Heatmaps

The heatmap's two views, By expiration and Intraday: the colours (and negatives on their own scale), the anchor strike, each expiration's largest cell, the net column, and unrecorded cells.

A heatmap lays dealer exposure out on a grid of strikes, so you can see where it sits and how it moves at a glance. The heatmap panel has two views, picked in its header: By expiration and Intraday. Both count the expiration set from the top bar.

By expiration

Rows are strikes and columns are the expirations in the set, nearest first. Each cell is the dealer exposure at one strike in one expiration. About eight columns fit on screen and the rest scroll sideways, with the strikes fixed at the left.

Turn on Session volume dots in the cog to put a dot in each cell for that contract pair's volume in the session, scaled by its square root. They're off unless you turn them on. Volume describes trading, not positioning: no exposure uses it.

The anchor strike is the cell with the most exposure of the chosen greek, either way. Its strike is underlined in orange on the strike axis, even when you zoom out far enough that other strikes aren't labelled, its cell has a thin orange outline, and the legend names it with its expiration. It is where the set's exposure is heaviest.

Each expiration's largest cell prints its value in bold with a small tick in its top-right corner, so you can find the biggest strike in every expiration, not just the nearest ones, without reading every number. Hover it and the tooltip says "Largest in Oct 9". The anchor strike is the largest of these.

The Net column beside the strike axis adds each strike up across every expiration in the set, including the ones scrolled out of view, so it doesn't change as you scroll sideways. Its bar is green or red by sign and as long as its share of the largest total on screen; where rows are tall enough it prints the total. The strikes with the longest bars are where the set's exposure is heaviest across all its expirations.

A faint dashed line crosses the grid at spot's price, between the strike rows where spot sits between them, so you can see which strikes are above and below the price at a glance. It runs under the printed values and never covers them.

Intraday

Rows are strikes and columns are time through the session, in 1, 5, 15, 30, or 60 minute steps (the cog's interval). The price is drawn over the grid as a line. Pick one of the last five sessions from the cog to look back.

Open interest is fixed through the session, so the intraday grid shows yesterday's positions re-weighting as price, time, and implied volatility move. It doesn't show positions opened today. Those appear in the next morning's numbers. Colour by change in the cog colours each cell by how much it moved since the column before, which shows where exposure is building or draining as the session runs.

A hatched cell is not recorded: the strike was outside the band kept around that minute's price. It means unknown, not zero.

The greeks

The header's switch picks GEX (gamma), VEX (vanna), CHEX (charm), or DEX (dealer delta), in the same units as exposure by strike.

Reading the colours

Green cells are positive exposure and red cells negative, deeper where there is more. Full colour is the largest cell on screen, the size at each end of the legend's scale, so small cells stay faint and the biggest walls stand out. Scrolling sideways keeps the colours; scrolling up or down to strikes with bigger cells can make the rest fainter. Where rows are tall enough, each cell prints its value (156.1M). Spot's strike is in text colour with a mark at the left edge.

Mono, in the cog, draws size only (from the panel colour toward the text colour, with a tick on negative cells) for readers who find green and red hard to tell apart. It's kept in your browser.

Negatives on their own scale, in the cog, gives red and green a scale each: red cells deepen toward the largest negative cell on screen and green cells toward the largest positive. With one scale, a −444M pocket under a +5.4B wall is a faint pink, which is true to its size. With this on it shows in full red, so negative-gamma pockets stand out. The catch is that the colours no longer compare across signs: a full red cell can be a tenth the size of a full green one. The legend shows both ends (−$444M … +$5.43B) and says the setting is on. The anchor strike, each expiration's largest cell, and the Net column still go by true size. It works on both views, is off unless you turn it on, and is kept in your browser.

Scrolling the strikes

The heatmap opens on the strikes around spot. Every strike listed is reachable: the wheel over the cells scrolls through them, and the thin bar at the price axis shows where the screen sits among them. The cog's strike range works as it does on exposure by strike.