SPX "Pseudo" GEX – Live
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Pipeline: each poll ingests Schwab gamma, open interest, and cumulative volume. We use the change in cumulative volume plus microstructure signals to estimate net new OI: time-of-day (opening flow tends to be higher early), moneyness (near-ATM flow weighted more), where trades print within the bid/ask spread (aggressive near ask vs passive near bid), and short-term IV change. These are combined into an opening-vs-closing probability and applied to volume deltas to estimate net new OI, then effective OI = baseline OI + estimated net new OI. Per-strike pseudo GEX is gamma x effective OI x spot squared x 100 x 0.01 (dollars per 1% SPX move). Calls are plotted positive, puts negative, and Net GEX = Call GEX + Put GEX.
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