After months of development and testing, I'm happy to announce that my Advanced SPX Options Visualizer for Bookmap is now live on the marketplace.
The Advanced SPX Options Visualizer provides unique insights into the positioning and flows driving market price discovery in the S&P 500 e-mini futures contract.
In the last several years, options have become a driving force, changing how markets trade. In particular, that's been true with the S&P 500 with the rise of index options trading and total notional daily flows of about $1.2T across all expirations. In essence, the tail now wags the dog as we see options trading notional values and volumes overwhelming that of futures.
Markets and Mayhem created this tool specifically with the idea of creating a lens into SPX options positioning, or gamma exposure, the model of where dealers may have positioning as well as the prevailing volume flows of the two most active call and put strikes trading.
It can be especially useful when you are able to identify convergences between large levels of resting liquidity (or open limit orders) and important areas of options activity and positioning, providing increased confidence that these are levels that are important to watch closely.
The tool provides the following information, which is updated in near-time:
The two most active puts and calls - referred to as hot and warm, respectively
Put and call walls - the largest area of put and call gamma exposure within reasonable proximity to spot pricing, often acting as support or resistance
Volatility trigger - the largest area of gross gamma exposure within reasonable proximity below spot pricing in SPX, where if price breaks below volatility in the market often increases
Gamma flip - the level where the market switches into positive or negative gamma territory, changing dealer hedging flows
Key levels - determined by next five largest levels of net gamma exposure, labeled in order); these levels often act like resistance
Gamma levels - calculated by the next five largest levels of gross gamma exposure, labeled in order); these levels often act like magnets for price, particularly when there is a large open order at or around the same level
The Advanced SPX Options Visualizer was designed by a trader for other traders, with the hope of providing an edge in trading the S&P 500 e-mini futures market. We have found it to be so useful that we decided to add it to the Bookmap marketplace so that more people could benefit from its unique and powerful capabilities.
To learn more about the relationship between SPX options and the S&P 500 futures market, and how I trade with this information in Bookmap check out the following educational resources:
https://www.traderade.com/post/trading-with-bookmap-coalescence-as-a-compass
https://www.traderade.com/post/quantifying-the-impact-of-0dte-trading-in-spx
https://www.traderade.com/post/a-new-wrinkle-in-the-spx-0dte-saga
https://www.traderade.com/post/spx-gamma-exposure-dealer-positioning-and-price-impacts
https://www.traderade.com/post/trading-options-expiration-isn-t-awesome
https://www.traderade.com/post/timing-charm-flows-in-the-options-market
We're also partnered with Bookmap, which means you can get up to 40% off of their plans by using this link. You can pick up the Advanced SPX Options Visualizer here.
If you have any questions or feedback leave them in a comment below or contact us.