Glossary
Plain-English definitions for every term you'll see across Optionomics.
71 terms across 11 categories
AI
6 terms-
anomaly score · anomaly trade
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A trade flagged by our anomaly-detection model — its features (size, timing, IV shift, etc.) deviate sharply from the typical distribution for that contract.
Related: High-conviction alert
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option signal
- A directional signal generated by our ML stack on a specific symbol or contract, with a confidence score attached.
- A composite of size, repeatability, and timing. The small subset of UOA where the trade is unusually large, comes with confirming follow-on flow, and is placed at a time of day historically associated with informed trading.
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regime
- A daily classification of market state (e.g. risk-on, risk-off, range-bound) based on dealer positioning, volatility, and breadth.
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forecast vol
- Our model's day-ahead realized-vol forecast. Compare with implied vol to spot rich/cheap options.
- A pre-built strategy proposal (single-leg or multi-leg) with a rationale, target levels, and risk numbers — generated when our models converge on a setup.
Expirations
4 terms-
zero DTE · same-day expiry
- Options that expire the same day they're traded. Highest gamma, fastest theta, and largest realized vol of any expiration. Now offered daily on SPY/QQQ/IWM/SPX.
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long-dated options
- Long-Term Equity Anticipation Securities — options with more than a year to expiration. Useful for stock replacement; large vega exposure.
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monthly options
- Standard 3rd-Friday-of-the-month expirations. The deepest liquidity pool historically, though weeklies have caught up on major names.
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weekly options
- Options that expire at the end of a calendar week (typically Friday). The most actively traded short-dated contracts; widely used for earnings and event plays.
Exposure
3 terms- The buying or selling that options market makers do to neutralize risk after writing contracts. Drives a meaningful share of intraday flow on heavily-traded names.
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GEX
- Aggregate dealer gamma at a strike — drives hedging flow. Positive GEX = dealers buy dips and sell rips (volatility-dampening). Negative GEX = dealers chase moves (volatility-amplifying).
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gamma flip · gamma cliff
- A strike where dealer gamma is concentrated. Price often pauses or reverses there because dealers must hedge aggressively when the underlying crosses it.
Flow
10 terms-
lifted offer · buy at ask
- A trade that crossed the spread to lift the ask. Treated as bullish on calls and bearish on puts.
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hit bid · sell at bid
- A trade that crossed the spread to hit the bid. Treated as bearish on calls and bullish on puts.
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whale trade
- Single trades with very large premium (typically $1M+). Used as a proxy for institutional positioning — they don't mean a single big trader is right, but they do mean someone with capital is committed.
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block
- A large negotiated trade printed at a single price, often between two institutions. Less urgent than a sweep but typically much larger in size.
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off-exchange · dark venue
- Off-exchange venues where large institutional orders can match without being displayed publicly. Prints reach the consolidated tape after the fact.
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intermarket sweep order
- An Intermarket Sweep Order — a regulatory order type that lets a trader bypass the National Best Bid/Offer protection to fill quickly across exchanges.
- Bullish-flagged premium minus bearish-flagged premium across all trades on a symbol. Positive = net buying pressure on calls / put selling. The dollar version of sentiment flow.
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institutional flow
- Large, repeated, time-sensitive flow from traders with enough capital to move the tape. Use it as context alongside raw flow, price action, news, and risk controls.
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sweep order · intermarket sweep
- A marketable order split across multiple exchanges and filled simultaneously. Sweeps signal urgency — the buyer is willing to pay up across venues to get filled now.
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UOA · unusual activity
- Trades whose size or premium is statistically unusual versus the contract's recent baseline. UOA flags *attention*, not direction — pair it with sentiment to decide what to do.
Greeks
7 terms-
delta decay · DdeltaDtime
- The rate at which delta decays over time, holding price constant. Drives the well-known "charm flow" reweighting at the open and close near expiration.
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call delta · put delta · Δ
- Approximately how many cents the option moves per $1 move in the underlying. Also approximates the option's probability of finishing in the money. Calls have positive delta (0 to +1), puts have negative delta (-1 to 0).
- The rate at which delta changes as the underlying moves. High gamma near the money means delta swings quickly, amplifying P&L volatility. Gamma is highest near expiration and at-the-money.
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The change in option price per 1 percentage point change in the risk-free interest rate. Usually small and ignored for short-dated contracts.
Related: Theta
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time decay
- The dollar amount an option loses per day from time decay, all else equal. Long-premium positions pay theta; short-premium positions collect it. Theta accelerates into expiration.
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DdeltaDvol
- The change in delta per 1 point of implied-volatility move. When IV falls, dealers' hedge ratios shift — that's the vanna flow.
- The dollar change in option price per 1 percentage point change in implied volatility. Vega is highest for ATM options and longer-dated contracts.
Liquidity
5 terms-
bid · ask · mid · spread
- Bid = highest price a buyer will pay; Ask = lowest price a seller will take; Mid = the midpoint. The bid-ask spread measures liquidity.
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OI
- Total number of contracts currently outstanding (not yet closed or expired). Cumulative across days.
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contract size
- Number of contracts in a single trade. Multiply by 100 to get share equivalent and by premium to get dollar premium paid.
