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Ladder Tools

GEXBOT Classic (GEX by OI / Volume)

Gexbot Classic displays GEX by OI and GEX by Volume in a ladder-style histogram. Bars
extending to the right represent the magnitude of call GEX on a strike-by strike basis. Put GEX
is indicated by bars extending to the left. The plot embeds ‘lookback’ dots in the histogram to
visualize GEX values at various intervals into the past. It also includes a slider to track through
the history of the day. GEX by volume is used to calculate zero gamma (the center of the
complex), major positive gamma (the positive GEX strike of the greatest magnitude), and major
negative gamma (the negative GEX strike of the greatest magnitude).
Classified Volume Ladder
The classified volume ladder displays the results of our orderflow-classification engine. Our
classification distinguishes between long gamma (bought) and short gamma (sold) options,
according to market-maker positioning (see “Measurements”). Thus, while option type is
represented through color alone (with put defaulting to red and calls defaulting to green), bars
extending to the right represent long options, whereas short options are indicated by bars
extending to the left. The applicable features of Gexbot Classic (lookback dots, history slider)
are included here too, with classified volume data as the backbone.

Classified GEX Ladder

Classified GEX, as the name suggests, applies GEX to the results of our orderflow-classification
engine. In this case, we revert to displaying call GEX to the right and all put GEX to the left. Our
main priority here is to display areas of high-liquidity. Because participants trade calls and puts
differently, we find distinguishing GEX along this axis to be the most fruitful. The applicable
features of Gexbot Classic (lookback dots, history slider, major positive gamma, major negative
gamma) are included here too, with classified GEX data as the backbone.

Subplots
All subplots leverage the results of our orderflow-classification engine to give real-time insight
into the nearest expiry. State subplots sum across all strikes, meaning that they give us a
snapshot of overall positioning at any given point in time. They help us get a sense for whether
options complex behavior is in line with price action. Orderflow subplots detect changes in
overall positioning: Any time an order comes through, we measure and report the delta and
gamma of that order, and whether it is long or short. We further subdivide orders into
bullish/bearish, to help with interpretation. Orderflow helps to highlight transition points, both in
terms of market direction and volatility.

State

1. Call | Put DEX

= Total Call DEX - Total Put DEX

● When Call | Put DEX is high and above 0, there are more holders of call Δ than put Δ.
● When Call | Put DEX is low and below 0, there are more holders of put Δ than call Δ.
● As price moves up, if call Δ holders maintain their positions, we would expect Call | Put
DEX to increase. If not, then call Δs are likely being sold and/or put Δs acquired.
● As price moves down, if put Δ holders maintain their positions, we would expect Call |
Put DEX to decrease. If not, then put Δs are likely being sold and/or call Δs acquired.
 2. Call | Put GEX

= Total Call Gamma Exposure - Total Put Gamma Exposure

● When Call | Put GEX is high and above 0, there are more holders of call 𝛄 than put 𝛄.
● When Call | Put GEX is low and below 0, there are more holders of put 𝛄 than call 𝛄 .
● 𝛄 is a measure of convexity. If it is high, that means there is more upside convexity than
downside convexity, and vice versa.
● As the underlying moves up, all else held equal, upside convexity will diminish. A
constant Call | Put GEX as the underlying moves up therefore means, either that
positions are evenly distributed to the upside, or that positions are being rolled up as the
underlying moves, which is constructive overall.
● As the underlying moves down, all else held equal, downside convexity will diminish. A
constant Call | Put GEX as price moves down therefore means either that positions are
evenly distributed to the downside, or that positions are being rolled down as the
underlying moves, which makes continuation more likely.
● If positions are unevenly distributed, for instance if we are hovering around an isolated
major call strike, all else held equal, Call | Put GEX will move lower whenever we dip
below it, and also move lower whenever we test above, indicating that upside
continuation is unlikely.
● If positions are unevenly distributed, for instance if we are hovering around an isolated
major put strike, all else held equal, Call | Put GEX will move higher whenever we dip
below it, and also move higher whenever we test above, indicating that downside
continuation is unlikely.

3. Convexity
= Long | Short GEX = Total Long GEX - Total Short GEX
● Convexity is a measure of option buying vs. option selling.
● Positive (high) convexity means that participants are expecting more near-term volatility
than is currently priced into the market.
● Negative (low) convexity means that participants are expecting less near-term volatility
than is currently priced into the market.
● Due to the inverse correlation between underlying price and implied volatility, low
convexity is mildly constructive on underlying price. Very high convexity, which indicates
high demand for options, usually only occurs during times of panic.

Orderflow
Bullish Volume = Long Call | Short Put
Bearish Volume = Short Call | Long Put

DEX-Weighted Orderflow
= Bullish Volume × DEX - Bearish Volume × DEX
● DEX-Weighted Orderflow tells us when big orders are coming into the market in terms of
their directional share-equivalent. It is as simple to read as: “Someone just bought/sold
this many shares worth of options here”.
● Significant DEX-Weighted Orderflow highlights levels of interest. Large transactions tell
us that aggressive positions are being established, or that liquidations are taking place.
● Often, a local bottom will be established as an aggressive buyer enters the picture. Just
as easily, a local bottom can be marked by bearish orderflow, as a long is forced to
liquidate.

GEX-Weighted Orderflow

= Bullish Volume × GEX - Bearish Volume × GEX

● GEX-Weighted Orderflow takes DEX-Weighted Orderflow and gives us insight into the
conviction behind those buys/sells.
● Options are not just Δ, they can accelerate too. Transactions with higher 𝛄 (more
convexity) are riskier and feature greater payoffs, so they indicate greater conviction.
● High 𝛄 transactions must also be hedged with greater urgency, as they represent greater
risk for the counterparty.
● Aside from these features, GEX-Weighted Orderflow takes after its DEX-based sibling.

Orderflow Convexity

= Long Orderflow × GEX - Short Orderflow × GEX

● Orderflow Convexity takes State Convexity and adds a magnifying glass, so we can see
precisely when participants are wagering on more/less near-term volatility.
● Positive convexity means that participants are expecting more volatility.
● Negative convexity means that participants are expecting less volatility.
● Grinding days are often marked by consistent negative Convexity Orderflow, whereas
trending days often feature consistent positive Convexity Orderflow.