Levels Ahead

The range option prices imply for one linked name over the coming weeks, drawn like a storm map. Its recent closes sit to the left of now. The cone sits to the right. It is the second version of Levels Replay and sits beside it.

At a glance

• The track. Left of now, each recent close as a candle, with the call wall, the put wall and zero gamma as faint steps.
• The cone. Right of now, the range option prices imply for the close on each trading day to the month expiry.
• Two bands. The deeper band is where option prices put about two closes in three. The pale band is where they put nineteen in twenty.
• Not a path. No line is drawn into the future. A scenario is a price range up to a date, or a level.
• The chances. Every chance is what option prices imply for the close on one date. It is not our view and not our forecast.
• The plan. The same plan card as Levels Replay: the signal chips, If bullish, If bearish and the caveat.
• What it cannot tell you. Where the price goes next, or who holds the contracts.

Key difference. Levels Replay shows how the levels moved up to now. Levels Ahead shows the range option prices imply from now on, with scenarios and the plan.

The map

• The now line. The newest close. Everything to its left happened. Everything to its right is a range, not a route.
• The marks. Dashed lines stand on the expiry dates. The weekly mark says how much of the open gamma expires within 7 days.
• The plan prices. The If bullish and If bearish prices run across the cone as dashed lines.
• Hover the cone. It shows the price, the date, the 68% and 95% ranges, and the chance of closing beyond that price. It also shows net gamma at that price.
• Hover a close. It shows that close and its levels. A click keeps that close on the plan card.

The scenarios

Each chip turns a scenario on or off. More than one can be on at once.

• Holds the range. The chance the close on the week's expiry sits between the If bearish price and the If bullish price. The chip reads like "46% on Oct 9".
• Breaks up. The chance the close on that date sits above the If bullish price. The next levels past it are marked.
• Breaks down. The chance the close on that date sits below the If bearish price. The next levels past it are marked.
• Volatility jumps. The cone redrawn with every implied volatility a quarter higher.
• Volatility fades. The cone redrawn with every implied volatility a fifth lower.
• One week on. Where zero gamma sits 7 calendar days on, once the contracts expiring within 7 days are gone. It also says what share of open gamma that is.

Under the map, each scenario that is on states its chance in words, what it changes and its plan.

Gamma by price

• The solid curve. Net gamma if the price were somewhere else, read from tonight's option chain. It is calls minus puts, in dollars per one percent move.
• The dashed curve. The same reading under the volatility or One week on scenario that is on.
• The zero marks. Where each curve crosses zero. When the dashed mark sits apart from the solid one, the scenario moves zero gamma.
• The convention. It assumes hedgers hold the calls and sold the puts. The chain cannot show who holds what.

Past cones and the record

• Past cones. A button under the map draws old one week cones over the track.
• The dots. A filled dot means the close a week later landed inside the 68% range. A ring means it did not.
• The record. One line counts how many past cones held the close. It shows once there are ten or more.

Two layouts

A control in the title row switches between them. The pane remembers the choice. On a narrow pane or a phone, both stack into one column with the plan card first.

Storm map

The cone large across the window, the scenario chips above it, and the gamma strip and the plan card below.

Desk

The cone and the gamma strip on the left. The plan card and the scenarios sit on the right, on one screen.

Common misreadings

• The cone is not our forecast. It is the range option prices imply. Option prices change every day, and so does the cone.
• A wall is not a barrier. We found walls held the price no better than chance, and have not tested the other levels.
• A chance is not a promise. A close outside the 95% band is rare under the option prices, and it still happens.

Frequently asked questions

Is this your forecast? No. The cone and every chance on it come from option prices. The desk's own signal is on the plan card, in its own words.

Why is there no line into the future? Because nobody knows the path. A range up to a date is what option prices actually imply.

Does it show every name? It shows every name the nightly option capture covers. A name with no frames says so plainly.

Related panes

• Levels Replay. How the levels moved, frame by frame, up to now.
• Gamma Map. Where open gamma sits by strike tonight, with the plan on its Levels tab.
• Expected Move. The move sizes option prices carry, by expiry.

Levels are reference prices from the option chain, not a forecast.