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volume-to-open-interest · Vol/OI
- Today's volume divided by yesterday's open interest. A reading above 1 means more contracts were traded today than were outstanding — often a signal of unusual activity.
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Vol
- Number of contracts traded today. Resets each session.
Platform
6 terms-
recipe
- A curated bundle of alert rules that's known to produce useful signal-to-noise. Apply a recipe and you get several pre-tuned alerts in one click.
- A historical simulation of a strategy or alert against past option data — used to estimate edge before risking real capital.
- A named snapshot of the filters, sort, and search you have applied to a list page (Live Tape, UOA). Apply it later to recreate the same view in one click.
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radar · market radar
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A real-time screen that ranks the entire option market by criteria you choose (premium, vol/oi, sentiment, etc.). The Radar page is the visual version.
Related: Unusual options activity
- A personal log of positions you took, with entry, exit, P&L, and an optional link back to the alert or trade idea that sparked the trade.
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favorites
- Your personal list of symbols. Powers the Today page, custom alerts, and email digests.
Pricing
7 terms-
DTE · Exp · time to expiry
- Calendar days until the option expires. Drives theta and gamma — short-DTE options have the fastest decay and the largest gamma.
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time value
- Premium minus intrinsic value — the "optionality" portion that decays over time and shrinks as IV falls.
- The portion of an option's premium that's already in the money. Calls: max(spot - strike, 0). Puts: max(strike - spot, 0). Out-of-the-money options have zero intrinsic value.
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ATM · ITM · OTM
- Where the strike sits relative to spot. ATM = strike ≈ spot. ITM = the option already has intrinsic value. OTM = no intrinsic value yet.
- The dollar price paid for an option contract. One contract = 100 shares; a $2.50 premium means $250 per contract. Premium = intrinsic value + extrinsic value.
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spot price · underlying price
- The current market price of the underlying stock or ETF.
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strike price · exercise price
- The price at which the option holder can buy (call) or sell (put) the underlying.
Sentiment
4 terms- Total put premium divided by total call premium. Less noisy than the volume ratio because it weights by dollars actually committed.
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P/C · PCR · put-call ratio
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Put volume divided by call volume on a given day. Above 1.0 leans bearish, below 1.0 leans bullish; extremes often mark short-term reversals.
Related: Put/Call ratio (Premium)
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bullish/bearish flagging · Snt
- A trade's directional flag derived from bid/ask placement and side. Calls lifted at the offer = bullish; puts lifted at the offer = bearish; mid prints = neutral.
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sentiment flow
- Share of today's flow flagged as bullish, bearish, or neutral. A quick read on whether buyers are leaning long, short, or undecided.
Strategies
11 terms-
fly
- Long 1 + short 2 + long 1 at three equally-spaced strikes. Maximum profit if the underlying pins the middle strike at expiration.
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time spread · horizontal spread
- Short a near-dated option, long the same-strike option in a later expiration. Profits from time decay and IV-term-structure shifts.
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CSP
- Short put fully collateralized by cash. Pays premium for taking on the obligation to buy the underlying at the strike if assigned.
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protective collar
- Long stock + long protective put + short OTM call. Caps both upside and downside; cheap or zero-cost downside protection.
- Long 100 shares + short one out-of-the-money call. Generates yield; caps upside above the call strike.
- A spread with different strikes *and* different expirations. Hybrid of a vertical and a calendar.
- Short OTM call spread + short OTM put spread. Profits if the underlying stays inside the wings through expiration. Best in high IV, range-bound names.
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married put
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Long stock + long an OTM put as insurance. Pays a premium for a floor on losses.
Related: Collar
- Long a call and a put at the same strike and expiration. Profits if the underlying moves a lot in either direction.
- Long an OTM call and OTM put at the same expiration. Cheaper than a straddle but needs a larger move to profit.
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call spread · put spread · debit spread · credit spread
- Long one option and short another at a different strike, same expiration. Defined risk and defined reward.
Volatility
8 terms-
IV
- The annualized standard deviation of returns the market is pricing into the option. High IV = expensive options; low IV = cheap options. Compare with realized volatility to gauge whether options are rich or cheap relative to what the underlying actually does.
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volatility crush
- The sharp drop in IV right after a known catalyst (earnings, FDA decision) resolves. Long-premium trades held through the event typically lose more on IV crush than they gain from the move.
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IVP
- Share of trading days in the past year where IV was below the current level. Less sensitive to outlier highs and lows than IV rank.
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IVR
- Where the current IV sits in the past year's high–low range, expressed 0–100. IVR > 50 is "high" (good for selling premium); IVR < 30 is "low" (good for buying premium).
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volatility skew · smile · smirk
- The shape of IV across strikes for one expiration. Equity index options usually show a put-skew (downside puts trade at higher IV), reflecting demand for crash protection.
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term structure
- IV by expiration for a single underlying. Upward-sloping = market expects more vol later; inverted (front > back) typically signals an imminent event such as earnings.
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RV · historical volatility · HV
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The annualized standard deviation of actual returns over a recent window (e.g. 20-day). Compare with implied vol to see whether options are pricing more or less movement than the stock has shown.
Related: Implied volatility
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vol surface · IV surface
- The 3D map of IV across all strikes and expirations for an underlying. Reveals where the market is paying up for protection or speculation.