Levels Replay

How one linked name's option gamma and levels moved with its price, one frame at a time, drawn live on the screen. It sits beside the Gamma Map and the Positioning Replay.

At a glance

• One frame. One read of the option chain for this name. Today there is one frame per market close.
• The replay. Each frame's open gamma by strike grows out of the price as a ladder. Gold bars are calls and garnet bars are puts.
• The heat map. As the next frame arrives, the ladder folds into a column behind the price. The columns build a heat map of every frame.
• The lines. The bright line is the close. The blue line is zero gamma. The gold and red trails are the call wall and the put wall.
• The strip. The bars above the heat map are net gamma for each frame, calls minus puts. Blue sits above zero and red below it.
• One cursor. The replay, the dial, the card, the plan and the table all show the frame under the cursor.
• Hover anything. A heat map cell, a bar, a candle, a trail point, a jewel or a row shows its figures. Every other part then shows that frame and lights that price.
• The forecast. Forecast trading days can follow the newest frame. Each one is marked Forecast.
• Where the numbers come from. The past frames are the option chain captured after each close. The forecast days are a forecast, and say so.
• What it cannot tell you. Who holds the contracts. The chain does not show it.

Key difference. The Positioning Replay shades exposure by distance from the price. Levels Replay draws gamma at each strike beside the price, with the walls, zero gamma and the plan for every frame.

Three layouts on one pane

A control in the title row switches between them. The pane remembers the choice.

One screen

Every part open at once. The replay runs across the top, the dial and the card sit side by side, and the table runs underneath.

Expand and collapse

One column. Each part folds to its header and a one line summary. It opens with the replay and the table open, and the dial and the card folded.

Theater

The replay is the stage. The dial and the frame's levels sit beside it, the table under it, and the card below.

On a narrow pane or a phone, every layout stacks into one column.

The replay

• The camera. It follows the cursor along the frames. Near the newest frame it turns to face the levels and names them.
• Wide view. Pulls back to show every frame at once, the whole heat map behind the price.
• The colour of the room. The background warms and the orb beats faster when net gamma is negative. It pictures the figure and adds nothing to it.
• The captions. They mark the frames worth a look: the first, the low, the high, and each crossing of zero gamma. They also mark the biggest move each way and the call wall's biggest jump. The newest frame closes the run.
• Where they come from. The captions are worked out from this name's own frames, the same way for every name.

The controls

• Play and pause. Plays the frames in order, slowing on each caption.
• The scrubber. Moves the cursor one frame at a time. Small ticks along its top mark the captions.
• Speed. 1x, 2x, 5x, 7x and 10x set how fast the frames play.
• Forward play. Starts at Now and plays the forecast, one frame per trading day. It keeps going to the expiry picked under Run to.
• Run to. Picks how far the forecast runs: to an expiry, or to the last one listed.
• Sound. Off until it is turned on. A soft chime sounds on each new frame, pitched by the change in the close, and a soft low beat when net gamma is negative. Both sound only while the replay plays; pausing stops every sound.
• Follow live. Keeps the cursor on the newest frame as frames arrive. Moving the cursor by hand turns it off.
• A click on the replay. Moves the cursor to the frame under the pointer.

The dial

• The bezel. A price scale wide enough for every close and every week's expected move in the replay.
• The hand. The frame's close.
• The bright arc. The week's expected move, from option prices.
• The jewels. The frame's levels: the walls, zero gamma, the strike with the most open contracts and the gamma clusters.
• The small dials. Net gamma, with zero at the top. Implied volatility, between the lowest and highest in the replay. Net charm.

The card

• The price ladder. The last thirty frames' candles, with the frame's levels drawn across them.
• The bars on the right. The frame's open gamma by strike, puts then calls.
• The levels. Every level as a list, with the close in its place and the week's expected move.
• The readings. Net gamma, net vanna, net charm, net delta, IV over realized, and the share of gamma within seven days.
• The stars behind it. Every frame of the replay as a star. Across is net gamma, up is implied volatility, and the frame shown is the bright one.

The table and the plan

• The table. Every level on the frame shown, its price, its distance from the close and what it is. What traders watch there opens under each row.
• The plan. The nearest levels above and below the close, for the frame shown. It reads Holds above, then the next levels, then the expected move end.
• The caveat. Levels are reference prices from the option chain, not a forecast. We found walls held the price no better than chance, and have not tested the other levels.
• The convention. Net vanna, charm and delta assume hedgers hold the calls and sold the puts. The chain cannot show who holds what.

The days ahead

The replay can run past the newest frame. It adds one forecast frame for each trading day to the expiry shown.

