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grid: option chain heatmap

grid is the ConvexValue Terminal app that shows how one option parameter changed across the chain of a symbol. It is a table of expirations by strikes; each cell holds the change of the call and of the put since an earlier day, green for up and red for down.

How to use grid

grid SYMBOL PARAMETER [param=value ...]
grid aapl volatility day=4 rng=10

The symbol and the parameter are required, in that order. Type the command in the command bar of a pane, or set the same parameters in the control panel (the ⚙️ at the right of the bar). In a browser, the app opens at convexvalue.com/go/grid/.

Parameters

Parameter Values Default What it does
SYMBOL An underlying symbol, or @ required The underlying. @ is the global symbol.
PARAMETER One options parameter: volatility, oi, gxoi ... required What the cells compare.
day A whole number 1 How many days ago to compare with. day=1 is yesterday.
rng A whole number, a percentage every strike Keeps the strikes within that percentage of the spot price. rng=10 is 10% up and down.
exp Numbers, ranges or both: 1, 1-5, 1-5,10 every expiration Which expirations to show. 1 is the nearest.

The parameters you can compare are the Options Parameters of the Data Parameters page. The control panel lists them too.

Examples

grid aapl volatility day=4 rng=10

How the implied volatility of each AAPL option changed in four days, within 10% of the spot price. The strike is fixed in each column, so this is the fixed-strike change.

grid SPY oi rng=5

The change of open interest since yesterday.

grid NVDA volatility exp=1-6 rng=10

The IV change since yesterday in the six nearest expirations.

grid SPX gxoi day=5 exp=1-10 rng=3

How gamma multiplied by open interest moved in five days, close to the money.

How to read it

  • Each row is an expiration and each column a strike.
  • A cell has two numbers: the call's change on top (yellow tint), the put's below (blue tint).
  • The change is the current value minus the value day days ago. Green is an increase, red a decrease.
  • An empty cell is a strike that the expiration does not list.
  • Without rng the table has every strike of the chain: add rng= to keep it readable.
  • olay: today's values against an earlier day, as lines.
  • joy: the current values at every strike and expiration.
  • terms: IV by expiration against the days before.