The Methodology

Net GEX (Gamma Exposure)

Options dealers sit on the other side of most trades, and they hedge to stay neutral. Net GEX measures how much hedging pressure that creates — the sum, across every strike, of each contract's open interest times its gamma times the index price, with calls adding and puts subtracting.

Positive net GEX — dealers are long gamma and hedge against the move (sell rallies, buy dips): the tape grinds and mean-reverts. Negative net GEX — they hedge with the move (buy strength, sell weakness): moves extend and volatility feeds on itself. That single sign tells you whether today's tape wants to fade or run.

Gamma Flip

The gamma flip is the price where net GEX crosses zero — the dividing line between the two regimes above. Above it, dealers dampen; below it, they amplify. It's the single most important level on the map: when price crosses the flip, the market's whole character can change. We solve for it across the full strike surface, not a single point.

Call Wall & Put Wall

Gamma isn't spread evenly — it clusters at the strikes with the most open interest. Calls and puts are netted at every strike first. The Call Wall is then the strike at or above spot with the largest positive net gamma, and the Put Wall the strike at or below spot with the largest negative net gamma, so a strike heavy in both cancels rather than counting twice. In a positive-gamma regime the Call Wall tends to act as resistance (a pin) and the Put Wall as support — the levels dealer hedging defends hardest.

Gravity

Gravity is the |gamma|-weighted center of the dealer book — the balance point of all that hedging pressure. In a positive-gamma regime it behaves like a damper, not a magnet: when price stretches away from it, the aggregate of dealer hedging tends to lean price back toward the center. It differs from the gamma flip (a boundary) and from VWAP (built from realized volume), and when Gravity and VWAP line up, that shared level is unusually sticky. In negative gamma the pull weakens and price can accelerate away from it.

Vanna & Charm

The broker chain carries delta, gamma, theta and vega, but not vanna or charm — so NoVo computes both in closed form from Black-Scholes with r = q = 0, then aggregates them across the chain with the same “calls add, puts subtract” convention as net GEX.

Vanna is how much dealer delta moves when implied volatility moves. When vol shifts, the whole hedge reprices, which is why a quiet map can turn active on a vol move alone, with no change in price.

Charm is how much dealer delta moves as time passes, shown per day. It is what makes a 0DTE afternoon behave differently from the same map at 10am: charm drains delta out of the book into the close, and dealers trade the underlying to keep up. T is floored at a quarter session, because charm genuinely explodes into expiry and an unfloored number stops being a useful reading.

Expected Move

The expected move is the ±1σ range the options market is pricing for the session (and the week) — derived from at-the-money implied volatility.

Roughly two-thirds of the time, price stays inside it. It frames every other level: a Call Wall inside the expected move is very different from one a full move away. It's the market's own honest estimate of how far today can go.

Put/Call Skew

Skew is the 25-delta risk reversal — the implied vol of a 25-delta put minus a 25-delta call, in vol points. Because indices fall faster than they rise, puts almost always cost more, so a positive reading is normal — it measures how much downside hedging demand (fear) is bid into the tape. A skew that steepens flags rising hedging; one that flattens or inverts flags complacency or an upside chase.

Sweeps & Blocks

The dealer map tells you where the pressure sits; the print tape tells you who's acting on it. We read the live time-and-sales tape for SPY, QQQ and IWM and tag two things. A sweep is one order deliberately shredded across multiple exchanges at once to get filled immediately — an urgent, aggressive footprint, tagged by which side crossed the spread (call-buying leans bullish, put-buying bearish). A block is a single oversized print — size that moves on conviction, not accident. It's the same tape the flow desks read, computed in-house off the live feed — no third-party flow vendor between you and the print.