• What it is. A forecast from the newest close to the expiry, drawn as a range of closes with a middle path.
• The order. The past frames come first. The newest frame is marked Now. The forecast frames follow it, each marked Forecast.
• The fan. This is the main picture. A faint band holds 9 of 10 paths. A brighter band holds the middle half. A line follows the middle path, the typical close.
• The most likely range. On each day, 80 of 100 paths close inside it. It prints with the middle path and with the range option prices alone give.
• The tracks. A handful of paths drawn as fine lines. Each one shows its share of all paths.
• Option prices alone. A thin outline marks the range the listed option prices imply for the same day, with no drift. It sits beside the fan so the two can be compared.
• The chances. The chance the close is above the call wall, and below the put wall, on the expiry date. Each reads like "26 in 100" and prints beside the chance option prices alone give.
• The levels on a forecast day. The walls and zero gamma, worked out again for that day. They are marked forecast.
• The record at each distance. Each forecast day says how many times in 100 the range held the close at its distance ahead, beside option prices alone. Where it did no better, the line says so. A day between two measured distances reads the farther one.
• How it did. One paragraph under the forecast panel. It gives how often the range held the close, by distance, and the dates and names it was checked on.
• Days past the record. The record covers 1 to 10 trading days ahead. Later days are drawn lighter.
• The scenario chips. A chip keeps only the paths where that thing happens, such as a close above the call wall on the expiry. Base shows every path.
• The signal. The desk's signal stays on the card. The chip With the desk signal adds its paper record to the forecast, with its coin flip beside it.
• The fine print. It sits at the foot of the forecast panel. It says what the forecast comes from and what it leaves out.

Option prices alone give one range from the listed prices. The forecast gives a range of closes, and How it did shows how the two compare.

Live and nightly frames

• Today. One frame a night, after the close. The badge in the title row reads Nightly, with the time of the last update.
• During the session. When frames arrive through the day, the badge reads Live and the replay grows as they land.
• A frame every second. Older minutes of the session fold into columns of a few minutes each. The newest minute stays second by second.
• A folded column. Its hover shows the column's last frame, how many frames it holds, its time span and its price range.
• Earlier sessions. Each folds to one column, its close.
• The story. The captions run night by night to the last close, then through the session itself to now.
• How frames arrive. The pane asks for new frames on a timer, or listens on a stream where the desk serves one.
• Only while it is seen. Either way, it takes new frames only while it is on screen.

Common misreadings

• A wall is not a barrier. On 38 captures of 1,255 names, no wall or zero gamma held the price better than walls borrowed from another name.
• The colour is not a call. A warm room means net gamma was negative on that frame, and nothing more.
• Calls minus puts. It is a counting rule. It does not say who is long or short.

Frequently asked questions

Is this a video? No. It is drawn on screen from the frames, so every part can be hovered and read.

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

Does it tell me where the price goes next? The past frames replay what the option chain held, beside what the price did. The days ahead are a forecast, a range of closes with a middle path.

Is this a forecast? Yes. The days after Now are a forecast, drawn as a range of closes with a middle path. How it did shows how often the range held the real close.

What does a forecast day show? The middle path, the most likely range and the chances for the walls. Each prints beside what option prices alone imply, with the record at that distance.

How sure is it? Read How it did under the forecast. It shows how often the range held the real close, beside option prices alone. Each day also gives the record at its own distance ahead.

What does 80 of 100 mean? Of 100 paths, 80 close inside the most likely range on that day. How it did shows how often real closes landed inside it.

What if the close lands outside the range? A range of 80 in 100 leaves about 20 outside, so some misses are expected. The range does not say which side a miss falls on.

Why is option prices alone printed beside it? It is the range the listed options imply for the same day. It is the market's own yardstick, so the two can be compared.

Is the record for the name I am viewing? No. It pools every name, so one stock can do better or worse than the record shows.

Why does the fan get wider each day? More can happen over more days. The fan widens with time, and faster for a name that moves a lot.

Why are some days drawn lighter? The record measures 1 to 10 trading days ahead. Days after that are drawn lighter and have no record.

Is the middle path where the price will go? It is the typical close across all paths: half end above it and half below. It is the centre of the range, and real closes can land on either side.

What can make it wrong? Earnings dates and news are not included. Open contracts and option prices are held at today's values. Any forecast can be wrong, and prices can close outside every range.

Why do the walls move on a forecast day? Each day's walls and zero gamma are worked out again at that day's middle path, with less time left. The real walls can differ.

What do the scenario chips do? Some chips keep only the paths where something happens, such as a close above the call wall on the expiry. Volatility jumps and Volatility eases rerun the paths with option prices higher or lower. The record measures Base only.

What is With the desk signal? This chip adds the desk signal's own paper record, with its coin flip beside it. It shows only when that record can be printed.

When does it update? Each trading evening after the close, from the newest frame. When the newest frame has no forecast yet, the days ahead stay hidden rather than show an old one.

Does everyone see the same paths? Yes. The forecast is worked out once a night for each name, so every reader sees the same days ahead.

Which names have it? Names with a listed option chain in the nightly capture, out to the last expiry within about six weeks. A name without a forecast shows the replay alone.

Related panes

• Gamma Map, tonight's open gamma by strike in six views, with the Levels tab.
• Positioning Replay, the same captures as a heat map by distance from the price.
• Reading The Options Suite, the shared primer for every options pane.
• The Panes, the full map of the panes.