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dx: SPX hedging surface

SPX only. dx works for the S&P 500 index (SPX) and for no other symbol.

dx is the ConvexValue Terminal app that draws two 3D surfaces for SPX: the estimated delta and the estimated gamma that the hedging of its options carries, at each price level and on each of the coming dates.

How to use dx

dx SPX
dx SPX

The symbol is required and it is SPX. dx has no other parameter. Type the command in the command bar of a pane. In a browser, the app opens at convexvalue.com/go/dx/.

Parameters

Parameter Values Default What it does
SYMBOL SPX required The index. The app is for SPX only.

Examples

dx SPX

The two surfaces of SPX, side by side: one for delta, one for gamma.

How to read it

  • Each surface has two flat axes: the SPX price level, and the date (written as month-day). The height is the estimate at that price on that date.
  • One surface is delta, the other gamma. The colours follow the height.
  • The translucent yellow plane marks the current SPX price.
  • Drag to turn the view and scroll to zoom.
  • A tall or deep region is where the estimated hedging is large; the date axis shows when. The surfaces are a model's estimate, not a forecast of the index.
  • map: the next session in detail, by price and time. SPX only too.
  • stks: gamma by strike, for any symbol.
  • econcal: the macro releases on those dates.