition (PCA) concepts to the options positioning data, breaking complex multi-strike gamma exposure into principal components. The goal is to identify the dominant risk factors driving the gamma surface and suggest hedging actions aligned with these factors.
The three principal components represent distinct risk dimensions:
- PC1 — Level: The overall magnitude of gamma exposure. A shift in PC1 means the entire surface has moved up or down.
- PC2 — Slope: The tilt of gamma across strikes. A PC2 shift means the balance between upside and downside gamma has changed.
- PC3 — Curvature: The convexity of the gamma surface. A PC3 shift means positioning has concentrated or spread out.
Key Features
- Principal component framework: Decomposes the gamma surface into Level, Slope, and Curvature components for structured risk analysis. Each component is tracked independently so you can identify which dimension of risk is shifting.
- Real-time WebSocket streaming: Connected to the live gamma data feed with automatic exponential backoff reconnection (3s base, 1.5x multiplier, 60s max, 10 retries). PC metrics update with every server tick.
- Guide Panel: Four-section educational overlay — What is EigenHedge, Key Components (PC1/PC2/PC3), Hedging Application, and Pro Tips. The guide provides in-depth coverage of how PCA applies to options positioning.
- AI-Generated Considerations: ML-powered analytical considerations integrating the eigenvalue framework with current market regime detection. Considerations include factor-aligned hedging approaches and directional analysis based on PC shifts — delivered for your independent evaluation. Methodology →
Use Cases
- Factor-based hedging: Instead of hedging individual Greeks, hedge principal components. A PC1 hedge adjusts overall gamma exposure; a PC2 hedge rebalances upside vs. downside; PC3 manages concentration risk.
- Regime decomposition: When the gamma surface shifts, EigenHedge tells you how it shifted — was it a level change (everyone adding gamma), a slope change (rotation from calls to puts), or a curvature change (concentration at specific strikes)?
- Portfolio alignment: Ensure your portfolio's risk exposure aligns with or hedges against the dominant principal components of the market's gamma surface.
How to Launch
Open the Window Launcher — click + or press L.
Search for EigenHedge or browse Greeks & Risk.
Click to launch and enter a ticker.
Review the Guide Panel for the full PCA framework applied to options gamma. Review the AI-Generated Considerations for hedging analysis to evaluate alongside your own assessment.
Data Source & Tier
WebSocket gamma data feed. EigenHedge is on the Pro tier ($79/month). View pricing →
Metrics Reference
| Metric | Description |
|---|---|
| PC1 Level | Overall magnitude of gamma exposure across all strikes. A rising PC1 means the entire surface is gaining gamma. |
| PC2 Slope | Tilt of gamma distribution between upside and downside strikes. Positive slope indicates more upside gamma (call-heavy). |
| PC3 Curvature | Convexity of the gamma surface. High curvature means positioning is concentrated at specific strikes; low curvature means spread evenly. |
| Eigenvalue magnitude | The proportion of total variance explained by each component. A dominant PC1 signals a level-driven market; dominant PC2 signals directional rotation. |
Related Windows
- ThetaForge — Detailed theta analytics feeding into hedge construction
- Vega Concentration — Volatility sensitivity data for multi-factor hedging
- Dealer Hedging Pressure — Dealer positioning context for hedge design