Dealer positioning model

Also called Dealer sign convention, naive dealer positioning

The assumption about who holds open interest that every dealer exposure rests on; Theta Vantage assumes dealers are long calls and short puts.

Open interest counts open contracts but not who holds them. To turn it into dealer exposure you have to assume which side dealers are on. Theta Vantage assumes dealers are long calls and short puts: investors sell calls against stock they own and buy puts for protection, and dealers take the other side. It's the standard public convention for gamma exposure, applied to every ticker.

Where it fits

• SPX and index options: the best fit. Research on index option holders found investors net long puts and net short calls, as the convention assumes.
• Single stocks: the weakest fit. The same research found investors often net short both calls and puts, which would leave dealers long puts and flip the sign of the put side.
• 0DTE: same-day options are traded heavily both ways, so the dealer side is the least certain.

What follows from it

• Under this model a dealer long a call and a dealer short a put both hold positive delta, so dealer delta (DEX) is always positive. It shows how much delta dealers hold, not a lean.
• The put wall on a single stock may really be gamma dealers are long.

Every exposure, level, and read in Theta Vantage uses this one model, so they agree with each other. A different model would be a different set of numbers, and would be named as one.