dataphil · options

beta ← dashboard

Today's options read

The chain, translated. Everything below is computed from the full option chain — this is the one-paragraph version.

Can this trade work? the point

Say what you think happens. The chain prices it — what it costs, what it needs, and the odds the options market itself is putting on it.

I thinkSPY by

Where the market thinks price can go interactive

The "expected move cone" — built from real option prices. The inner band is the move the market is paying for (~68% odds price stays inside it); the outer band is the rare-day zone (~95%). Hover the cone to read the range for any expiry.

What happens if price goes to… interactive

Drag the slider (or the chart) to test a price. The bars show dealer gamma at each strike — green = dealers lean against moves (stabilizing), red = dealers chase moves (accelerating). Markers show the biggest open-interest walls, the gamma flip line, and monthly max pain.

How expensive are options right now?

ATM implied volatility by expiry (the "term structure")

What protection costs

Implied volatility by strike for the monthly expiry (the "smile")

Fear gauge by expiry

25Δ skew: how much more downside protection costs vs upside bets (vol pts)

Where the big positions sit

Open interest by strike, all expiries ≤60 days

CallsPuts

Plain-English glossary

Expected move: the size of swing option prices imply, taken from the cost of an at-the-money straddle. Roughly a 68% confidence range.
Open interest (OI): how many option contracts exist at a strike. Big OI = a "wall" where hedging activity can slow price down.
Gamma / GEX: how hard market makers must re-hedge as price moves. Positive = their hedging fights the move (calm). Negative = their hedging feeds the move (fast).
Gamma flip: the price level where dealers switch from calming the market to accelerating it.
Max pain: the expiry price where option holders collectively lose the most. Price sometimes drifts toward it near expiry — treat as a curiosity, not a law.
Implied volatility (IV): the market's forecast of how much movement is coming, expressed as an annualized %. High IV = expensive options = big moves expected.
25Δ skew: the price gap between crash insurance (puts) and lottery tickets (calls). Positive = the market pays up for downside protection.
ATM: "at the money": the strike closest to the current price.
Time decay (theta): the value an option loses each day just from the calendar moving. Small far from expiry, brutal in the last two weeks. It's why being right late still loses.
IV crush: the drop in implied vol right after a known event (earnings, Fed day). The "event premium" built into option prices evaporates overnight, so a contract can lose value even when the stock moves your way.