Financial terms, explained from first principles.

Same-day-expiration options. Daily SPX 0DTE volume exceeds longer-dated since 2022. Has restructured intraday market behavior via dealer gamma.

Three-strike options structure: long-low + short-2x-middle + long-high (calls or puts). Profits if price pins at middle strike. Limited risk, limited reward.

Cross-Greek measuring sensitivity of delta to time decay. As time passes, deltas drift — requiring dealer rebalancing absent any spot or vol moves.

The specific gamma POSITION held by options market makers (dealers) — distinct from total open-interest gamma. Most-watched component of GEX analysis.

How much an option's price changes per $1 move in the underlying.

The rate of change of delta - the option's curvature.

Aggregated gamma position of options dealers across all strikes. Positive GEX = dealers buy dips and sell rips (vol-suppressing); negative GEX = vol-amplifying.

The market's forecast of future volatility, extracted from option prices.

Four-strike options structure combining short put spread and short call spread. Profits if price stays inside a defined range. Standard vol-selling structure.

The strike price at which the most options expire worthless.

The total number of outstanding option or futures contracts.

Ratio of put volume to call volume. >1 = bearish bias in options flow; <0.5 = bullish. Contrarian signal at extremes.

Long call + short put at different strikes — same expiration. Bullish synthetic equivalent to long stock with limited downside. Common FX hedging structure.

Implied volatility across expirations for a single underlying. Contango = longer-dated IV > short-dated; backwardation = inverse, signals imminent vol event.

Time decay - how much an option loses per day, all else equal.

Cross-Greek measuring sensitivity of delta to implied volatility. Critical for dealer hedging: vol changes ALSO change delta, requiring additional hedging beyond what spot moves alone imply.

Spread between implied volatility (option prices) and realized volatility (actual price moves). Historically positive — option sellers earn this premium.

Sensitivity of an option's price to a 1-percentage-point change in implied volatility.

The 30-day implied volatility of S&P 500 options. The 'fear gauge.'

Shape of IV across strikes for a single expiration. 'Smile' = both wings elevated (currencies, indices). 'Skew' = one wing elevated (equity index puts).

3D plot of implied volatility across all strikes AND all expirations. Captures the full options-market vol pricing structure. Where vol arbitrage lives.