VolEntropy
PROVolatility & Skew · WebSocket Streaming · Pro Tier
Partial Implementation Notice: Full Shannon entropy calculation from the live options grid is actively being implemented in the backend pipeline. The current version displays directional entropy guidance while per-strike entropy computation is finalized. For detailed per-strike volatility analysis, use Vega Concentration or IV Skew. Trading decisions should not rely solely on this window until full computation has been deployed.
Overview
VolEntropy measures the dispersion of volatility exposure across the options chain using a Shannon entropy-inspired framework. Low entropy means volatility exposure is concentrated at a few strikes (orderly, predictable). High entropy means it's spread broadly (disordered, less predictable).
The window classifies the current entropy reading into a Concentration level — High, Medium, or Low — giving you an instant read on how distributed the market's volatility bets are.
Key Features
- Entropy metric: A numerical value representing the Shannon entropy of volatility exposure. The current display provides baseline entropy levels for the connected symbol.
- Concentration classification: Entropy thresholds map to action levels — below 2.0 = High concentration (few dominant strikes), 2.0–3.0 = Medium, above 3.0 = Low concentration (broadly spread).
- Real-time WebSocket connection: Connected to the live gamma data feed with automatic reconnection.
- Metric card display: Clean layout showing Entropy value and Concentration level as prominent cards.
- Guide Panel: Four-section overlay — What is VolEntropy, Concentration Levels, Trading Application, and Pro Tips.
Metrics Reference
| Metric | Interpretation |
|---|---|
| Entropy < 2.0 | High Concentration. Vol exposure clustered at a few key strikes — clear structural levels. Price likely to gravitate toward the dominant strikes. |
| Entropy 2.0 – 3.0 | Medium Concentration. Moderate dispersion. Some structural levels exist but the landscape is less decisive. |
| Entropy > 3.0 | Low Concentration. Broadly distributed vol — fewer dominant magnets. Price has more freedom to move without strong structural attraction. |
Use Cases
- Strategy selection filter: High concentration (low entropy) favors pinning strategies — premium-selling strategies near dominant strikes are commonly considered. Low concentration may favor directional or breakout strategies.
- Concentration shift detection: When entropy drops suddenly (positioning concentrates), it signals institutional buildup at specific strikes — expect stronger support/resistance at those levels.
- Cross-ticker comparison: Compare entropy across multiple symbols to identify which names have the most concentrated vs. dispersed positioning.
How to Launch
Open the Window Launcher — click + or press L.
Search for VolEntropy or browse Volatility & Skew.
Click to launch and enter a ticker. WebSocket connects automatically.
Read the Entropy value and Concentration level. Use the guide panel for interpretation details.
Data Source & Tier
WebSocket gamma data feed. VolEntropy is on the Pro tier ($79/month). View pricing →
Related Windows
- SkewSentinel — Anomaly detection approach complementing entropy analysis
- IV Surface — Full surface visualization for the IV data VolEntropy measures
- RegimeShift — Market regime detection that correlates with entropy shifts